开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Roseline · 2020年12月26日

问一道题:NO.PZ2018122701000075

问题如下:

An analyst is looking at various models used to incorporate drift into term structure models. The Ho-Lee Model:

选项:

A.

Incorporates no-risk premium to the interest rate model allowing rates to vary according to their volatility.

B.

Incorporates drift as a premium to interest rates that remains constant over time.

C.

Allows for a risk premium to be applied to interest rates that changes over time.

D.

Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.

解释:

C is correct.

考点 Term Structure Models

解析 The Ho-Lee model incorporates a premium to each rate change that can be different at each point in time.

老师好,这里的risk premium, 是不是指的是λ(t)dt这一项?为什么这个可以认为是risk premium?

1 个答案
已采纳答案

小刘_品职助教 · 2020年12月27日

同学你好,

可以允许risk premium变动的是λ(t)dt这一项,但并不是说这项就是risk premium,在h-lmodel里因为允许了随着时间的偏移不一样,如果risk premium发生了变动,那你就可以改变这一项值,也就是不同时间的interest rate偏移不同。

  • 1

    回答
  • 0

    关注
  • 472

    浏览
相关问题

NO.PZ2018122701000075 问题如下 analyst is looking various mols useto incorporate ift into term structure mols. The Ho-Lee Mol: Incorporates no-risk premium to the interest rate mol allowing rates to vary accorng to their volatility. Incorporates ift a premium to interest rates thremains constant over time. Allows for a risk premium to applieto interest rates thchanges over time. Incorporates ift into the mol following the assumption thrates revert to the long-run equilibrium value. C is correct. 考点 : Term Structure Mols 解析 : The Ho-Lee mol incorporates a premium to each rate change thcfferent eapoint in time. Incorporates ift into the mol following the assumption thrates revert to the long-run equilibrium value.述好像没错啊

2022-10-08 12:08 1 · 回答

NO.PZ2018122701000075 Incorporates ift a premium to interest rates thremains constant over time. Allows for a risk premium to applieto interest rates thchanges over time. Incorporates ift into the mol following the assumption thrates revert to the long-run equilibrium value. C is correct. 考点 Term Structure Mols 解析 The Ho-Lee mol incorporates a premium to earate change thcfferent eapoint in time. 请问那个equilibrium 会体现在现在学的所有mol里吗

2021-11-02 12:34 2 · 回答

NO.PZ2018122701000075 Incorporates ift a premium to interest rates thremains constant over time. Allows for a risk premium to applieto interest rates thchanges over time. Incorporates ift into the mol following the assumption thrates revert to the long-run equilibrium value. C is correct. 考点 Term Structure Mols 解析 The Ho-Lee mol incorporates a premium to earate change thcfferent eapoint in time. 老师请问在哪里呢

2021-07-08 21:05 1 · 回答

NO.PZ2018122701000075

2021-02-17 23:51 2 · 回答