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莫等闲 · 2019年07月27日

问一道题:NO.PZ2019052801000109 [ FRM I ]

这道题不是很明白,可以帮忙解释一下吗?

还有,知识点在讲义的哪一页?

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

品职答疑小助手雍 · 2019年07月28日

同学你好,这个知识点传递的是一种理念,哪种情况下适合用蒙特卡洛。 因为蒙特卡洛要估计整个路径上的每一个节点,所以遇到估计mbs这种每期都在变动,而且变动不均匀的产品的时候比较合适。所以b选项,长期和短期(波动性不同)分别估计会更合适。

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NO.PZ2019052801000109 use a short/long yielvolatility approach. use annuinterest rates over the entire life of the mortgage security. ignore the stribution of the interest rate paths useto termine the theoreticvalue. B is correct. When using the Monte Carlo approato estimate the value of MBSs, the mol shouluse more thone volatility measure for all interest rate paths. It is very common to use a short/ long yielvolatility approato estimate monthly rates. Although the information regarng the stributions of interest rate paths is oftentimes ignore it contains valuable information anshoulconsire 老师您好,C错在哪里呀?另外,这个知识点具体在哪里呢?

2021-10-28 08:25 1 · 回答

NO.PZ2019052801000109 When using the Monte Carlo approato estimate the value of mortgage-backesecurities (MBSs), the mol shoul use one consistent volatility measure for all interest rate paths. use a short/long yielvolatility approach. use annuinterest rates over the entire life of the mortgage security. ignore the stribution of the interest rate paths useto termine the theoreticvalue. B is correct. When using the Monte Carlo approato estimate the value of MBSs, the mol shouluse more thone volatility measure for all interest rate paths. It is very common to use a short/ long yielvolatility approato estimate monthly rates. Although the information regarng the stributions of interest rate paths is oftentimes ignore it contains valuable information anshoulconsire 里面最后一句话和是一样的吗,都是Ignore the stribution of interest rate?

2021-03-14 17:16 1 · 回答

老师你好,不是很理解这道题考的知识点在哪里,蒙特公式里面,有趋势和随机扰动,但随机扰动里的omega是稳定的吧

2019-09-30 08:58 1 · 回答