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尼克内姆 · 2020年03月06日

问一道题:NO.PZ2018062020000022 [ CFA I ]

问题如下:

Securitization benefits investors by:

选项:

A.

providingmore direct access to a wider range of assets.

B.

reducingthe inherent credit risk of pools of loans and receivables.

C.

eliminatingcash flow timing risks of an ABS, such as contraction and extension risks.

解释:

A is correct. Securitization allows investors to achieve more direct legal claims on loans and portfolios of receivables. As a result, investors can addto their portfolios exposure to the risk–return characteristics provided by awider range of assets.

B is incorrect because securitization does not reduce credit risk but, rather, provides a structure to mitigate and redistribute the inherent credit risks of pools of loans and receivables. 

C is incorrect because securitization does not eliminate the timing risks associated with ABS cash flows but, rather, provides a structure to mitigate and redistribute those risks, such as contraction risk and extension risk.

c项是什么风险,能用中文解释下吗?

2 个答案

吴昊_品职助教 · 2020年06月28日

是的。资产证券化并没有消除timing risks, 而是重新分配了contraction risk and extension risk. 

吴昊_品职助教 · 2020年03月07日

contraction risk是缩期风险,extension risk是延期风险。这两个风险一般是指在证券化的产品里,因为贷款的提前偿还速度和之前预设的提前还款速度不一致导致的。如果借款者可以提前还款,那么产生的是contraction risk; 如果借款者拖延还款,产生的是extension risk。

Hugo(Xie Lanzhi) · 2020年06月25日

所以这两个风险点是包含在资产证券化里面的,而不是消除了,对吗?