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LHY · 2020年10月14日

问一道题：NO.PZ2016082405000100

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Which of the following subprime characteristics provide direct protection for senior tranches?

选项：

A.

Subordination, excess spread, and shifting interest.

B.

Subordination, prepayments, and shifting interest.

C.

Overcollateralization, excess spread, and timing of losses.

D.

Overcollateralization, excess spread, and prepayments.

解释：

A Subordination, excess spread, and shifting interest provide protection for senior tranches. Overcollateralization also provides protection for senior tranches. Timing of losses impacts excess spreads. Prepayments can accelerate or decelerate the cash flows to senior tranches.

shifting interest 指的是啥？

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1 个答案

品职答疑小助手雍 · 2020年10月15日

嗨，努力学习的PZer你好：


就是前期某段时间（一般是36个月），其他层只还利息，只有senior层还的事本金+利息。


-------------------------------
努力的时光都是限量版，加油！


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