be valued on these trees. The model accommodates different correlation assumptions and practical implementation … intensity correlations (residual copula correlation). Both are found to impact credit loss distributions, though the absence of … either makes these distributions less sensitive to correlation assumptions; on balance intensity correlations are more …

driven by the same Brownian motion it is frequently assumed that the log correlation between these assets is perfect over an … arbitrary interval. Our paper proves that the log correlation over is not perfect and we calculate the correct correlation for … correlation can lead to significant erroneous results …