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猫肉球 · 2022年07月30日

第一句

  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：

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.

啥叫attachment points

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1 个答案

李坏_品职助教 · 2022年07月30日

嗨，爱思考的PZer你好：


这个是和损失分布有关的。attachment point意思是这一层级的损失起始值。只有当Loss超过了attachment point的时候，该tranche才会亏钱。senior tranche的attachment很高，所以信用损失概率比较低。

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