- The correlation between a counterparty credit spread and the systematic factor that drives all indices is set to 50%.
- The correlation between credit spreads of any two counterparties is .
- The correlation
between the credit spread of counterparty
and the credit spread of it’s single-name hedge
are set as follows:
Single-name hedge of counterparty
Reference counterparty directly
Has legal relation with counterparty
Shares sector or region with counterparty