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hillock1122 · 2021年01月17日

问一道题：NO.PZ2020033001000094 [ FRM II ]

  1. FRM II
  2. Market Risk Measurement And Management

问题如下：

Vincent is forecasting spot rate changes via short rate term structure models. The current short-term interest rate is 6% with a volatility of 100bps.dw, a normally distributed random variable with mean 0 and standard deviation dt\sqrt{dt}, is -0.5 after one quarter passes. Assume a constant interest rate drift, λ, of 0.48%. What is the new spot rate?

选项：

A.

5.37%.

B.

5.62%.

C.

5.76%.

D.

4.24%

解释：

B is correct.

考点：Model 2

解析：

Using Model 2 (with constant drift). The change in the spot rate is computed as:

dr = λ dt + σ dw

dr = (0.48% /4) + (1% x -0.5) = -0.38%

The new spot rate in one quarter is:

6% - 0.38% = 5.62%

请问dt为什么是1/4？

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已采纳答案

小刘_品职助教 · 2021年01月18日

同学你好，

因为题目里说了 one quarter pass，就是1/4年。

rabbit · 2022年01月10日

那为什么 σ不换算为季度的？题目中dw表达的是一个季度的值？

品职答疑小助手雍 · 2022年02月27日

同学你好，dw已经把维度缩到季度了，所以不用换算σ。

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