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Dorothy · 2020年02月27日

问一道题：NO.PZ2016082405000091

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A major benefit of securitization for a financial institution is the ability to remove assets from the balance sheet, which lowers risk and the required regulatory capital. While a large portion of the risk is removed from the balance sheet the originating financial institution often maintains a portion of the risk. -Which of the following terms best identify the risk that is maintained by the originator?

选项：

A.

Correlation.

B.

Excess spread.

C.

First-loss piece.

D.

Guarantor of collateral value.

解释：

C The originator often maintains ownership of the first-loss piece, which is the class of assets with the lowest credit quality and is the most junior level where losses are first absorbed in the event of a default.

麻烦问下我理解的哪里不对：银行的风险资产被打包成了资产证券化产品卖给了投资人，银行只收取了利差，当贷款人（资产证券化标的资产）违约时，投资者承担风险，银行不承担，所以这部分资产才得以出表。银行也就是originator为什么会承担equity的风险呀？

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1 个答案

orange品职答疑助手 · 2020年02月28日

同学你好，你的理解没问题，只是有时equity层或equity层的一部分，会被机构自留。因为equity层遇到风险时会被首先拿去挡子弹，所以这个被我们称为first-loss piece。

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