The correlation value that is implied from the market price of a tranche of a specific collateralized debt obligation (CDO). This value is typically derived by inverting the pricing formula (one-factor Gaussian copula) in order to match the market price of a given tranche (CDO tranche). Mathematically, for a given CDO tranche with attachment points K₁, K₂ and quoted premium S^K1,K2, if G^{K1, K2} (S, ρ) is the model price (based on one-factor Gaussian copula, the parameter ρ (rho) will satisfy the following equation:

G^{K1, K2} (S^{K1, K2}, ρ) = 0