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小鸣哥哥 · 2020年09月14日

问一道题:NO.PZ2018062007000064

问题如下:

For a given CDO, which of the following tranches is most likely to have the highest expected return?

选项:

A.

Equity.

B.

Senior.

C.

Mezzanine.

解释:

A is correct. The expected returns of the tranches vary according to the perceived credit risk, with the senior tranches having the highest credit quality and the junior tranches the lowest. Thus, the senior tranches have the lowest expected returns and the junior tranches have the highest. The most junior tranche is sometimes called the “equity tranche.”

B is incorrect because the senior tranches in a CDO have the lowest expected returns and the junior (or equity) tranches have the highest.

C is incorrect because the senior tranches in a CDO have the lowest expected returns and the junior (or equity) tranches have the highest. A mezzanine tranche is intermediate between the senior and junior tranches.

您好老师,


我的问题是针对讲义的,不是这道题目。


讲义最后一句话是:Holders of ABSs have effectively WRITTEN PUT OPTIONS.


这句话是如何理解的,请麻烦帮我解答一下。

1 个答案

丹丹_品职答疑助手 · 2020年09月14日

嗨,从没放弃的小努力你好:


同学你好,针对你的问题,原版书是这么表述的

ABSs seem to have only an indirect and subtle resemblance to options, but they are
indeed options. Tey promise to make a series of returns that are typically steady. Tese
returns can be lowered if prepayments or defaults occur. Tus, they are contingent
on prepayments and defaults. Take a look again at Exhibit 4, Panel B (the proft and
payoff of a short put option). If all goes well, there is a fxed return. If something goes
badly, the return can be lowered, and the worse the outcome, the lower the return.
Tus, holders of ABSs have effectively written put options.
对于ABS的购买者而言他们看似能获得比较稳定的收益(但是也不会随着底层资产收益的增高而变大),却在abs底层商品的价格下跌情况下也不会获得更多收益,甚至有获得损失的可能性。

 


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努力的时光都是限量版,加油!


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2020-09-21 23:56 1 · 回答