第 1 / 1 页
非代码面试题
显示 14 / 14 道匹配题目
答题状态：未尝试未正确已正确
ID题目领域难度题型进度权限
4766Infer Long-Run Mean From a Vasicek Forecast 1A rates desk uses the Vasicek expectation formula E[r t] = theta + (r0-theta)e (-kappa t). It has r0=0.02, kappa=0.6931, and horizon t=1. The model forecast for E[r t] is 0.03. What long-run mean theta is implied?数理金融简单数值题未尝试面试订阅4771Infer Current Short Rate From an Affine Bond Quote 6In an affine short-rate model, a zero-coupon bond is priced as P(0,T)=A(T)exp(-B(T)r0). For one maturity bucket the model exports A(T)=0.97, B(T)=2.5, and the bond quote is P(0,T)=0.899911. What current short rate r0 is implied?数理金融中等数值题未尝试面试订阅4773Infer Current Short Rate From an Affine Bond Quote 8In an affine short-rate model, a zero-coupon bond is priced as P(0,T)=A(T)exp(-B(T)r0). For one maturity bucket the model exports A(T)=0.94, B(T)=3, and the bond quote is P(0,T)=0.872079. What current short rate r0 is implied?数理金融中等数值题未尝试面试订阅4776CIR Positivity Cushion 11A desk wants to keep the CIR positivity condition just binding at 2*kappa*theta = sigma 2. If kappa=0.8 and theta=0.04, what is the largest volatility sigma that still satisfies the condition?数理金融中等数值题未尝试面试订阅4781Short-Rate Model Scenario Analysis 16A trader says, 'I only need today's short rate and one mean-reversion speed, so a short-rate model is good enough.' What key information about the yield curve is being compressed by that choice?数理金融中等essay未尝试面试订阅4782Short-Rate Model Scenario Analysis 17Why can a one-factor short-rate model still be useful for risk even though it cannot fit every yield-curve deformation exactly?数理金融中等essay未尝试面试订阅4783Short-Rate Model Scenario Analysis 18If your short-rate model frequently produces negative rates in a market where that is viewed as implausible, what is the practical modeling concern?数理金融中等essay未尝试面试订阅4784Short-Rate Model Scenario Analysis 19Why is calibrating only today's discount curve not enough to trust a short-rate model for option risk?数理金融中等essay未尝试面试订阅4785Short-Rate Model First Diagnostic 20Before picking a short-rate model, what should you check first about the products you need to price?数理金融中等essay未尝试面试订阅4786Short-Rate Model First Diagnostic 21Before using a one-factor mean-reverting model for curve risk, what empirical question should you ask first?数理金融中等essay未尝试面试订阅4787Short-Rate Model First Diagnostic 22If a short-rate calibration fits bonds but misses caps badly, what should you inspect first?数理金融中等essay未尝试面试订阅4788Short-Rate Model First Diagnostic 23Before treating negative simulated rates as acceptable, what should you verify first?数理金融中等essay未尝试面试订阅4789Short-Rate Model First Diagnostic 24Before comparing a short-rate model with HJM, what design tradeoff should you state first?数理金融中等essay未尝试面试订阅4790Short-Rate Model First Diagnostic 25Before concluding that the mean-reversion speed is 'too low,' what should you compare it with first?数理金融中等essay未尝试面试订阅