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猫肉球 · 2022年07月30日

第一句

NO.PZ2020033003000108

问题如下:

Tony Han, a junior analyst, is considering recommendations of the structure products to his clients. How many of his following observation(s) is(are) correct?

I. Senior tranches have large attachment points and hence a low probability of credit losses.

II. Equity tranches represent the first loss piece of the capital structure.

III. Synthetic CDOs have standardized tranche widths similar to index tranches.

选项:

A.

0.

B.

1.

C.

2.

D.

3.

解释:

C is correct.

考点:Structured Credit Risk

解析:

Statement I and II correct.

Statement III is incorrect. Index tranches, not synthetic CDOs, have standardized tranche widths.

啥叫attachment points

1 个答案

李坏_品职助教 · 2022年07月30日

嗨,爱思考的PZer你好:


这个是和损失分布有关的。attachment point意思是这一层级的损失起始值。只有当Loss超过了attachment point的时候,该tranche才会亏钱。senior tranche的attachment很高,所以信用损失概率比较低。

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