陳同學(xué)
2021-03-21 11:34老師，關(guān)于第一個(gè)statement，我是這樣理解的：若senior和equity tranche同時(shí)違約，買equity因?yàn)楸阋耍蝗敉瑫r(shí)不違約，買equity，因?yàn)槭找娓?。mezzanine與equity更像，所以mezzanine的value相較senior提高。 但，為什么mezzanine的value相較equity也提高？不應(yīng)該是equity更attractive嗎？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Nicholas助教
2021-03-22 10:34
該回答已被題主采納
同學(xué)，早上好。
這里協(xié)會(huì)勘誤了，內(nèi)容如下，
In the information for Questions 10-15, after “Easton:” (page 300 of print) should read, “If the correlation of the expected defaults on the CDO collateral of the senior and subordinated traches is positive, the relative value of the equity tranche compared with the senior and mezzanine tranches will increase.”
In the solution to Question 15 (page 302 of print), the last sentence should read, “As correlations increase, the values of the equity tranches usually increase relative to the values of the senior and mezzanine tranches.”
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