NO.PZ2018122701000071
问题如下:
A risk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Roll model. Which of the following describes this model?
选项:
A.The model presumes that the volatility of the short rate will increase at a predetermined rate.
B.The model presumes that the volatility of the short rate will decline exponentially to a constant level.
C.The model presumes that the basis-point volatility of the short rate will be proportional to the rate.
D.The model presumes that the basis-point volatility of the short rate will be proportional to the square root of the rate.
解释:
D is correct.
考点Term Structure Models
解析In the CIR model, the basis-point volatility of the short rate is not independent of the short rate as other simpler models assume. The annualized basis-point volatility equals and therefore increases as a function of the square root of the rate.
为什么A错呢。。。