2347数理金融中等数值题medium
WWR Scenario Inference 2
题目
A WWR stress table uses CVA = LGD * [pi_calm*EE_calm*PD_calm + pi_stress*EE_stress*PD_stress]. If LGD = 0.55, weights are 70.00% and 30.00%, EE_calm = 2, PD_calm = 0.015, PD_stress = 0.12, and total CVA = 0.1926, what EE_stress is implied?
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