NO.PZ2018122701000068
问题如下：
Jack Ma, FRM, is studying difference model, including mean-reverting models, no-drift models, models that incorporate drift, and Ho-Lee models. Ma makes the following statements about the appropriate usage of these models:
Statement 1: Both Model 1 (no drift) and the Vasicek model assume non-parallel shifts from changes in the short-term rate.
Statement 2: The Vasicek model implies decreasing volatility in short-term rates while Model 1 assumes constant volatility of future short-term rates.
Statement 3: The Model 2 (constant drift model) is a more flexible model than the Ho-Lee model.
How many of the statements is/are incorrect?
选项：
A.0
B.1
C.2
D.3
解释：
C is correct.
考点：Term structure models
解析：要求选错误的陈述有几个。
Statement 1不正确. Model 1 assume parallel shifts from changes in the short-term rate.
Statement 2 正确.
Statement 3不正确.The Ho-Lee model is actually more general than Model 2, as no drift and constant drift models are special cases of the Ho-Lee model.
因此，有2个陈述错了，答案选C。
我仔细看了一下，老师提供的一个解析的图（说明v-model均值回归会有decreasing σ），里面其实说的是，如果同样的一个背景，如果假设它加上了这个均值回归，得出的σ353bps，会比不假设均值回归的模型得出的σ约390bps要小。这个小是针对不同模型（有均值回归和无均值回归）的区别，不是说它在V-model里面会变小吧？
