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2020-11-11 18:38習(xí)題冊139: a bank creates ABS from its pool of subprime mortgages. Subsequently, the bank created ABS CDO from the mezzanine tranche of the ABS. Each structured security has 3 tranches. The senior tranche of the ABS CDO has: C, lower risk than the equity tranches of both the ABS and ABS CDO D, lower risk than both the equity and mezzanine tranches of the ABS 這個題我之前提過一點，我再詳細(xì)記錄下：這里為何一下說ABS一下說ABS CDO，以及他們到底屬于三層的哪一層？有點暈，望解答
所屬：FRM Part I > Foundations of Risk Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Jenny助教
2020-11-12 14:12
該回答已被題主采納
同學(xué)你好，這里ABS首先分成了三層，一層Senior，一層mezzanine，一層equity，風(fēng)險Senior最小，mezzanine次之，equity最大。然后又從ABS中的mezzanine這一層創(chuàng)造了一個ABS CDO，同樣也分成上面三層。也就是說ABS CDO中的三層全部來自于ABS的mezzanine這一層。見附圖。
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