NO.PZ2020033002000077
问题如下：
Ace bank is considering buying the super-senior tranche [10%12%] of a synthetic collateralized debt obligation (CDO). The pricing of the tranche assumes a fixed recovery of 50% for all names. All else remaining equal, which one of the following changes will make the principal invested less risky?
选项：
A.An decrease in subordination of 1% (i.e., investing in the [9%—11%] tranche)
B.An decrease in the tranche thickness from 2% to 1% (i.e., investing in the [10%—11%] tranche)
C.Using a recovery rate assumption of 40%
D.An decrease in default correlation between names in the portfolio.
解释：
D is correct.
考点：CDO
解析：
A is incorrect. Decreasing the subordination will make the senior tranche more risky because there is a thinner layer beneath to absorb losses.
B is incorrect. Decreasing the thickness of the tranche will make it more likely to be wiped out.
C is incorrect. An decrease in recovery rate will make it more risky.
D is correct. An decrease in the default correlation will decrease the risk.
前三个选项不太清楚，麻烦解答
