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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?

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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。

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