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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<strong>Term</strong> <strong>Structure</strong> <strong>of</strong> Base <strong>Correlation</strong><br />
Strike<br />
Calibrated Base <strong>Correlation</strong> <strong>Term</strong> <strong>Structure</strong><br />
(ITraxx, Feb 10, 2006)<br />
20-Dec-08<br />
20-Dec-10<br />
20-Dec-12<br />
20-Dec-15<br />
3.0%<br />
11.82%<br />
8.94%<br />
6.00%<br />
2.72%<br />
6.0%<br />
18.95%<br />
18.16%<br />
18.75%<br />
5.81%<br />
9.0%<br />
22.93%<br />
23.81%<br />
28.73%<br />
13.68%<br />
12.0%<br />
24.72%<br />
28.71%<br />
36.47%<br />
19.19%<br />
22.0%<br />
35.96%<br />
40.19%<br />
57.34%<br />
34.43%<br />
21
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