2346数理金融中等数值题medium
WWR Scenario Inference 1
题目
A two-state WWR scenario table prices CVA as LGD * [pi_calm*EE_calm*PD_calm + pi_stress*EE_stress*PD_stress]. If LGD = 0.6, state weights are 65.00% and 35.00%, exposures are 4 and 10, calm-state PD is 0.01, and total CVA is 0.129675, what stress-state PD is implied?
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