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。
相关性下降，底层违约意味着上层不违约，所以今后上层的protection肯定要更贵了，但他已经卖了，卖早了，所以他实际上这个position亏了。这样理解不对嘛？
