default-correlation

Learning Objectives: Define CDS forwards and CDS options. Describe the process of valuing a synthetic CDO using the spread payments approach and the Gaussian copula model of time to default approach. Define the two measures of implied correlation: compound (tranche) correlation and base...

Learning Objectives: Describe the significance of estimating default correlation for credit portfolios and distinguish between reduced form and structural default correlation models. Describe the Gaussian copula model for time to default and calculate the probability of default using the...

Learning Objectives: Describe the use of a single-factor model to measure portfolio credit risk, including the impact of correlation. Define beta and calculate the asset return correlation of any pair of firms using the single factor model. Using the single-factor model, estimate the probability...

Learning Objectives: Define and calculate default correlation for credit portfolios. Identify drawbacks in using the correlation-based credit portfolio framework. Assess the impact of correlation on a credit portfolio and its Credit VaR. Describe the use of a single-factor model to measure...

Learning objectives: Describe how equity correlations and correlation volatilities behave throughout various economic states. Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation. Identify the best-fit distribution for equity, bond, and...

I'm not sure where to put this question, so I apologize if it's in the wrong thread. I read that default correlation has no influence on EL. I don't understand that. For a portfolio, EL is a simple product of EAD, PD, and LGD. In this case, PD is the combined default probability of the entire...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

@David Harper CFA FRM - Hi David : While I understand that EL is linear and additive and is not impacted by Default correlations, Jonathan Golin's Chapter1 Second Edition, Page 24 mentions that "On a portfolio basis, a fifth variable, correlation between credit exposures within a credit...

H Hi, how do we do this in case of 2 bonds with default correlation of 30% and joint default probability of 1.5% Thanks