NO.PZ2020033002000078
问题如下:
In a synthetic CDO, the homogeneous reference portfolio has following characters:
Number of reference entities = 50;
CDS spread, ;
Recovery rate .D
Defaults are independent.
The annual default probability on a single name is constant over five years and obeys the relation: .
What is the expected number of defaulting entities over the next five years, and which of the following tranches would lose 100% of the principal invested and hence be entirely wiped out?
选项:
A.
There would likely be 14 defaults and tranches up to the 3% are wiped.
B.
There would likely be 14 defaults and tranches up to the 8.5% are wiped.
C.
There would likely be 7 defaults and tranches up to the 3% are wiped.
D.
There would likely be 7 defaults and tranches up to the 8.5% are wiped.
解释:
D is correct.
考点:CDO
解析:
先算 PD .
5年累积PD ,where the survival rates are , , and so on.
The expected number of defaults is therefore = 7.
With a recovery rate of 40%, the expected loss is 8.5% of the notional.
So, all the tranches up to the 8.5% point are wiped out.
为什么不能用1-e的(-lambda×t)
t代入5