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还是星宇好 · 2020年10月04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).

老师我这逻辑错哪里了

PD高,equity的损失概率大,sigma小,所以cvar 小,CD中选

PD高,m=equity,那么损失概率大,sigma小,cvar 小,所以选D

怎么答案选C呢


1 个答案
已采纳答案

小刘_品职助教 · 2020年10月04日

同学你好,

因为PD有个从低到高的过程,所以m最开始是接近senior层的,之后才是相当于equity,所以m层是先增加后减少。

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