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HG · 2020年03月13日

问一道题:NO.PZ2018123101000032

问题如下:

Madison prefers arbitrage-free models. She thinks even though equilibrium models require fewer parameters to be estimated relative to arbitrage-free models, arbitrage-free models allow for time-varying parameters. In general, this allowance leads to arbitrage-free models being able to model the market yield curve more precisely than equilibrium models.

Is Madison correct in describing key differences in equilibrium and arbitrage-free models as they relate to the number of parameters and model accuracy?

选项:

A.

Yes

B.

No, she is incorrect about which type of model requires fewer parameter estimates

C.

No, she is incorrect about which type of model is more precise at modeling market yield curves

解释:

A is correct.

考点:Equilibrium Term Structure Models and Arbitrage-free Models

解析:均衡期限结构模型相对于无套利模型需要较少的参数估计,无套利模型允许时变参数(time-varying parameters)。因此,无套利模型可以比均衡模型更精确地模拟市场收益率曲线。

为啥均衡模型比无套利模型需要更少的参数,从表达式上看,感觉CIS、V、HL模型都差不多,为啥HL是无套利的模型?

1 个答案

吴昊_品职助教 · 2020年03月14日

均衡模型的参数不需要跟着市场状况的变动而变动,均值复归的速度,长期均衡水平,volatility只要估一次就可以了,所以估的参数会较少。而arbitrage-free的参数,包括趋势项和随机项都会随时时间而不断调整,因此估计的参数更多。