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.

B为什么不对，久期不能理解为平均到期时间吗？ n fixed income portfolio mapping, when the risk factors have been selected, which of the following mapping approaches requires that one risk factor be chosen that corresponds to average portfolio maturity? A Principal mapping B Duration mapping C Convexity mapping D Cash mapping

市场风险中讲到的金融数据应该选择frechet 分部，厚尾才会高估风险，操作风险不是也会有很大损失吗，为什么用薄尾的weibull分部呢？

是先分配Equity再分配trust吗?如果excess CF只有14,000,000，没有达到oc trigger，那是全部14,000,000都分配给equity吗

投资者不喜欢波动率，为什么在市场上波动率上升的情况下，要支付固定波流动率收到浮动波动率呢？这样的互换组合最终波动率的收益大于零，不符合投资者的偏好呀？

Ho-Lee模型中的第二项，sigma*dw，在每步时间为一个月时，为何可以按：年sigma＊根号（1/12）来计算？这里的dw如何理解？

Basel协议2里面的standardized approach 和 IRB approach 计算的是RWA还是capital,讲义说的是capital但是老师讲的是RWA

讲的题怎么和原题不符?

请问，“The counterparty’s expected potential exposure (EPE) is 7%”是指从我的角度看交易对手，他带给我的风险平均敞口是7%？谢谢？为什么不是交易对手面临的风险平均敞口是7%呢？

老师，第二个陈述为啥是对的？