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wawjbng · 2021年08月12日

答案错了

NO.PZ2020033003000039

问题如下:

Regarding the portfolio losses and default correlation, which of the following statements is not correct?

选项:

A.

An increase in correlation would decrease the value of senior tranches.

B. An increase in correlation would increase the value of equity tranches.

C.

At high default rates, increasing default correlation decreases the value of mezzanine tranche.

D.

All of the above are correct.

解释:

C is correct.

考点: Structured Credit Risk

解析:相关性上升是要么一起违约要么一起不违约,所以increase equity,decrease senior。

违约率高时,mezzanine更像equity,此时相关性上升的话会increase mezzanine tranche。

A和B都是对的吧?老师。
1 个答案

品职答疑小助手雍 · 2021年08月12日

嗨,努力学习的PZer你好:


AB都是对的,答案让选not correct,所以不选。

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努力的时光都是限量版,加油!