Copula Base Correlation Tranche Calculator

Extract base correlations from market tranche quotes using the one-factor Gaussian copula. Base correlation is the implied correlation that prices each tranche as an equity piece from 0% to the detachment point.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Extract base correlations from market tranche quotes using the one-factor Gaussian copula. Base correlation is the implied correlation that prices each tranche as an equity piece from 0% to the detachment point

Each component has a specific meaning:

  • Market tranche quotes — The market tranche quotes recorded for the scenario being assessed.

Note: Interpret the base correlation tranche result against the thresholds and context described above.

How to Use

Enter the market tranche quotes for the scenario you are assessing. Extract base correlations from market tranche quotes using the one-factor Gaussian copula. Base correlation is the implied correlation that prices each tranche as an equity piece from 0% to the detachment point. Use the base correlation tranche result to inform your calculation.

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Frequently Asked Questions