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Garfield · 2024年10月26日

老师您好，index tranch这个知识点在基础班讲义的哪里呀，谢谢

  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.

老师您好，index tranch这个知识点在基础班讲义的哪里呀，谢谢

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1 个答案

pzqa27 · 2024年10月28日

嗨，从没放弃的小努力你好：


这个题是一个老题目，index tranches现在已经不学了，这里了解即可，它指的是针对信用指数credit index，比如我们学过的 CDX NAIG 和 itraxx europe，来构建一个结构化产品。

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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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