FRM市场风险测量与管理题目分享Gauss Model
发表时间：2025-05-06
FRM市场风险测量与管理题目分享
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 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 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 the volatility parameters of 109 and 96 basis points for the medium- and long-term factors, respectively,
D None of the above is true
解析：
D
All of the above are true
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