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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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An analyst on a fixed-income desk of a large investment company is studying term structure models that incorporate measures of volatility into the interest rate process. The analyst focuses on the Cox-Ingersoll-Ross (CIR) model and its treatment of volatility of the short-term interest rate. Which of the following statements is correct regarding the yield volatility and basis-point volatility in the CIR model?

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