问一道题：NO.PZ2016082406000077 [ FRM II ]

NO.PZ2016082406000077 A bank is consiring buying (i.e., selling protection on) AAA-ratesuper-senior tranche [10% — 11%] of a synthetic collateralizeobligation (C) referencing investment-gra portfolio. The pricing of the tranche assumes a fixerecovery of 40% for all names. All else being equal, whione of the following four changes will make the principinvestemore risky? increase in subornation of 1% (i.e., investing in the [11%—12%] tranche) increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% increase in fault correlation between names in the portfolio. ANSWER: Increasing the subornation will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to wipeout, so is less risky. increase in the fault correlation will increase the risk. In the limit, if all assets fault the same time, all tranches will suffer a loss. 请问这个C的Recover Rate 是什么意思，没有理解C

NO.PZ2016082406000077 A bank is consiring buying (i.e., selling protection on) AAA-ratesuper-senior tranche [10% — 11%] of a synthetic collateralizeobligation (C) referencing investment-gra portfolio. The pricing of the tranche assumes a fixerecovery of 40% for all names. All else being equal, whione of the following four changes will make the principinvestemore risky? increase in subornation of 1% (i.e., investing in the [11%—12%] tranche) increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% increase in fault correlation between names in the portfolio. ANSWER: Increasing the subornation will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to wipeout, so is less risky. increase in the fault correlation will increase the risk. In the limit, if all assets fault the same time, all tranches will suffer a loss. 难道不是次级的更多，所以风险更大吗?

A bank is consiring buying (i.e., selling protection on) AAA-ratesuper-senior tranche [10% — 11%] of a synthetic collateralizeobligation (C) referencing investment-gra portfolio. The pricing of the tranche assumes a fixerecovery of 40% for all names. All else being equal, whione of the following four changes will make the principinvestemore risky? increase in subornation of 1% (i.e., investing in the [11%—12%] tranche) increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% increase in fault correlation between names in the portfolio. ANSWER: Increasing the subornation will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to wipeout, so is less risky. increase in the fault correlation will increase the risk. In the limit, if all assets fault the same time, all tranches will suffer a loss. 这个题没有看明白，能麻烦讲解一下吗？

     还是不太理解为什么B错了，增加了senior层的厚度不就是减少了其他层的厚度，反而减少了保护，增加了风险吗？