4900数理金融简单数值题short
Translation-Invariant Capital Recovery 10
题目
A loss book has coherent capital 9.6. One deterministic hedge of size 1.8 is already in place. What residual capital remains? If the desk wants residual capital 5.0 instead, how much larger must the deterministic hedge be in total?
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你的答案
Residual capital after 1.8 hedge
Total deterministic hedge needed for residual capital 5.0