NO.PZ2022071105000021
问题如下:
A hedge fund risk manager plans to adopt an interest rate term structure model whose risk neutral dynamics
display mean reversion and a time-varying drift. The manager is considering the Vasicek model as one of the
candidates. Which of the following best describes a feature of the Vasicek model?
选项:
A.Shocks to short-term rates give rise to a downward-sloping term structure of volatility and the model
allows for a time dependent drift.
B.Short-term rates tend toward a long run equilibrium value and the expected value of the change in short
term rates is always zero over time.
C.Shocks to short-term rates affect all rates equally, giving rise to parallel shifts.
D.There is no mean reversion and the risk premium corresponds to a constant drift in the Vasicek model.
解释:
中文解析:
A是正确的。Vasicek模型包含了均值回归效应。该模型也考虑到了风险溢价,反映在模型中的固定漂移项或随时间变化的漂移项。在一个具有均值回归的模型中,冲击对短率利率的影响超过长期利率,并导致一个向下倾斜的波动率期限结构。
B是不正确的,因为Vasicek模型的漂移项并不总是零。
C是不正确的,因为冲击对短期利率的影响大于长期,Vasicek模型具有均值回归效应。
D不正确。Vasicek模型包含了均值回归效应。该模型也考虑到了风险溢价,反映在模型中的固定漂移项或随时间变化的漂移项。
A is correct. The Vasicek model incorporates mean reversion. The flexibility of the model
also allows for risk premium, which enters into the model as constant drift or a drift that
changes over time. In a model with mean reversion, shocks to the short rate affect short
term rates more than longer-term rates and give rise to a downward-sloping term
structure of volatility.
B is incorrect as the drift of Vasicek model is not always zero.
C is incorrect because shocks to the short rate affect short-term rates more than longer
term rates as Vasicek model comes with mean reversion.
D is incorrect. The Vasicek model incorporates mean reversion. The flexibility of the model
also allows for risk premium, which enters into the model as a constant drift or a drift that
changes over time.
如题