我知道C对，但是A为啥不对呢

NO.PZ2016082405000091

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：

Correlation.

Excess spread.

First-loss piece.

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.

因为感觉ρ和系统性风险有关，如果ρ出问题，也会导致发行人破产吧？

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品职答疑小助手雍 · 2021年03月14日

嗨，爱思考的PZer你好：

这里的ρ指的也不一定是系统性风险beta里那个ρ，我读起来更像是和留在金融机构BS上的那些资产的相关性。

不过要考察题目本质的话，还是关于风险究竟有没有转移的问题，既然说的是风险转移，而C选项作为equity那层的承担者意味着风险没有转移的话，就对应了题目问句里maintain这个词。而且题目里还有个best，所以作为第一个承担损失的层级才是风险maintain的最惨的，ρ这个概念一是不符合风险转移里的转移这个词，二是就算是它也算风险也不是best的选项。

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2021-03-25 20:20 1 · 回答

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我知道C对，但是A为啥不对呢

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