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和棋 · 2021年04月06日

请问这个C选项的Recover Rate 是什么意思,没有理解C选项

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:

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.

请问这个C选项的Recover Rate 是什么意思,没有理解C选项

1 个答案

品职答疑小助手雍 · 2021年04月07日

嗨,爱思考的PZer你好:


就是重新假设一个RR,也就是把rr从40%提升到50%,那整个组合的LGD其实就更低了,那应该是对tranche们利好。所以不会更risky

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