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Travel、 · 2024年03月16日

这个问题怎么判断使用beginning value 还是current value呢？

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000094

问题如下：

Shown below are five mortgages that comprise the entire pool in a mortgage-backed security.


The WAM for this security is closest to:

选项：

A.

208 months

B.

224 months

C.

236 months

解释：

The correct answer is C. The weighted average maturity is calculated by weighting the number of months to maturity for each mortgage in the pool by the percentage of the outstanding mortgage balance relative to the outstanding amount of all the mortgages in the pool, as shown in the following equation:


如题

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李坏_品职助教 · 2024年03月16日

嗨，从没放弃的小努力你好：


这个公式参考讲义：

可以看到WAM的定义中，计算涉及到的是outstanding balance以及outstanding amount，这个中文意思是当前存留的余额，也就是表格中的current Balance。也可以参考讲义P416的例题。




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NO.PZ2023052301000094 问题如下 Shown below are five mortgages thcomprise the entire pool in a mortgage-backesecurity.The Wfor this security is closest to: A.208 months B.224 months C.236 months The correanswer is The weighteaverage maturity is calculateweighting the number of months to maturity for eamortgage in the pool the percentage of the outstanng mortgage balanrelative to the outstanng amount of all the mortgages in the pool, shown in the following equation: 为什么求The Wfor this security is closest to:，是tenor的期限，而不是总的平均期限呢？

2024-04-30 16:01 1 · 回答