2341数理金融简单数值题medium
Bucketed Exposure Interpretation 1
题目
A three-bucket unilateral CVA approximation sums LGD*DF_i*EE_i*PD_i across buckets with LGD = 0.6. The buckets are (PD,DF,EE) = (0.5,0.9,1.2), (0.4,0.85,EE_2), and (0.3,0.8,1). If total CVA is 0.72, what EE_2 is implied?
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