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Credit derivatives terminology

By Vinod Kothari

     

Correlation: A statistical measure of the probability that two or more things or states will happen together. For example, correlation in obligations covered by a basket or portfolio default swap will mean the probability that if one of the obligations default, other or others may also default. Statistical measures range between 0 (no correlation at all) to 1 (perfect correlation). See also correlation trade, base correlation, compound correlation

 

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