可同學
2021-05-19 23:03As correlation increases, the value of equity traches usually increase relative to the value of senior and mezzanine tranches. 老師，這個為啥呀
所屬：CFA Level III > Fixed-Income Portfolio 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
Nicholas助教
2021-05-20 13:46
該回答已被題主采納
同學，下午好。
當相關(guān)性增加，投資級債券違約，投機級債券違約；或投資級債券不違約，投機級債券不違約。那么我不如選擇收益率更高的投機級債券，這時會有更高的收益率，大概率也不會違約（因為投資級債券也不違約，兩者相關(guān)性強）。所以Equity層級的表現(xiàn)更好。
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追問
correlation tend to be highly positive, can profit by buying the subordinated, and selling the senior tranches. 那這里為什么不買equity，而買subordinated? Equity 不是更便宜嘛
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追答
同學，下午好。
下文為原版書原文，
With subordination, a CDO has more than one bond class or tranche, such as senior bond classes, mezzanine bond classes (bond classes with credit ratings between senior and subordinated bond classes), and subordinated bond classes (often referred to as the residual or equity tranches).
equity tranches是包含在subordinated bond classes中的。
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