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noemie · 2021年10月14日

No.PZ2020033003000040 (选择题)

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000108

问题如下：

Tony Han, a junior analyst, is considering recommendations of the structure products to his clients. How many of his following observation(s) is(are) correct?

I. Senior tranches have large attachment points and hence a low probability of credit losses.

II. Equity tranches represent the first loss piece of the capital structure.

III. Synthetic CDOs have standardized tranche widths similar to index tranches.

选项：

A.

0.

B.

1.

C.

2.

D.

3.

解释：

B is correct.

考点：Structured Credit Risk

解析：

Statement I and II correct.

Statement III is incorrect. Index tranches, not synthetic CDOs, have standardized tranche widths.

三个选项可以再详细解释一下吗，谢谢！

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1 个答案

李坏_品职助教 · 2021年10月14日

嗨，努力学习的PZer你好：


I说的是senior部分也就是优先级的债券，一般都有更好的抵押物和稳定的现金流，所以违约风险比较低。


II说的是投机级，也就是次级债券，在整个债券结构化产品中是最先可能受到冲击的。如果债务人出现了违约，那么是现亏损次级债券，等到次级的都亏完了，才会影响senior部分。


III说的是组合出来的CDO和Index tranche有类似的标准化的债券分层结构，这是错误的。因为只有Index tranche才有标准化结构这一说

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