2248数理金融中等数值题medium
State-Mixture Copula Calibration 3
题目
A name's one-year default probability is modeled as a mixture of a calm state and a stress state. The stress-state probability is 25.00%, the stress-state default probability is 5.50%, and the unconditional default probability is 1.93%. What calm-state default probability is implied?
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