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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?點擊預(yù)約

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.【資料下載】[融躍財經(jīng)]FRM一級ya題-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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