NO.PZ2016082406000077
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: An increase in subordination of 1% (i.e., investing in the [11%—12%] tranche) An increase in the tranche thickness from 1% to 3% (i.e., investing in the [10%—13%] tranche) Using a recovery rate assumption of 50% 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.
请问这个C选项的Recover Rate 是什么意思,没有理解C选项