B也有道理吧，为啥不选b

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 and consider Vasicek model as one of the candidates. Which of the following is correct about the Vasicek model?

选项：

A.It gives rise to a downward-sloping term structure of volatility and allows for a time dependent drift.

B.The 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 Vasicek model.

解释：

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 longerterm 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.