136. You are considering an investment in the mezzanine tranche of a tranched basket default swap (TBDS) constructed from a basket of N assets. The TBDS is structured such that the junior tranche is exposed to the first four defaults, the mezzanine tranche to the fifth, sixth, seventh and eighth defaults, and the senior tranche to the ninth and higher defaults. The risk of this investment increases as:

a. The number of assets in the basket, N, increases and the default correlation of the assets becomes closer to zero.

b. The number of assets in the basket, N, increases and the default correlation of the assets becomes more negative.

c. The number of assets in the basket, N, decreases and the default correlation of the assets becomes closer to zero.

d. The number of assets in the basket, N, decreases and the default correlation of the assets approaches becomes negative.

Answer: b

我选的是a,不明白为什么default correlation of the assets becomes more negative的时候违约率增加