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

小奔驰 · 2020年03月09日

问一道题:NO.PZ2016082406000077 [ FRM II ]

问题如下:

A bank is considering buying (i.e., selling protection on) an AAA-rated super-senior tranche [10% 11%] of a synthetic collateralized debt obligation (CDO) referencing an investment-grade portfolio. The pricing of the tranche assumes a fixed recovery of 40% for all names. All else being equal, which one of the following four changes will make the principal invested more risky?

选项:

A.

An increase in subordination of 1% (i.e., investing in the [11%—12%] tranche)

B.

An increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche)

C.

Using a recovery rate assumption of 50%

D.

An increase in default correlation between names in the portfolio.

解释:

ANSWER: D

Increasing the subordination will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to be wiped out, so is less risky. An increase in the default correlation will increase the risk. In the limit, if all assets default at the same time, all tranches will suffer a loss.

老师,这个D要怎么理解?什么叫names in the portfolio,相关性上升是会增加风险,但是这个选项放到实操里是怎么做呢?

1 个答案

袁园_品职助教 · 2020年03月09日

同学你好!

names in the portfolio 可以理解为就是这个 tranche 里的那些个股。

相关性上升就是例如这个 tranche 里的10只股票有8只都是地产股,那么地产行业的news就会影响80%的股票,要涨一起涨要跌一起跌,所以风险更大。

你问的实操里怎么做是指遇到这种情况该怎么办还是什么意思?可以多解释一下吗?欢迎继续讨论!

  • 1

    回答
  • 0

    关注
  • 365

    浏览
相关问题

NO.PZ2016082406000077 A bank is consiring buying (i.e., selling protection on) AAA-ratesuper-senior tranche [10% — 11%] of a synthetic collateralizeobligation (C) referencing investment-gra portfolio. The pricing of the tranche assumes a fixerecovery of 40% for all names. All else being equal, whione of the following four changes will make the principinvestemore risky? increase in subornation of 1% (i.e., investing in the [11%—12%] tranche) increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% increase in fault correlation between names in the portfolio. ANSWER: Increasing the subornation will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to wipeout, so is less risky. increase in the fault correlation will increase the risk. In the limit, if all assets fault the same time, all tranches will suffer a loss. 请问这个C的Recover Rate 是什么意思,没有理解C

2021-04-06 22:17 1 · 回答

NO.PZ2016082406000077 A bank is consiring buying (i.e., selling protection on) AAA-ratesuper-senior tranche [10% — 11%] of a synthetic collateralizeobligation (C) referencing investment-gra portfolio. The pricing of the tranche assumes a fixerecovery of 40% for all names. All else being equal, whione of the following four changes will make the principinvestemore risky? increase in subornation of 1% (i.e., investing in the [11%—12%] tranche) increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% increase in fault correlation between names in the portfolio. ANSWER: Increasing the subornation will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to wipeout, so is less risky. increase in the fault correlation will increase the risk. In the limit, if all assets fault the same time, all tranches will suffer a loss. 难道不是次级的更多,所以风险更大吗?

2021-03-27 13:51 1 · 回答

A bank is consiring buying (i.e., selling protection on) AAA-ratesuper-senior tranche [10% — 11%] of a synthetic collateralizeobligation (C) referencing investment-gra portfolio. The pricing of the tranche assumes a fixerecovery of 40% for all names. All else being equal, whione of the following four changes will make the principinvestemore risky? increase in subornation of 1% (i.e., investing in the [11%—12%] tranche) increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% increase in fault correlation between names in the portfolio. ANSWER: Increasing the subornation will make the senior tranche less risky because there is a thicker layer beneath to absorb losses. Increasing the thickness of the tranche will make it less likely to wipeout, so is less risky. increase in the fault correlation will increase the risk. In the limit, if all assets fault the same time, all tranches will suffer a loss. 这个题没有看明白,能麻烦讲解一下吗?

2020-05-15 10:24 1 · 回答

     还是不太理解为什么B错了,增加了senior层的厚度不就是减少了其他层的厚度,反而减少了保护,增加了风险吗?

2019-03-18 10:16 1 · 回答