default correlations
Posted: April 23rd, 2009, 12:04 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.