这个知识点在教材哪里

问题如下：

A risk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Roll model. Which of the following describes this model?

选项：

A.

The model presumes that the volatility of the short rate will increase at a predetermined rate.

B.

The model presumes that the volatility of the short rate will decline exponentially to a constant level.

C.

The model presumes that the basis-point volatility of the short rate will be proportional to the rate.

D.

The model presumes that the basis-point volatility of the short rate will be proportional to the square root of the rate.

解释：

D is correct.

考点$：$Term Structure Models

解析$：$In the CIR model, the basis-point volatility of the short rate is not independent of the short rate as other simpler models assume. The annualized basis-point volatility equals $\sigma\sqrt r$ and therefore increases as a function of the square root of the rate.