Credit correlation model debuts on Bloomberg
Morgan Stanley’s credit correlation model has been made available on Bloomberg today. The model can be used to price basket and single-tranche credit derivatives.
The standard Gaussian copula type model (Risk August 2004) allows up to 150 credit names to be input, and an implied correlation calculated “in a matter of seconds”, Watkinson told RiskNews.
Today’s launch is the culmination of around one year of collaboration between Morgan Stanley and Bloomberg.
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