信用違約交換是為一種保護，信用交易市場所謂買入保護或賣出保護。信用相關性產品意指資產組合內個別信用個體之間違約相關性所定價的產品。這些產品包含合成式債信抵押債券（synthetic CDO）、第N次違約組合（The N times To Default baskets or NTD baskets）和與匯率或利率連結合成式債信抵押債券或第N次違約組合之高收益債券（Hybrids），進一步的發展為更具流動性信用違約交換組合指標（CDS indices）。 相關性市場暴露幾種形式的風險。主要風險包括違約風險、突發違約風險、差價風險（spread risk）、差價凸性風險（spread convexity risk）、隱含相關性風險（implied correlation risk）和時間遞減（time decay）。 相關性投資人會因資產組合隱含相關性風險變動而提高市價評估波動性。然而，相關性交易員操作Delta避險部位仍暴露相當高隱含相關性風險。Delta是相關性函數，在不斷的Delta平衡操作中，使得交易員在買入或賣出相關度時產生獲利或是損失。因此，相關性交易隔絕風險是藉由不斷修正結合不同信用層、信用違約交換指標或單一信用標的信用違約交換暴露。 本篇文章提供相關性交易指導，且所包含要點如下： （一）市場展望、規模、結構及參與者。 （二）信用違約交換及違約相關性分析及相關性產品成長。 （三）評估違約相關性及相關性產品定價。 （四）相關性交易Delta避險、敏感度（Rho）、差價凸性（spread convexity）及突發的違約風險（Instantaneous Default Risk）。 （五）相關性策略（Correlation Strategies）。 / Credit default swaps are also known as “protection”. Transactions in the market are usually referred to in terms of either buying or selling protection. Credit correlation products refer to portfolio-based products where the price of the product is a function of default correlation between the individual credits in the portfolio. These include products such as synthetic CDOs（including single-tranche）, Nth-to-default（NTD）baskets and hybrids such as FX or IR structures linked to a CDO or NTD. Participants in the correlation market are exposed to several type of risk. The key risks include default swap, instantaneous default risk, spread risk, spread convexity risk, implied correlation risk and time decay. Correlation investors are exposed to the MTM volatility arising out of changes in implied default correlation of the underlying tranche. However, correlation traders with delta-hedged portfolios maintain a relatively high exposure to implied correlation. Delta is a function of correlation and consequent rebalancing of deltas can lead to gains and losses for correlation traders based on whether they are long or short correlation. Therefore, correlation traders can isolate the risks via a correct combination of different tranches, CDS index and single-name CDS exposures. This report provides a user guide to correlation trading and covers topics including the following： （1）Market prospects、scale、structure and participants. （2）Credit default swap、default correlation analysis and the growth of correlation products. （3）Evaluating default correlation and pricing correlation products. （4）Correlation trading about Delta-hedged、Rho、spread convexity and Instantaneous Default Risk. （5） Correlation Strategies.