base correlation on Bloomberg(CDSM)

dreamonstreet · March 16th, 2006, 7:23 pm

hiwhat is the meaing of Base Correlation Mode on Bloomberg (CDSM)? how does it work?Thanks

Kasparov · March 16th, 2006, 7:43 pm

This is used when you have your Base Correlations. (I.e. zero to attach and zero to detach - in other words two equity tranche correlations). This is an alternative to using the tranche impled correlation (which you can also do on BBG)

dreamonstreet · March 16th, 2006, 8:10 pm

how to decide the attached base corr and deattached base corr for the tranches? thanks

waiter222 · May 9th, 2006, 7:21 pm

From the previous quoted tranche - ie. use detachment corr. of equity for the attachment corr. of 3-7s. This should work - albeit the BBerg model is not 100% accurate and is ONLY for std. tranches not for bespoke even if you have curves for the credits.