Implied Loss Distribution, Term Structure of Correlation Skew and ...
Implied Loss Distribution, Term Structure of Correlation Skew and ...
Implied Loss Distribution, Term Structure of Correlation Skew and ...
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Base <strong>Correlation</strong> <strong>and</strong> Index Level<br />
0.8<br />
54<br />
0.7<br />
53<br />
0.6<br />
52<br />
51<br />
0.5<br />
0.4<br />
0.3<br />
50<br />
49<br />
48<br />
0-3 Base Cor r<br />
3-7 Base Cor r<br />
7-10 Base Cor r<br />
10-15 Base Cor r<br />
15-30 Base Cor r<br />
Index Level<br />
0.2<br />
47<br />
0.1<br />
46<br />
0<br />
Mar ch 19, 2005 Mar ch 21, 2005 Mar ch 23, 2005 Mar ch 25, 2005 Mar ch 27, 2005 Mar ch 29, 2005 Mar ch 31, 2005 Apr i l 2, 2005 Apr i l 4, 2005 Apr i l 6, 2005<br />
45<br />
12
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