问题如下：
A standard synthetic CDO references a portfolio of 10 corporate names. Assume the following. The total reference notional is X, and the term is Y years. The reference notional per individual reference credit name is X/10. The default correlations between the individual credit names are all equal to one. The single-name CDS spread for each individual name is 100bp? for a term of Y years. The assumed recovery rate on default for all individual reference credits is zero in all cases. The synthetic CDO comprises two tranches, a 50% junior tranche priced at a spread J, and a 50% senior tranche priced at spread S. All else constant, if the default correlations between the individual reference credit names are reduced from 1.0 to 0.7, what is the effect on the relationship between the junior tranche spread J and the senior tranche spread S?
选项： The
relationship remains the same.
S increases relative to J.
C.J increases relative to S.
D.The effect cannot be determined given the data supplied.
解释：
ANSWER: C
If the correlation is one, all names will default at the same time, and the junior and senior tranche will be equally affected. Hence their spread should be 100bp, which is the same as for the collateral. With lower correlations, the losses will be absorbed first by the junior tranche. Therefore, the spread on the junior tranche should be higher, which is offset by a lower spread for the senior tranches.
请问一下，我这样理解是否正确：相关性降低，senior的value变大，junior承担损失的可能性变大，所以value会变小，spread为债券收益，与value负相关，所以senior spread会变小，junior spread变大。
