Financial Risk Manager Part 2
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A risk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Ross Model. Which of the following describes this model?
A risk manager is constructing a term structure model and intends to use the Cox-Ingersoll-Ross Model. Which of the following describes this model?
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A
The model presumes that the volatility of the short rate will increase at a predetermined rate.
B
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