# Tag Info

An implied correlation $\rho_i(k_1,k_2)$ is a correlation that matches the $(k_1,k_2)$ tranche price $P_{k_1}^{k_2}$ (usually computed under a gaussian or student t copula) $$C(k_1,k_2,\rho_i(k_1,k_2)) = P_{k_1}^{k_2}$$ For mezzanine tranches, there can sometimes be two different implied correlations matching the tranche price. A base correlation ...