  We describe a way to complete a correlation matrix that is not fully
specified. Such matrices often arise in financial applications when the number
of stochastic variables becomes large or when several smaller models are
combined in a larger model. We argue that the proper completion to consider is
the matrix that maximizes the entropy of the distribution described by the
matrix. We then give a way to construct this matrix starting from the graph
associated with the incomplete matrix. If this graph is chordal our
construction will result in a proper correlation matrix. We give a detailed
description of the construction for a cross-currency model with six stochastic
variables and describe extensions to larger models involving more currencies.
