• Correlations ${\rho }_{kl}$ between pairs of risk factors are (symmetrical matrix):

  	0-1 years	1-5 years	>5 years	Inflation
  0-1 years	100%	70%	30%	40%
  1-5 years		100%	70%	40%
  >5 years			100%	40%
  Inflation				100%

Excel

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