趙同學(xué)
2023-10-31 11:26請(qǐng)問老師0.229% ×12 risk premium 這里是什么意思？
所屬：FRM Part II > Market Risk Measurement and Management 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
蘇學(xué)科助教
2023-11-06 17:54
該回答已被題主采納
同學(xué)你好，這里的dt題目說到是1/12哦，所以計(jì)算的時(shí)候要用1/12
感謝您的提問，如果覺得答疑有用的話，記得點(diǎn)贊采納哦～
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追問
請(qǐng)問老師，模型中的新增加的lambda??dt 是什么意思？At first glance, it seems a bit strange that a risk premium term is added to the physical expectation to yield a risk-neutral drift because
it is common sense that the risk-free rate equals the expected return minuses the risk premium. Intuitively, the risk premium is added here, not subtracted, because the price of an asset (i.e., bond) and interest rate are inversely related. Thus, in modelling the asset price, we subtract the risk premium from the expected return to obtain the risk-free rate, while in modelling the interest rate, we add the risk premium to the interest rate expectation. Therefore, we can
rewrite the Vasicek model as:
dr=k(e一rdt+odw
=x(0-gdt+xdt+odw -
追答
這一道題可能略微有些超綱，他是把之前的模型和v模型混合起來使用了，當(dāng)然也就更接近于實(shí)操了，因?yàn)樗紤]到了投資者的風(fēng)險(xiǎn)，厭惡偏好，因?yàn)轱L(fēng)險(xiǎn)厭惡，所以會(huì)，產(chǎn)生一個(gè)risk premium，也就是風(fēng)險(xiǎn)溢價(jià)，我們最初用到的模型，實(shí)際上假定的是風(fēng)險(xiǎn)中性
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