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粉红豹 · 2018年09月18日

问一道题:NO.PZ2018062012000010 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:




老师你好,这道题目之前有同学问了,但是我依然有疑问:

先看题目,题目问哪个分层使得投资者免于遭受prepayment risk。

我选的C。

就像何老师上课讲的,prepayment cash flow过多,support 把多余的都吸收了,自己承担了prepayment risk ; 当prepayment cash flow不够时,它把所有的prepayment cash flow都让给PAC ,因此,真正起作用的应该是support tranche。

这样理解对吗?

P.S.  题目中support 的拼写错了,不是surpot,而是support


1 个答案

发亮_品职助教 · 2018年09月18日

这道题题干实际上出的有点歧义。

按照题目的解释来看,题目实际想问的是:哪个结构的投资者,遭受的Prepayment risk较小。

所以PAC这层面临的Prepayment risk较小;因为有保护层保护


而题干的表述容易理解成哪一层能减少(PAC层)的prepayment risk;

显然是PAC保护层提供的;


这个只要知识点清楚就好。

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