为什么是向下倾斜

问题如下：

A hedge fund risk manager plans to adopt an interest rate term structure model whose risk neutral dynamics

display mean reversion and a time-varying drift. The manager is considering the Vasicek model as one of the

candidates. Which of the following best describes a feature of the Vasicek model?

选项：

A.

Shocks to short-term rates give rise to a downward-sloping term structure of volatility and the model

allows for a time dependent drift.

B.

Short-term rates tend toward a long run equilibrium value and the expected value of the change in short

term rates is always zero over time.

C.

Shocks to short-term rates affect all rates equally, giving rise to parallel shifts.

D.

There is no mean reversion and the risk premium corresponds to a constant drift in the Vasicek model.

解释：

中文解析：

A是正确的。Vasicek模型包含了均值回归效应。该模型也考虑到了风险溢价，反映在模型中的固定漂移项或随时间变化的漂移项。在一个具有均值回归的模型中，冲击对短率利率的影响超过长期利率，并导致一个向下倾斜的波动率期限结构。

B是不正确的，因为Vasicek模型的漂移项并不总是零。

C是不正确的，因为冲击对短期利率的影响大于长期，Vasicek模型具有均值回归效应。

D不正确。Vasicek模型包含了均值回归效应。该模型也考虑到了风险溢价，反映在模型中的固定漂移项或随时间变化的漂移项。

A is correct. The Vasicek model incorporates mean reversion. The flexibility of the model

also allows for risk premium, which enters into the model as constant drift or a drift that

changes over time. In a model with mean reversion, shocks to the short rate affect short

term rates more than longer-term rates and give rise to a downward-sloping term

structure of volatility.

B is incorrect as the drift of Vasicek model is not always zero.

C is incorrect because shocks to the short rate affect short-term rates more than longer

term rates as Vasicek model comes with mean reversion.

D is incorrect. The Vasicek model incorporates mean reversion. The flexibility of the model

also allows for risk premium, which enters into the model as a constant drift or a drift that

changes over time.