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accost · 2020年02月20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.

当时HF的策略是short equity CDS,long mezzanine CDS,相当于是long equity tranche of CDO,short mezzanine tranche of CDO,D里的头寸不是相反了吗?

2 个答案

orange品职答疑助手 · 2020年03月06日

因为此时(PD较高时)它就像是equity层。对equity层而言,它是最先用来挡子弹的,所以它希望相关性越高越高(假设相关性为1,要么都违约,要么都不违约,那就会存在不违约的可能,那就亏不到;如果相关性是-1,不是你违约就是我违约,就必然有一个人违约,那么作为最先吸收损失的equity层,就一定会受损失)。所以此时,因为long mezzanine层就相当于long equity层,会在相关性下降时更容易亏钱。

orange品职答疑助手 · 2020年02月20日

同学你好,这道题在每届学生里都会引起争议,确实它有点问题的。。

如果本题问的是CDS,那同学你说的没错,D里的头寸就反了,应该选A

但如果本题就是问的考CDO,在2005年的时候,评级下调这个是背景没有问题,如果再往前一步得到PD变高的条件的话,那就能得到long mezzanine tranche亏钱的结论: PD变高,mezzanine层像equity层,此时mezzanine层内相关性下降的话,不是你违约就是我违约,所以long mezzanine层就会亏钱。

总而言之,建议同学不要太纠结在这道题上面了,掌握好相关知识点就行~

Eve · 2020年03月05日

不是很清楚,为什么mezzanine tranche 内部相关性下降后,long mezzanine tranche就很容易亏钱?