Anonymous shelf assessment
Correlation in Credit Markets
Shelf score 7.5 / 10
On Correlation in Credit Markets · Stephen McLeish · Robert Resenfeld · Risk Books
Published 23 March 2026
A focused examination of correlation measurement in credit portfolios.
Overview
Correlation in Credit Markets provides an essential treatment of correlation within credit portfolios, particularly emphasising tail risk and dependency modelling. Authored by Stephen McLeish and Robert Resenfeld, this work is tailored for practitioners such as traders and quantitative analysts. The text is grounded in practical applications, making it a valuable resource for those involved in correlation management in financial markets.
Published in 2009 by Risk Books, the book addresses critical topics in derivatives and quantitative finance, offering insights into base correlation and its implications for credit risk. Its specialised nature may limit its appeal to a broader audience, but it serves as a comprehensive guide for credit quants and portfolio managers seeking to enhance their understanding of correlation dynamics.
By area & interest
Practical Applications
The book focuses on practical correlation management, providing readers with actionable insights relevant to real-world financial scenarios.
Specialised Content
It delves into relatively specialised topics, making it particularly suitable for professionals deeply engaged in credit markets.
Target Audience
Designed for credit quants and portfolio managers, the text caters to those with a strong background in finance and quantitative analysis.
Basis of this assessment
Assessment based on catalogue description and Google Books metadata.
Strengths
The book excels in its practical approach to correlation management, offering valuable insights for professionals in credit markets.
Limitations
Its specialised focus may limit accessibility for readers outside the realm of credit finance and quantitative analysis.
Ideal reader
Ideal for credit quants and portfolio managers who require a deep understanding of correlation measurement and its implications in credit portfolios.