FRM真題練習對于備考生是很重要的，下文是列舉的相關真題解析，希望對備考生有所幫助！

In pricing a first-to-default credit basket swap, which of the following is true, all else being equal?

A) The lower the correlation between the assets of the basket, the lower the premium.

B) The lower the correlation between the assets of the basket, the higher the premium.

C) The higher the correlation between the assets of the basket, the higher the premium.

D) The correlation between the assets has no impact in the premium of a first-to- default credit basket swap.

答案：B

解析：The lower the correlation between the assets of the basket, the higher the premium. In the case of a first-to-default swap, a credit event occurs the first time any of the entities defaults. This swap provides default protection against losses related to this first default, but not to any subsequent defaults.

Thus the question is whether the level of correlation between assets of the basket increases or decreases the likelihood of the triggering event. If the correlation between the assets in a credit basket swap is lower, the basket would be exposed to greater default risk. For example, the basket contains assets from different sectors, then the basket would be exposed to the default risk of each and every sector in the basket. If the basket only contains assets from one sector, then the correlation is higher, and the default risk is lower.

In analyzing the monthly prepayment risk of Mortgage-backed securities, an annual prepayment rate (CPR) is converted into a monthly prepayment rate (SMM). Which of the following formulas should be used for the conversion?

A) SMM = (1-CPR)1/12

B) SMM = 1 - (1-CPR)1/12

C) SMM = 1 - (CPR)1/12

D) SMM = 1+ (1-CPR)1/12

答案：B

解析：SMM = 1 - (1 - CPR)1/12, where SMM is the single monthly mortality rate and CPR is the conditional prepayment rate.

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