Long on defualt correlation

JohnsonLeeBridge · April 22nd, 2009, 6:51 am

Hi all,I read some where long on CDS of a single name credit and short on a mezzanine tranche is termed as being long on correlation.Also, correlation is negatively correlated with the premium of an equity tranche if overall expectation of default remains the same.Then going long on equity tranche is going short on correlation. How can these be explained intuitively.Thanks.

Wibble · April 22nd, 2009, 7:53 am

Read some of domonic o'kane's papers on credit

JohnsonLeeBridge · April 23rd, 2009, 12:10 am

Where can I find the paper

Wibble · April 23rd, 2009, 6:42 am

There's a modern searching tool called google which witha little effort will lead you herehttp://www.classiccmp.org/transputer/finengineer/