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: I only.
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