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DDAXC · 2020年02月08日

问一道题:NO.PZ2016070201000033

问题如下:

In May of 2005, several large hedge funds had speculative positions in the collateralized debt obligations (CDOs) tranches. These hedge funds were forced into bankruptcy due to the lack of understanding of correlations across tranches. Which of the following statements best describes the positions held by hedge funds at this time and the role of changing correlations? Hedge funds held a:

选项:

A.

long equity tranche and short mezzanine tranche when the correlations in both tranches decreased.

B.

short equity tranche and long mezzanine tranche when the correlations in both tranches increased.

C.

short senior tranche and long mezzanine tranche when the correlation in the mezzanine tranche increased.

D.

long mezzanine tranche and short equity tranche when the correlation in the mezzanine tranche decreased.

解释:

D is correct. A number of large hedge funds were short on the CDO equity tranche and long on the CDO mezzanine tranche. Following the change in bond ratings for Ford and General Motors, the equity tranche spread increased dramatically. This caused losses on the short equity tranche position. At the same time, the correlation decreased for CDOs in the mezzanine tranche, Which led to losses in the mezzanine tranche.

为什么correlation在危机时会下降,在危机时要跌一起跌,不应该correlation上升吗?这里的correlation指的是CDO产品的三个层的相关性,但我也不能明白为什么危机时一个产品的三个层次的相关性会下降?

1 个答案
已采纳答案

品职答疑小助手雍 · 2020年02月08日

同学你好,我觉得可以把2005这个案例当成一个特殊案例来记。

一般情况下是金融危机来临时,相关系数会升高。

但在2005这里危机里,教材给的理由是,之所以bond之间的相关性在降低,是因为投资者纷纷购买投资级债券,抛售投机级债券,因此投资级债券价格上升, 投机级债券价格下降,它们的相关性下跌。而因为HF是short equity CDS,long mezzanine CDS,但因为随着相关性的下跌,equity CDS的spread在上升,而mezzanine CDS的spread在下降(这是根据当时的实证结果来的),因此HF的一卖一买两头都在亏。