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优先级证券投资策略在中国市场,资产证券化产品的优先级证券是低风险偏好投资者的最佳投资标的。从风险的角度来说,优先级证券的预期风险最小,而且由于优先级证券做空一个看跌期权,其风险随时间会越来越小,其评级下调的可能性更低。如果优先级证券可以用标准券的形式质押,优先级证券也将是固定收益对冲基金的最佳标的。图1表明了优先级证券预期现金流和资产违约率的直接关系。图2反映了优先级证券的预期损失随时间的变化关系。可见其预期损失随时间减小,其预期价值随时间增大,这是由优先
PRIORITY SECURITIES INVESTMENT STRATEGY In the Chinese market, priority securities for asset securitized products are the best investment target for low-risk preference investors. From a risk perspective, the expected risk for the priority stock is the smallest, and as the priority stock shorts a put, the risk becomes less and less over time and the probability of a downgrade lower. If the priority securities can be pledged in the form of standard bonds, the priority securities will also be the best targets for fixed income hedge funds. Figure 1 shows the direct relationship between the expected cash flows of the senior notes and the asset default rate. Figure 2 reflects the expected loss of priority securities over time. It can be seen that the expected loss decreases over time and its expected value increases with time, which is given priority