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hbc0728 · 2023年01月29日

请问V-model哪项跟时间有关,还有A选项中波动率结构又指的是什么,谢谢。

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

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已采纳答案

品职答疑小助手雍 · 2023年02月02日

drift项也有关,不过我觉得关系没有波动项直接,它是已经假设了每一期的变化速率或者均值复归速率了,不过每一期这个速率的假设可以说是跟这一期的时间长短有关的。

品职答疑小助手雍 · 2023年01月31日

对的,不过我才发现之前打错字了,是波动项和时间相关,因为有个dt~

hbc0728 · 2023年02月01日

有drift项的模型,drift项也跟时间有关对吧

品职答疑小助手雍 · 2023年01月30日

同学你好,最直接的就是波动性和时间有关,描述中的利率期限结构就是一个一个节点推往后推利率的变化,形成的一条利率变化的线。

hbc0728 · 2023年01月30日

那也就是说每一个模型都与时间有关对吗?

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NO.PZ2022071105000021 问题如下 A hee funrisk manager plans to apt interest rate term structure mol whose risk neutrnamicssplmereversion ana time-varying ift. The manager is consiring the Vasicek mol one of thecantes. Whiof the following best scribes a feature of the Vasicek mol? A.Shocks to short-term rates give rise to a wnwarsloping term structure of volatility anthe molallows for a time pennt ift. B.Short-term rates tentowara long run equilibrium value anthe expectevalue of the change in shortterm rates is always zero over time. C.Shocks to short-term rates affeall rates equally, giving rise to parallel shifts. There is no mereversion anthe risk premium correspon to a constant ift in the Vasicek mol. 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。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 mol incorporates mereversion. The flexibility of the molalso allows for risk premium, whienters into the mol constant ift or a ift thatchanges over time. In a mol with mereversion, shocks to the short rate affeshortterm rates more thlonger-term rates angive rise to a wnwarsloping termstructure of volatility.B is incorrethe ift of Vasicek mol is not always zero.C is incorrebecause shocks to the short rate affeshort-term rates more thlongerterm rates Vasicek mol comes with mereversion.is incorrect. The Vasicek mol incorporates mereversion. The flexibility of the molalso allows for risk premium, whienters into the mol a constant ift or a ift thatchanges over time. 如题

2024-03-16 13:13 1 · 回答