Credit correlation model debuts on Bloomberg

The pricing model should make correlation trading more accessible to a wider range of investors, said Lisa Watkinson, head of structured credit product managementat Morgan Stanley in New York.

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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