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seven-zhu · 2022年10月17日

rt

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000096

问题如下：

The securitization process is a complex process that involves a number of different players and thus is subject to several frictions. Which of the following is not a friction in the subprime securitization market?

选项：

A.

Investor and rating agency.

B.

Investor and asset manager.

C.

Asset manager and servicer.

D.

Servicer and arranger.

解释：

D is correct.

考点：Frictions in subprim securizatoin.

The servicer and arranger have no direct contact so there is no friction.

model error那里怎么理解呢

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已采纳答案

pzqa27 · 2022年10月18日

嗨，爱思考的PZer你好：


rating agency是由Arranger雇佣的，并非投资者，而且评级机构在评级使用的模型一般投资者也无法获取到。这里由于投资者模型和评级机构模型不一致导致的friction 我们认为是model error

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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