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金融民工阿聪 · 2020年08月16日

问一道题:NO.PZ2016082405000106

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:

Equity VaR
Mezzanine VaR
A.
Increase
  Increase then decrease
B.
Increase
  Decrease then increase
C.
Decrease
  Increase then decrease
D.

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

2 个答案

小刘_品职助教 · 2021年02月18日

同学你好,


这个建议这么理解

对于equity来说,随着pd 上升,EL上升,WCL-EL下降,所以VAR下降。

mezzanine 最开始违约率低的时候是跟senior更一致的,所以开始的时候VaR上升,之后更像equity,然后VaR就下降了。

小刘_品职助教 · 2020年08月16日

同学你好,

这个解释起来很难精准,大体上可以这么理解,当违约率比较低的时候,所有的损失都会由equity承担,所以S层和M层是不会受到影响的,这个时候这两层相对于S和M层的价值会更高点。

LHY · 2020年10月14日

但是他是问的S和M的credit VaR,如果credit VaR 高岂不是说风险更大,S和M的价值应该更小吧。

金融民工阿聪 · 2021年02月18日

但是他是问的S和M的credit VaR,如果credit VaR 高岂不是说风险更大,S和M的价值应该更小吧。

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2020-10-04 00:31 1 · 回答

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2020-04-08 23:45 1 · 回答

     请问老师怎么去考虑var的影响,是因为pshang s上升,EL上升,WCL-ELxia下降,所以VAR下降吗,谢谢。这部分很难记住,有什么方法。感谢。

2018-10-02 18:30 1 · 回答