2031数学简单derivationshort
Backing Out the Stress State From a Reciprocal Plug-In Score 11
题目
A funding-buffer score uses phi(L)=1/(1+L). Suppose leverage L equals 0 with probability 1/2 and H with probability 1/2. If phi(E[L]) = 1/3, what is H and what is E[phi(L)]?
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你的答案
H
E[phi(L)]