问一道题：NO.PZ2020033003000108 [ FRM II ]

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：

C 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.

想请问下I和III的知识点分别是在讲义的第几页？

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1 个答案

李坏_品职助教 · 2021年11月18日

嗨，努力学习的PZer你好：

I对应讲义P402：

III对应讲义P514，514页给出了synthetic CDO的分层（tranche），也是标准化的三个级别，senior, mez, equity

----------------------------------------------
努力的时光都是限量版，加油！

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问一道题：NO.PZ2020033003000108 [ FRM II ]

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