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FrankSun · 2021年10月24日

关于解析

NO.PZ2018123101000031

问题如下:

Madison describes features of equilibrium and arbitrage-free term structure models.

Statement 1: Equilibrium term structure models are factor models that use the observed market prices of a reference set of financial instruments, assumed to be correctly priced, to model the market yield curve.

Statement 2: In contrast, arbitrage-free term structure models seek to describe the dynamics of the term structure by using fundamental economic variables that are assumed to affect interest rates.

Which of Madison’s statement(s) regarding equilibrium and arbitrage-free term structure models is incorrect?

选项:

A.

Statement 1 only

B.

Statement 2 only

C.

Both Statement 1 and Statement 2

解释:

C is correct.

考点:Equilibrium Term Structure Models and Arbitrage-free Models

解析:注意题干是让选项Incorrect的Statement,两种说法都不正确,因此选择C。均衡期限结构模型是因子模型,通过用影响利率的基本经济变量来描述利率期限结构。

无套利期限结构模型,假设市场定价正确,然后使用市场价格来模拟市场收益率曲线。

老师,这个解析是不是刚好说反了?

1 个答案

WallE_品职答疑助手 · 2021年10月24日

嗨,努力学习的PZer你好:


没有说反呀 这道题选不正确的。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2018123101000031 问题如下 Mason scribes features of equilibrium anarbitrage-free term structure mols.Statement 1: Equilibrium term structure mols are factor mols thuse the observemarket prices of a referenset of financiinstruments, assumeto correctly price to mol the market yielcurve.Statement 2: In contrast, arbitrage-free term structure mols seek to scrithe namiof the term structure using funmenteconomic variables thare assumeto affeinterest rates.Whiof Mason’s statement(s) regarng equilibrium anarbitrage-free term structure mols is incorrect? A.Statement 1 only B.Statement 2 only C.Both Statement 1 anStatement 2 C is correct.考点Equilibrium Term Structure Mols anArbitrage-free Mols解析注意题干是让Incorrect的Statement,两种说法都不正确,因此选择C。均衡期限结构模型是因子模型,通过用影响利率的基本经济变量来描述利率期限结构。无套利期限结构模型,假设市场定价正确,然后使用市场价格来模拟市场收益率曲线。 老师可以帮忙一下两个模型的key point嘛?或者可以提供一下具体的讲义?

2024-09-26 23:14 2 · 回答

NO.PZ2018123101000031 问题如下 Mason scribes features of equilibrium anarbitrage-free term structure mols.Statement 1: Equilibrium term structure mols are factor mols thuse the observemarket prices of a referenset of financiinstruments, assumeto correctly price to mol the market yielcurve.Statement 2: In contrast, arbitrage-free term structure mols seek to scrithe namiof the term structure using funmenteconomic variables thare assumeto affeinterest rates.Whiof Mason’s statement(s) regarng equilibrium anarbitrage-free term structure mols is incorrect? A.Statement 1 only B.Statement 2 only C.Both Statement 1 anStatement 2 C is correct.考点Equilibrium Term Structure Mols anArbitrage-free Mols解析注意题干是让Incorrect的Statement,两种说法都不正确,因此选择C。均衡期限结构模型是因子模型,通过用影响利率的基本经济变量来描述利率期限结构。无套利期限结构模型,假设市场定价正确,然后使用市场价格来模拟市场收益率曲线。 调过来,是不是两个就都对了呀

2024-04-25 16:43 1 · 回答

NO.PZ2018123101000031 问题如下 Mason scribes features of equilibrium anarbitrage-free term structure mols.Statement 1: Equilibrium term structure mols are factor mols thuse the observemarket prices of a referenset of financiinstruments, assumeto correctly price to mol the market yielcurve.Statement 2: In contrast, arbitrage-free term structure mols seek to scrithe namiof the term structure using funmenteconomic variables thare assumeto affeinterest rates.Whiof Mason’s statement(s) regarng equilibrium anarbitrage-free term structure mols is incorrect? A.Statement 1 only B.Statement 2 only C.Both Statement 1 anStatement 2 C is correct.考点Equilibrium Term Structure Mols anArbitrage-free Mols解析注意题干是让Incorrect的Statement,两种说法都不正确,因此选择C。均衡期限结构模型是因子模型,通过用影响利率的基本经济变量来描述利率期限结构。无套利期限结构模型,假设市场定价正确,然后使用市场价格来模拟市场收益率曲线。 老师您好,请问正确的statement2在课件哪里有描述啊?好像没看过这段话。

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NO.PZ2018123101000031 无套利模型也属于因子模型吗?

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