Hi,
I wonder if there is any difference between the methodologies used by KMV and CreditMetric to calcualte correlation of defaul . Definitely, both of them make use of correlation between equity prices. However, is there any difference in the way KMV and CreditMetric make use of equity prices?
BTW, I would like to thank David Harper for his quick and enlightened reply of my previous posts.
Laura.
I wonder if there is any difference between the methodologies used by KMV and CreditMetric to calcualte correlation of defaul . Definitely, both of them make use of correlation between equity prices. However, is there any difference in the way KMV and CreditMetric make use of equity prices?
BTW, I would like to thank David Harper for his quick and enlightened reply of my previous posts.
Laura.
