开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

轩羊羊 · 2023年07月11日

不理解

* 问题详情,请 查看题干

NO.PZ202209060200004206

问题如下:

Which of Larent’s statements about structured financial instruments is most likely correct? The statement about:

选项:

A.relative value. B.diversification. C.the value of the senior tranches.

解释:

Solution

A is correct. Laurent’s statement about relative value is correct. CDOs are securities whose underlying cash flows are the interest and principal of the underlying debt instruments that are pledged as collateral. Whenever the value of a CDO is different from the value of its underlying collateral (in this example, the CDO value is lower as implied by the BB rating of its underlying debt instruments), an arbitrage opportunity exists. In this example, the trade opportunity is to (1) short (alternatively, purchase credit default swaps on) the underlying bonds and (2) purchase the undervalued CDO.

B is incorrect because the collateral for a CDO consists of its underlying corporate bonds. Accordingly, there is no diversification benefit.

C is incorrect because the mezzanine tranche of a CDO increases by more than the senior tranche whenever correlations increase.

AA rated CDOs currently offer significant relative value for long-term investors as the yield spread reflects a BB default rate expectation for the underlying collateral.这句话怎么理解?谢谢

1 个答案

pzqa015 · 2023年07月11日

嗨,努力学习的PZer你好:


AA 级的CDO价格反映出的违约率是BB级CDO的,换句话说,AA级别的spread被高估了,也就是它的价格被低估了,所以,可以提供更大的相对价值。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 1

    关注
  • 490

    浏览
相关问题

NO.PZ202209060200004206 问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase. 老师好,关于这道题的A和B我的理解是这样的,您看对不对“The cret cycle is expecteto improve. For purposes of versification, both collateralizeobligations (Cs) antheir unrlying corporate bon shoulincluin the portfolio. rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral.”大背景环境会变好为了做分散化,要同时买C和C底层的corporate bon—这个应该不太对,要么只买C要么只买底层,同时买肯定不是分散化。现在AA的C提供的相对价值比BB的预期违约率要高“rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral.”——这句话是什么意思我没太明白,意思是说AA的C现在比BB的C值钱么?

2024-05-24 17:03 1 · 回答

NO.PZ202209060200004206问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about:A.relative value.B.versification.C.the value of the senior tranches.SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase.​relative value啥意思呀?是哪块的知识点呀?谢谢!

2023-08-06 22:40 1 · 回答

NO.PZ202209060200004206 问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase. 如题

2023-05-21 11:56 1 · 回答

NO.PZ202209060200004206 问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase. 麻烦老师讲下这道题,谢谢

2023-04-24 02:42 4 · 回答