Which of the following describes "base correlation"
A) The most basic correlation measure possible
B) A correlation used to value all tranches
C) The correlation implied from market data
D) The correlation for valuing a tranche with an attachment point of 0%

Question

Quizplus · Accepted Answer

The base correlation for X% is the correlation that would be used to value a tranche which provides protection against the first X% of losses on a portfolio.The tranche considered has an attachment point of 0% and a detachment point of X%.

Which of the Following Describes "Base Correlation