Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Compound correlation » ?

Definition 15.5 Rates, Credit, XVA and Risk · Chapitre 15 — Portfolio Credit

The compound correlation of a tranche is the single correlation at which the one-factor Gaussian copula reprices it, with both its attachment and detachment losses computed at that correlation.

The 3–6% tranche’s model spread against the compound correlation. The curve is humped, so the quote of 195 basis points is matched at two correlations (2.1% and 89.9%), and a quote above the hump by none. Data: the chapter’s tutorial.
Figure 15.2. The 3–6% tranche’s model spread against the compound correlation. The curve is humped, so the quote of 195 basis points is matched at two correlations (2.1% and 89.9%), and a quote above the hump by none. Data: the chapter’s tutorial.
Lire dans le chapitre →

Termes liés