The junior and senior tranches can only be equally risky if the probability distribution is perfectly binary (i.e., the only possibilities are either all borrow

The junior and senior tranches can only be equally risky if the probability distribution is perfectly binary (i.e., the only possibilities are either all borrowers pay 100% back, or all borrowers pay 0% back). This is simply a mathematical identity. Or if you're in bed with ratings agencies who will rate whatever, however you want & you have an entire industry that will take their word for it.