可同学2021-05-19 23:03:44
可同学As correlation increases, the value of equity traches usually increase relative to the value of senior and mezzanine tranches. 老师，这个为啥呀
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Nicholas2021-05-20 13:46:20
Nicholas同学，下午好。
当相关性增加，投资级债券违约，投机级债券违约；或投资级债券不违约，投机级债券不违约。那么我不如选择收益率更高的投机级债券，这时会有更高的收益率，大概率也不会违约（因为投资级债券也不违约，两者相关性强）。所以Equity层级的表现更好。
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correlation tend to be highly positive, can profit by buying the subordinated, and selling the senior tranches. 那这里为什么不买equity，而买subordinated? Equity 不是更便宜嘛
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同学，下午好。
下文为原版书原文，
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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