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saimeiei · 2019年09月30日

问一道题:NO.PZ2019052801000109 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

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

1 个答案

orange品职答疑助手 · 2019年09月30日

本题中的short/long yield volatility approach,就是在用蒙特卡洛模拟对MBS进行估值的建模过程中,对短期设定一个volatility,然后对长期再设定一个不同的volatility,并且一般而言短期的波动率要比长期的波动率更大

本题不是重要的知识点,可以在学有余力的情况下记一下结论就好了。以下是notes上的相关内容截图。

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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

这道题不是很明白,可以帮忙一下吗?还有,知识点在讲义的哪一页?

2019-07-27 14:09 1 · 回答