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2020-03-03 08:45不理解為何是the basis-point volatility of the short rate ？ A risk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Roll Model. Which of the following describes this model? A The model presumes that the volatility of the short rate will increase at a predetermined rate. B The model presumes that the volatility of the short rate will decline exponentially to a constant level. C The model presumes that the basis-point volatility of the short rate will be proportional to the rate. D The model presumes that the basis-point volatility of the short rate will be proportional to the square root of the rate.
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2020-03-03 17:25
該回答已被題主采納
同學(xué)你好，在CIR模型中，σ參數(shù)固定，但基點(diǎn)波動率（basis-point volatility）不固定。年化的基點(diǎn)波動率等于σ√r。
σ√r意味著如果當(dāng)前利率水平比較高時(shí)，波動率比較大。當(dāng)利率比較小時(shí)，波動率也比較小。波動率與利率呈現(xiàn)正相關(guān)相對是一個(gè)比較合理的假設(shè)。這里注意"d" r的年化標(biāo)準(zhǔn)差與利率的平方根呈比例變動。
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