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Emmmmmmmua · 2022年10月24日

synthetic CDO

  1. FRM II
  2. Credit Risk Measurement And Management

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.

III synthetic CDO知识点是在哪里呢

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pzqa27 · 2022年10月25日

嗨，努力学习的PZer你好：


这里

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加油吧，让我们一起遇见更好的自己！

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