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ZF Everyday · 2021年03月21日

SMM的问题

NO.PZ2019052801000107

问题如下:

If the conditional prepayment rate (CPR) for a pool of mortgages is assumed to be 5% on an annual basis and the weighted average maturity of the underlying mortgages is 15 years, which of the following amounts is closest to the .constant maturity mortality?

选项:

A.

0.333%.

B.

0.405%.

C.

0.427%.

D.

0.5%.

解释:

C is correct.

The constant maturity mortality (or single monthly mortality rate) is a monthly measure. Its

relationship to CPR is as follows:

SMM=1 (1CPR) 1/ 12 =1 (10.05) 1/ 12 =1 0.95 1/ 12 =0.43%

the .constant maturity mortality等于SMM?不太理解

2 个答案

袁园_品职助教 · 2021年03月22日

同学你好!

不好意思,这个讲义和原版书都没提及,你就当做补充知识点知道一下就可以(FRM出题一向不太规范...

袁园_品职助教 · 2021年03月22日

是的,constant maturity mortality也就是SMM

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