... wiped out. On the other hand,as the correlation increases, the value of the least senior tranches increases as well as more weight isbeing put on the other tail of the distribution - and very few ... determines the risk distribution of the portfolio, the more variability in the mixture distribution of ˜p, the more correlation of defaults there is, and hence more weight on the tails of the distribution. ... the same initial rating and, the mean difference is -0.02 and the standard deviation is 0.601.Similar results emerge when we compare S&P and Moody’s, and Moody’s and Fitch. While S&Passign...