Matcha2020-03-03 08:45:36

不理解为何是the basis-point volatility of the short rate ？ A risk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Roll Model. Which of the following describes this model? 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. D The model presumes that the basis-point volatility of the short rate will be proportional to the square root of the rate.