问题如下:
Continuously increasing default probability (while holding default correlation constant) will most likely have what effect on the credit VaR of mezzanine and equity tranches?
选项: Decrease Decrease then increase
解释:
C Increasing the probability of default decreases equity VaR as defaults are more likely, and the equity tranche will suffer writedowns. However, the writedowns are bounded by the thin level of subordination so the variation in losses becomes smaller. Mezzanine tranches behave more like senior bonds at low default levels (increasing VaR) but more like the equity tranche at higher default levels (decreasing VaR).
为什么一开始S层和M层会增加呢