Hi all
When asset correlation increases, the probability of any one reference entity defaulting is lower and hence the premium is lower?
Or should it be correlations increases, prob of multiple defaut also increases and hence premium increases?
Hope to hearing from u soon
Thanks
When asset correlation increases, the probability of any one reference entity defaulting is lower and hence the premium is lower?
Or should it be correlations increases, prob of multiple defaut also increases and hence premium increases?
Hope to hearing from u soon
Thanks