kathy sham
2020-10-10 15:46Q81 能指細(xì)説明答案嗎？算不出來(lái)
所屬：FRM Part II > Credit Risk Measurement and Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2020-10-12 14:05
該回答已被題主采納
同學(xué)你好，解析如下
CPR = 0.4%, therefore, SMM = 1 – (1 – CPR)^(1/12) = 0.03%
I/Y = 5.5/12, N = 60, PV = 20,000,000, FV = 0 → PMT = 382,023.24
Interest payment = 20,000,000 × 5.5%/12 = 91,666.67
Principal payment = 382,023.24 – 91,666.67 = 290,356.58
SMM = prepayment/(beginning balance – scheduled principal payment) = 0.03% = prepayment/(20,000,000 – 290,356.58)
Therefore, prepayment = 6,581.96
選最接近的B選項(xiàng)就可以了
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