来自：FRM > 二级 > 综合押题 2020-09-12 17:49
老师您好，360题，相关性下降，senior价值上升，junior下降，不应该选b吗
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shan
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264
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1768天前
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shan
提问
264
上次登录
1768天前
jason 2020-09-14 09:20
致精进的你:
If the correlation is reduced below 1.0 to 0.70, there are some outcomes where only some issuers default; these cases will impact the junior tranche more than the senior tranche. However, the overall average default rate remains the same. This means that at a correlation less than 1.0, the junior tranche bears more of the risk than the senior tranche. Therefore, the spread on the junior tranche will increase relative to that of the senior tranche.相关性下降，senior价值上升，junior下降，junior风险更高，所以spread on the junior tranche will increase relative to that of the senior tranche
The real talent is resolute aspirations.
真正的才智是刚毅的志向。
