问题如下:
Which of the following statements best describes the calculation of implied correlation?
选项: A. The implied correlation for the
mezzanine tranche assumes non-constant pairwise correlation.
B. Observable market prices of credit
default swaps are used to infer the tranche values.
C. The tranche pricing function is
calibrated to match the model price with the market price.
D. The risk-adjusted default
probabilities are used in model calibration.
解释:
C Starting with observed market prices and a pricing function for the tranches, it is possible to back out the implied correlation to calibrate the model price with the market price. The computation of implied correlation assumes constant pairwise correlation. Both credit default swap and tranche values are observed. Observed tranche values are used in conjunction with risk-neutral default probabilities to compute implied correlation.
B和C的区别请问在哪里呢?只知道隐含的相关系数需要通过市场价格反求,但是这两个选项都提到了市场价格,具体怎么判断呢?