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2337XVA Desk Attribution Scenario 2Why can adding initial margin reduce CVA on a client trade and still increase the trade's total XVA bill seen by the desk?数理金融困难essay未尝试面试订阅2338XVA Desk Attribution Scenario 3A netting set shows only modest current exposure, yet the XVA desk still charges meaningful KVA. Why can that be reasonable?数理金融困难essay未尝试面试订阅2339XVA Desk Attribution Scenario 4A book is margined daily, but the desk still keeps a nonzero residual XVA charge. What frictions can justify that residual charge?数理金融困难essay未尝试面试订阅2340XVA Desk Attribution Scenario 5Why do desks usually discuss XVA as a stack of components when quoting and negotiating with clients, instead of presenting only one single all-in adjustment number?数理金融困难essay未尝试面试订阅2341Bucketed Exposure Interpretation 1A three-bucket unilateral CVA approximation sums LGD*DF i*EE i*PD i across buckets with LGD = 0.6. The buckets are (PD,DF,EE) = (0.5,0.9,1.2), (0.4,0.85,EE 2), and (0.3,0.8,1). If total CVA is 0.72, what EE 2 is implied?数理金融简单数值题未尝试面试订阅2342Bucketed Exposure Interpretation 2A desk approximates bucketed CVA as sum i LGD*DF i*EE i*PD i with LGD = 0.55. The three buckets are (0.45,0.97,1.1), (0.35,0.94,1.4), and (0.25,0.9,1.8) in (PD,DF,EE) order. What total CVA results?数理金融中等数值题未尝试面试订阅2343Bucketed Exposure Interpretation 3A desk defines effective expected exposure as the running maximum of EE over time buckets. If the EE profile is 1, 0.9, 1.3, 1.1, what is the final effective EE at the last bucket?数理金融中等数值题未尝试面试订阅2344Bucketed Exposure Interpretation 4A simple expected positive exposure proxy averages bucket EE values equally. If bucket EE values are 0.8, 1, 0.7, 1.3, what EPE results?数理金融中等数值题未尝试面试订阅2345Bucketed Exposure Interpretation 5A two-bucket CVA approximation uses total CVA = sum i LGD*DF i*EE i*PD i with LGD = 0.6. Bucket 1 has (DF,EE,PD)=(0.96,1.2,PD 1), bucket 2 has (0.92,1.5,0.012), and total CVA is 0.01332. What PD 1 is implied?数理金融简单数值题未尝试面试订阅2346WWR Scenario Inference 1A 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?数理金融中等数值题未尝试面试订阅2347WWR Scenario Inference 2A 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?数理金融中等数值题未尝试面试订阅2348WWR Scenario Inference 3A 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?数理金融中等数值题未尝试面试订阅2349WWR Scenario Inference 4A two-state WWR table gives weighted exposure-default term 80.00%*3*0.02 + 20.00%*9*0.11. If total CVA is 0.2214, what LGD is implied?数理金融中等数值题未尝试面试订阅2350WWR Scenario Inference 5A 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?数理金融中等数值题未尝试面试订阅2351Wrong-Way-Risk Judgment 1Why does positive exposure-default correlation mechanically raise CVA in a scenario-table view?数理金融中等essay未尝试面试订阅2352Wrong-Way-Risk Judgment 2Why is assuming independence often a dangerous shortcut in counterparty risk?数理金融中等essay未尝试面试订阅2353Wrong-Way-Risk Judgment 3Why is wrong-way risk often more severe for option-like exposures than for nearly linear exposures?数理金融中等essay未尝试面试订阅2354Wrong-Way-Risk Judgment 4Why are wrong-way risk and credit-copula modeling related but not the same problem?数理金融中等essay未尝试面试订阅2355Wrong-Way-Risk Judgment 5Why does wrong-way risk often show up first in stress testing before it shows up in daily pricing formulas?数理金融中等essay未尝试面试订阅2356Wrong-Way-Risk Judgment 6Why can collateral reduce but not fully cure wrong-way risk?数理金融困难essay未尝试面试订阅