2246数理金融中等数值题medium

State-Mixture Copula Calibration 1

题目

A desk uses a two-state one-factor copula toy model: conditional on a calm systemic state a name defaults with probability 0.40%, and conditional on a stress state it defaults with probability 6.40%. The unconditional one-year default probability is 1.60%. What stress-state probability is implied?

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数值

只填写数值本身，单位 % 已固定在输入框右侧。