问一道题：NO.PZ2016082406000076

A stanrsynthetic C references a portfolio of 10 corporate names. Assume the following. The totreferennotionis X, anthe term is Y years. The referennotionper invireferencret name is X/10. The fault correlations between the invicret names are all equto one. The single-name C sprefor eainviname is 100bp? for a term of Y years. The assumerecovery rate on fault for all invireferencrets is zero in all cases. The synthetic C comprises two tranches, a 50% junior tranche pricea spreJ, ana 50% senior tranche pricespreS. All else constant, if the fault correlations between the invireferencret names are recefrom 1.0 to 0.7, whis the effeon the relationship between the junior tranche spreJ anthe senior tranche spreS? The relationship remains the same. S increases relative to J. J increases relative to S. The effecannot terminegiven the ta supplie ANSWER: C If the correlation is one, all names will fault the same time, anthe junior ansenior tranche will equally affecte Hentheir spreshoul100bp, whiis the same for the collateral. With lower correlations, the losses will absorbefirst the junior tranche. Therefore, the spreon the junior tranche shoulhigher, whiis offset a lower sprefor the senior tranches. 请问一下，我这样理解是否正确相关性降低，senior的value变大，junior承担损失的可能性变大，所以value会变小，sprea债券收益，与value负相关，所以senior sprea变小，junior sprea大。