No.PZ2020033003000040 (选择题)

NO.PZ2020033003000108

问题如下：

Tony Han, a junior analyst, is considering recommendations of the structure products to his clients. How many of his following observation(s) is(are) correct?

I. Senior tranches have large attachment points and hence a low probability of credit losses.

II. Equity tranches represent the first loss piece of the capital structure.

III. Synthetic CDOs have standardized tranche widths similar to index tranches.

选项：

解释：

B is correct.

考点：Structured Credit Risk

解析：

Statement I and II correct.

Statement III is incorrect. Index tranches, not synthetic CDOs, have standardized tranche widths.

三个选项可以再详细解释一下吗，谢谢！

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李坏_品职助教 · 2021年10月14日

嗨，努力学习的PZer你好：

I说的是senior部分也就是优先级的债券，一般都有更好的抵押物和稳定的现金流，所以违约风险比较低。

II说的是投机级，也就是次级债券，在整个债券结构化产品中是最先可能受到冲击的。如果债务人出现了违约，那么是现亏损次级债券，等到次级的都亏完了，才会影响senior部分。

III说的是组合出来的CDO和Index tranche有类似的标准化的债券分层结构，这是错误的。因为只有Index tranche才有标准化结构这一说

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No.PZ2020033003000040 (选择题)

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