Correlation & enterprise risk management - Structured Credit Investor (Business Opportunities - Other Business Ads)
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Correlation & enterprise risk management - Structured Credit Investor | |
Correlation means the relationship between two or more variables. In the credit market, it refers to default correlation; i.e. the probability of default of one reference entity or instrument in relation to another or others. The calculation of implied **[Correlation trading][1]** in a credit portfolio requires complex mathematical modelling. However, the market-based pricing of standardised index tranches enables the derivation and trading of implied correlation on those tranches. Tranches are portfolios of **[credit risk][2]** demarcated through a given attachment point (the minimum level of losses to which a tranche is exposed) and a detachment point (the maximum level of losses to which it is exposed) on a broader credit portfolio and are known as equity tranches, mezzanine tranches and senior tranches. On the indices, tranches are traded with standardised attachment and detachment points. [1]: https://www.structuredcreditinvestor.com/Correlation/ [2]: https://www.structuredcreditinvestor.com/Correlation/  | |
| Target Nation: England Target City : Glasgow Last Update : 17 January 2025 5:26 PM Number of Views: 23 | Item Owner : Structured Credit Investor Contact Email: Contact Phone: +44 20 7061 6397 |
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2025-01-23 (0.224 sec)