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良爱洳 · 2021年11月18日

问一道题:NO.PZ2020033003000108 [ FRM II ]

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:

C 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.

想请问下I和III的知识点分别是在讲义的第几页?
1 个答案

李坏_品职助教 · 2021年11月18日

嗨,努力学习的PZer你好:


I对应讲义P402:


III对应讲义P514,514页给出了synthetic CDO的分层(tranche),也是标准化的三个级别,senior, mez, equity

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努力的时光都是限量版,加油!

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