of Credit Derivatives
Derivatives: Market Info and awareness
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Base correlation: A computation of market-implied correlation for each tranche, however, taking the attachment point for the tranche to be 0 and detachment point to be the actual detachment point for the tranche. Thus, the correlation for the 7-10% tranche will be computed taking the attachment point to be 0 and detachment point to be 10% - assuming the 7-10% tranche and the tranches below it to be one single piece. Compare with compound correlation.