index tranches, synthetic CDOs,

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：

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.

老师index tranches, synthetic CDOs,有什么区别，什么叫standard structure

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1 个答案

DD仔_品职助教 · 2023年07月21日

嗨，从没放弃的小努力你好：

同学你好，

tranche widths可以理解为每个tranche所吸收的份额。

synthetic CDOs可以按照我们平常学的具有senior, mezzanine，junior不同tranche的CDO来理解。它的equity tranche吸收的loss的比例不一样，可能是10%，可能是15%，可能是20%等等。

而index tranches，它就比较特殊，它有更多的tranche，而每个tranche所吸收的loss的层次，是确定好了的，是有范围的。所以说index tranches有更标准的tranche widths。

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index tranches, synthetic CDOs,

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