课件里有提到implied correlation吗？

问题如下：

Regarding implied correlation, which of the following statements is correct?

选项：

A.

The credit default swap (CDS) term structure observed in the market is used to get tranche values.

B.

Given the observed market prices, the risk-neutral default curves and the pricing function for the tranches, we can calculate a riskneutral implied correlation for each tranche.

C.

Risk-adjusted default probability is uesed in model calibration.

D.

Correlations generally constant by tranche.

解释：

B is correct.

考点： Structured Credit Risk

解析：证券化过程中，通过观察市场价格、风险中性的违约率曲线，以及每个tranche的价格，可以来计算风险中性的隐含相关性，相当于通过市场状况进行模型校准，同时不同tranche内的隐含相关性会不同（这也叫correlation skew）。