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Continuously increasing default probability (while holding default correlation constant) will most likely have what effect on the credit VaR of mezzanine and equity tranches?

●Equity VaR Mezzanine VaR

A) Increase Increase then decrease

B) Increase Decrease then increase

C) Decrease Increase then decrease

D) Decrease Decrease then increase

答案：C

解析：Increasing the probability of default decreases equity VaR as defaults are more likely, and the equity tranche will suffer writedowns. However, the writedowns are bounded by the thin level of subordination so the variation in losses becomes smaller.

Mezzanine tranches behave more like senior bonds at low default levels (increasing VaR) but more like the equity tranche at higher default levels (decreasing VaR)

Which of the following is an internal enhancements？

A) Overcollateralization

B) CDS

C) Put options on assets

D) Letters of credit

答案：A

解析:Internal enhancements include: overcollateralization, direct equity issue, holdback, cash collateral account (CCA), excess spread. External credit enhancement include insurance, and guaranties, letters of credit, CDS, put options on assets.

Which of the following statements on credit enhancement on securitized assets for the purposes of mitigating credit risk and liquidation risk are true?

Ⅰ.Internal and external enhancements can be used for both credit and liquidity risk.

Ⅱ.Liquidity reserves for liquidity risk are similar to a cash collateral account for credit risk.扫码咨询

A) I only

B) II only.

C) Both I and II.

D) Neither I nor II.

答案：C

解析：There's internal and external enhancements for both credit and liquidity enhancement.

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