FRM题目分享-市场风险测量与管理Chapter16
发表时间：2025-03-31
大家好，以下要分享的题目内容是市场风险测量与管理里面的Chapter 16:The Vasicek and Gauss+ Models中的一道题目，希望对大家的考试有所帮助：
According to the figure below, which of the following statements is least likely to be true about estimated Parameters of the Gauss+ Model from US Treasury Zero Coupon Yields, January 2014 to January 2022.Half-Life Is in Years?
A选项:The mean reversion parameters are in the order expected, with the central bank reaction fastest, the speed of the medium-term factor's reversion to the long-term factor next, and the speed of the long-term factor's reversion to p slowest.
B选项:the time for each process to converge halfway to its target, given in the half-life column, is about eight months for r, 13 months for m, and 42 years for I.
C选项: the volatility parameters of 109 and 96 basis points for the medium- and long-term factors, respectively,
D选项:None of the above is true
答案为：D
All of the above are true
