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我们 · 2020年05月15日

问一道题:NO.PZ2016082406000077

问题如下:

A bank is considering buying (i.e., selling protection on) an AAA-rated super-senior tranche [10% 11%] of a synthetic collateralized debt obligation (CDO) referencing an investment-grade portfolio. The pricing of the tranche assumes a fixed recovery of 40% for all names. All else being equal, which one of the following four changes will make the principal invested more risky?

选项:

A.

An increase in subordination of 1% (i.e., investing in the [11%—12%] tranche)

B.

An increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche)

C.

Using a recovery rate assumption of 50%

D.

An increase in default correlation between names in the portfolio.

解释:

ANSWER: D

Increasing the subordination 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 be wiped out, so is less risky. An increase in the default correlation will increase the risk. In the limit, if all assets default at 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?

1 个答案

品职答疑小助手雍 · 2020年05月15日

嗨,爱思考的PZer你好:


这题问的是:一家银行持有的是synthetic CDO的super-senior层级(约占整个CDO的10-11%左右),整个资产池的rr是40%,问以下哪种情形会使这家银行持有的整个头寸的风险增加。

答案就是相关性增大的时候,此时要违约一起违约,super-senior层级的安全性就下降了。


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