2345数理金融简单数值题medium
Bucketed Exposure Interpretation 5
题目
A two-bucket CVA approximation uses total CVA = sum_i LGD*DF_i*EE_i*PD_i with LGD = 0.6. Bucket 1 has (DF,EE,PD)=(0.96,1.2,PD_1), bucket 2 has (0.92,1.5,0.012), and total CVA is 0.01332. What PD_1 is implied?
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