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Jin WANG · 2020年08月15日

问一道题:NO.PZ2016082405000039

问题如下:

Which of the following statements about portfolio losses and default correlation are most likely correct?

I. Increasing default correlation decreases senior tranche values but increases equity tranche values.

II. At high default rates, increasing default correlation decreases mezzanine bond prices.

选项:

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释:

A  Statement I is true. Increasing default correlation increases the likelihood of more extreme portfolio returns (very high or very low number of defaults). The increased likelihood of high defaults negatively impacts the senior tranche. On the other hand, the increased likelihood of few defaults benefits the equity tranche as it bears first loss. Statement II is false. At high default rates, increasing the correlation increases the likelihood of more extreme portfolio returns which benefits equity investors and mezzanine investors.

ii的value上升,价格不是下降吗

1 个答案

品职答疑小助手雍 · 2020年08月16日

嗨,从没放弃的小努力你好:


首先违约率高的时候mezzanine更像equity,

然后correlation大的时候要违约都违约,equity(和mezzanine像,归为一类)和senior要违约都违约的话价值会上升,不是下降,所以ii不对。


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