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Hi david..

Could u help with the concept behind the non negative default correlation used in modelling credit risk...from the extract," we oftern set all the pairwise correlation equal to a single parameter"

That single parameter is market factor right??

And why it should be non negative and why non negative values disturb the matrix on default correlation...pls answer

Could u help with the concept behind the non negative default correlation used in modelling credit risk...from the extract," we oftern set all the pairwise correlation equal to a single parameter"

That single parameter is market factor right??

And why it should be non negative and why non negative values disturb the matrix on default correlation...pls answer

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