NO.PZ2020033003000039
问题如下：
Regarding the portfolio losses and default correlation, which of the following statements is not correct?
选项：
A. An increase in correlation would decrease the value of senior tranches.
B. An increase in correlation would increase the value of equity tranches.
C. At high default rates, increasing default correlation decreases the value of mezzanine tranche.
D. All of the above are correct.
解释：
C is correct.
考点： Structured Credit Risk
解析：相关性上升是要么一起违约要么一起不违约，所以increase equity，decrease senior。
违约率高时，mezzanine更像equity，此时相关性上升的话会increase mezzanine tranche。
A和B都是对的吧？老师。
