What is the difference between Base Correlation and Implied Correlation for a CDO tranche?
I watched every documentary on the financial crisis and CDOs, tried to understand Wikipedia etc.. but still not getting the full picture as examples seem to be limited (or complicated). Say ...
I'm having a hard time getting my expected loss calculations to tie out with the standard recursion method when implementing the proxy distribution algorithm described by the Back To Normal CDO paper ...
What methods can be used to map the correlation skew of a credit index on a bespoke CDO portfolio?