Exploring correlation risk

Credit guide: basket default swaps


Whereas the simple CDS market provides buyers or sellers of protection with a play on the probability of a single default, an increasingly popular area of the broader credit derivatives market has been products that allow market participants to express a view on correlation risk.

In simple terms, correlation risk refers to the likelihood of an event of any kind at one credit having a direct impact on another. For the purposes of the credit derivatives market, discussions on correlation risk ge

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: