问题如下：
An investor has sold default protection on the most senior tranche of a CDO. If the default correlation decreases unexpectedly, assuming everything else is unchanged, the investor’s position will
选项： Gain
value since the probability of exercising the protection falls.
Lose value, since the investor^ protection will gain value.
C.Neither gain nor lose value since only expected default losses matter and correlation does not affect expected default losses.
D.It depends on the pricing model used and the market conditions.
解释：
ANSWER: A
The value of the senior tranche depends on the default correlation. If this goes down, the distribution of losses will be more diversified, or tighter, which makes it less likely that losses will wipe out the lower tranches. Hence, the value of senior tranche goes up. Selling default protection is equivalent to being long the senior tranche, which creates a gain under these conditions.
default correlation指的是不同层次之间的还是senior tranch 内部的correlation呢？
