问一道题：NO.PZ2016082405000106

Continuously increasing fault probability (while holng fault correlation constant) will most likely have wheffeon the cret Vof mezzanine anequity tranches? Equity VMezzanine VIncrease   Increase then crease Increase   crease then increase crease   Increase then crease crease   crease then increase C Increasing the probability of fault creases equity Vfaults are more likely, anthe equity tranche will suffer writewns. However, the writewns are bounthe thin level of subornation so the variation in losses becomes smaller. Mezzanine tranches behave more like senior bon low fault levels (increasing VaR) but more like the equity tranche higher fault levels (creasing VaR). 为什么一开始S层和M层会增加呢

Increase   crease then increase crease   Increase then crease crease   crease then increase C Increasing the probability of fault creases equity Vfaults are more likely, anthe equity tranche will suffer writewns. However, the writewns are bounthe thin level of subornation so the variation in losses becomes smaller. Mezzanine tranches behave more like senior bon low fault levels (increasing VaR) but more like the equity tranche higher fault levels (creasing VaR). 答案写反了吧，应该equity是crease

     请问老师怎么去考虑var的影响，是因为pshang s上升，EL上升，WCL-ELxia下降，所以VAR下降吗，谢谢。这部分很难记住，有什么方法。感谢。