default-correlation

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...

@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