Correlation Matrix

What is a Correlation Matrix? A correlation matrix is a table showing correlation coefficients between variables. Each cell in the table shows the correlation between two variables. Most often the matrix is symmetric. Further to that a ratio of 100% means perfect correlation whereas 0% means no correlation. Regarding Solvency II purposes the official source is the┬áCommission Delegated Regulation 2015/35, and the reason that these are used under Solvency II…

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