2350数理金融中等数值题medium
WWR Scenario Inference 5
题目
A desk compares a two-state WWR CVA calculation against an independence shortcut. Under WWR, CVA = LGD * sum_s pi_s*EE_s*PD_s. Under independence, it uses LGD * E[EE]*E[PD]. If state weights are 75.00% and 25.00%, exposures are 2 and 12, PDs are 0.01 and 0.08, and LGD = 0.6, what uplift ratio WWR_CVA / Indep_CVA results?
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