From Uncorrelated to Correlated Random Variables | Gauss+ Model | Market Risk | FRM Part 2

In this video we look wt how two uncorrelated variables, each following the standard normal distribution can be used to create two correlated variables, that are correlated with a specified value of correlation. The same idea can be extended to Brownian motions and this what the Gauss+ models does to correlate the shocks to the medium term interest risk factor and long term interest risk factor.

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