@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 portfolio, will also affect expected loss". How do I reconcile this statement with my understanding above of EL being not dependent on correlations.
Appreciate your help, as always.
Regards,
Vinay
Appreciate your help, as always.
Regards,
Vinay