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RyanR · 2023年04月25日

关于attachpoint概念

  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.

这个概念的意义是什么，为什么是在CDS index这个概念里提到呀？

既然是分层，肯定得亏到这个层级得钱，才会赔付呀，设置一个attchment point的意义又是什么呢？

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已采纳答案

李坏_品职助教 · 2023年04月25日

嗨，从没放弃的小努力你好：


放在这里只是为了说明方便，并不是说只有CDS index tranche才有这个attachment point，就像是普通的CDO一样，都会有attachment point。

对于一个tranche层级，他的区间范围是[x,y]这里x就是attachment point。只有确定了这个比例，我们才能知道当index损失达到百分之多少的时候，才会导致该tranche亏损。x等于是该层级的起始点。


如果没有这个attachment point, 我们也无法确切知道到底loss到达多少才会亏到这一个层级。这就是每个tranche层级的分界线。



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