2348数理金融中等数值题medium
WWR Scenario Inference 3
题目
A two-state WWR approximation uses CVA = LGD * [(1-pi_stress)*EE_calm*PD_calm + pi_stress*EE_stress*PD_stress]. If LGD = 0.6, EE_calm = 1.5, EE_stress = 7.5, PD_calm = 0.012, PD_stress = 0.1, and CVA = 0.19656, what stress-state probability pi_stress is implied?
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