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410140980 · 2023年07月02日

Vmodel是 非平行移动的吗

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。

老师这里的表述1,对于V-model是非平行移动的吗

1 个答案
已采纳答案

李坏_品职助教 · 2023年07月02日

嗨,爱思考的PZer你好:


确切地说V model是假设短期利率有均值回归的特性,由于均值回归,所以长期利率变动幅度小于短期利率,所以利率曲线是non-parallel shifts。参考原版书的叙述:


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努力的时光都是限量版,加油!

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