NO.PZ2020033002000072
问题如下：
Mike has sold default protection on the most senior tranche of a CDO. If the default correlation decreases unexpectedly, assuming everything else remains unchanged, how would the value of Mike's position change?
选项：
A.Mike's position would gain value.
B.Mike's position would lose value.
C.Mike's position would neither gain nor lose value.
D.It depends on the pricing model used and the market conditions.
解释：
A is correct.
考点：CDO
解析：
相关系数下降，对senior tranche是好事啊，因为大概率亏不到它了。此时 Mike 卖出的保险不理赔的概率上升，所以 Mike's position 的价值上升了。
你好这道题我想问下MIKE 卖CDS，在底层资产逾期概率降低的情况难道不是他这个CDS价格变低了吗为什么说他会GAIN value，MIKE并没有买这个senior tranch呢
