2021年新版FRM备考资料下载
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FRM真题解析哪里有?重要吗?

FRM考试都是选择题的形式,考生在备考中一定要认真备考。近日,有考生咨询FRM真题解析哪里有?重要吗?

FRM真题在备考中对于考生是很重要的,尤其是冲刺阶段,一定要做大量的真题。下面是小编列举的相关真题解析,希望对你有所帮助!》》》戳:各科视频讲义+历年真题+21年原版书(PDF版)免·费领取

An analyst is looking at various models used to incorporate drift into term structure models. The Ho-Lee Model:

A) Incorporates no-risk premium to the interest rate model allowing rates to vary according to their volatility.

B) Incorporates drift as a premium to interest rates that remains constant over time.

C) Allows for a risk premium to be applied to interest rates that changes over time.

D) Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.

答案:C

解析:Choice c is correct: the Ho-Lee model incorporates a premium to each rate change that can be different at each point in time.

Arisk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Roll Model. Which of the following describes this model?点击预约

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.【资料下载】[融跃财经]FRM一级ya题-pdf版

D) The model presumes that the basis-point volatility of the short rate will be proportional to the square root of the rate.

答案:D

解析:In the CIR model, the basis-point volatility of the short rate is not independent of the short rate as other simpler models assume. The annualized basis-point volatility equals and therefore increases as a function of the square root of the rate.

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