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Ahedge fund risk manager is looking at various models that are flexible enough to incorporate mean reversion and risk premium into term structure modeling. Which of the following is correct about the Vasicek model?

A) It incorporates mean reversion feature and its drift is always zero.》》2021年新版FRM一二級內(nèi)部資料免費(fèi)領(lǐng)取！【精華版】

B) It incorporates mean reversion feature and models the risk premium as a constant or changing drift.

C) It cannot incorporate risk premium and the term structure of interest rate volatility in the model is upward-sloping.

D) It cannot capture the mean reversion feature but can be used to model the

time-varying risk premium.

答案：B

解析：Choice B is correct: 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.

John Jones, FRM, is discussing the appropriate usage of mean-reverting models relative to no-drift models, models that incorporate drift, and Ho-Lee models. Jones makes the following statement:

I. Both Model 1 and the Vasicek model assume parallel shifts from changes in the short-term rate. 【資料下載】點(diǎn)擊下載GARP官方FRM二級練習(xí)題

II. The Vasicek model assumes decreasing volatility of future short-term rates while Model 1 assumes constant volatility of future short-term rates.

III. The constant drift model is a more flexible model than the Ho-Lee model. How many of his statements are correct?

A) 0

B) 1

C) 2

D) 3

答案：B

解析：Only Statement 2 is correct. The Vasicek model implies decreasing volatility and non-parallel shifts from changes in short-term rates. The Ho-Lee model is actual more general than Model 2 (the no drift and constant drift models are special cases of the Ho-Lee model.)

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