开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

C_M_ · 2025年05月07日

A

NO.PZ2023100703000096

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.

解析感觉只说了利率大于均值的情况。 它短期也可以是处于均值以下,需要回归均值,那此时波动不就变成upward sloping了吗

1 个答案

李坏_品职助教 · 2025年05月07日

嗨,爱思考的PZer你好:


利率的运动方向和波动的变化方向不是一样的。


波动率变大有两种情况:

  1. 利率一直上升,持续超越均值不回头。
  2. 利率一直下降,持续低于均值一路往下降。


如果是利率短期上升又立刻均值回归降下去,或者利率先下降了然后又反弹上去,那么σ(标准差就是波动率)不会很大,而是会变小。 所以只要是均值回归的模型,就是downward-sloping term structure of volatility,

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 3

    浏览
相关问题

NO.PZ2023100703000096 问题如下 A hee funrisk manager plans to apt interest rate term structure mol whose risk neutrnamisplmereversion ana time-varying ift anconsir Vasicek mol one of the cantes. Whiof the following is correabout the Vasicek mol? A.It gives rise to a wnwarsloping term structure of volatility anallows for a time pennt ift. B.The short-term rates tentowara long run equilibrium value anthe expectevalue of the change in short-term rates is always zero over time. C.Shocks to short-term rates affeall rates equally, giving rise to parallel shifts. There is no mereversion anthe risk premium correspon to a constant ift in Vasicek mol. The Vasicek mol incorporates mereversion. The flexibility of the mol also allows for risk premium, whienters into the mol constant ift or a ift thchanges over time. In a mol with mereversion, shocks to the short rate affeshort term rates more thlonger-term rates angive rise to a wnwarsloping term structure of volatility. B is incorrethe ift of Vasicek mol is not always zero. C is incorrebecause shocks to the short rate affeshort-term rates more thlongerterm rates Vasicek mol comes with mereversion. is incorrect. The Vasicek mol incorporates mereversion. The flexibility of the mol also allows for risk premium, whienters into the mol a constant ift or a ift thchanges over time. term structure mol 是为了计算哪个rate

2024-11-13 08:36 1 · 回答

NO.PZ2023100703000096问题如下 A hee funrisk manager plans to apt interest rate term structure mol whose risk neutrnamisplmereversion ana time-varying ift anconsir Vasicek mol one of the cantes. Whiof the following is correabout the Vasicek mol?A.It gives rise to a wnwarsloping term structure of volatility anallows for a time pennt ift.B.The short-term rates tentowara long run equilibrium value anthe expectevalue of the change in short-term rates is always zero over time.C.Shocks to short-term rates affeall rates equally, giving rise to parallel shifts.There is no mereversion anthe risk premium correspon to a constant ift in Vasicek mol.The Vasicek mol incorporates mereversion. The flexibility of the mol also allows for risk premium, whienters into the mol constant ift or a ift thchanges over time. In a mol with mereversion, shocks to the short rate affeshort term rates more thlonger-term rates angive rise to a wnwarsloping term structure of volatility. B is incorrethe ift of Vasicek mol is not always zero. C is incorrebecause shocks to the short rate affeshort-term rates more thlongerterm rates Vasicek mol comes with mereversion. is incorrect. The Vasicek mol incorporates mereversion. The flexibility of the mol also allows for risk premium, whienters into the mol a constant ift or a ift thchanges over time.均值复归的话,不是有上有下吗

2024-10-02 11:33 1 · 回答

NO.PZ2023100703000096问题如下 A hee funrisk manager plans to apt interest rate term structure mol whose risk neutrnamisplmereversion ana time-varying ift anconsir Vasicek mol one of the cantes. Whiof the following is correabout the Vasicek mol?A.It gives rise to a wnwarsloping term structure of volatility anallows for a time pennt ift.B.The short-term rates tentowara long run equilibrium value anthe expectevalue of the change in short-term rates is always zero over time.C.Shocks to short-term rates affeall rates equally, giving rise to parallel shifts.There is no mereversion anthe risk premium correspon to a constant ift in Vasicek mol.The Vasicek mol incorporates mereversion. The flexibility of the mol also allows for risk premium, whienters into the mol constant ift or a ift thchanges over time. In a mol with mereversion, shocks to the short rate affeshort term rates more thlonger-term rates angive rise to a wnwarsloping term structure of volatility. B is incorrethe ift of Vasicek mol is not always zero. C is incorrebecause shocks to the short rate affeshort-term rates more thlongerterm rates Vasicek mol comes with mereversion. is incorrect. The Vasicek mol incorporates mereversion. The flexibility of the mol also allows for risk premium, whienters into the mol a constant ift or a ift thchanges over time.​B也有道理吧,为啥不选b

2024-08-01 11:09 1 · 回答