A
ActuaryStudentUK
Member
The notes say under limitations of one-factor models (for interest rates) that historically there have been periods of both high and low interest rates with periods of both high and low volatility.
Is this saying that volatility can be high or low regardless of how high interest rates are; or that at times of high interest rates, volatility is high and vice versa.
I'm just a little confused by the wording.
Is it just me or are there too many models in this course?
Is this saying that volatility can be high or low regardless of how high interest rates are; or that at times of high interest rates, volatility is high and vice versa.
I'm just a little confused by the wording.
Is it just me or are there too many models in this course?