2342数理金融中等数值题medium
Bucketed Exposure Interpretation 2
题目
A desk approximates bucketed CVA as sum_i LGD*DF_i*EE_i*PD_i with LGD = 0.55. The three buckets are (0.45,0.97,1.1), (0.35,0.94,1.4), and (0.25,0.9,1.8) in (PD,DF,EE) order. What total CVA results?
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