The Law Dictionary

Your Free Online Legal Dictionary • Featuring Black’s Law Dictionary, 2nd Ed.

CORRELATION RISK Definition & Legal Meaning

Definition & Citations:

The RISK of loss arising from a change in the historical relationships, or CORRELATIONS, between ASSETS. Correlation risk can be found in certain COMPLEX OPTIONS and COMPLEX SWAPS and may also impact HEDGE RATIOS, CREDIT PORTFOLIO MODELS, and VALUEATRISK models. A subcategory of MARKET RISK.


This article contains general legal information but does not constitute professional legal advice for your particular situation. The Law Dictionary is not a law firm, and this page does not create an attorney-client or legal adviser relationship. If you have specific questions, please consult a qualified attorney licensed in your jurisdiction.