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410140980 · 2023年07月20日

index tranches, synthetic CDOs,

  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.

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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