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2313Jump-Risk Trading Intuition 3Why are short-dated out-of-the-money options especially sensitive to jump assumptions?数理金融中等essay未尝试面试订阅2314Jump-Risk Trading Intuition 4Why can calibration struggle to distinguish jump frequency from jump size?数理金融中等essay未尝试面试订阅2315Jump-Risk Trading Intuition 5Why are jump models and stochastic-vol models complements rather than simple substitutes?数理金融中等essay未尝试面试订阅2316Jump-Risk Trading Intuition 6Why is exact jump simulation straightforward once the jump count is sampled?数理金融困难essay未尝试面试订阅2317Jump-Risk Trading Intuition 7Why can Monte Carlo variance explode for tail-heavy payoffs under jump-diffusion even if vanilla prices are stable?数理金融困难essay未尝试面试订阅2318Jump-Risk Trading Intuition 8Why do positive and negative jumps change the volatility smile in different ways even if jump variance is the same?数理金融困难essay未尝试面试订阅2319Jump-Risk Trading Intuition 9Why can a jump-risk model still be useful even if it does not fit every strike perfectly?数理金融困难essay未尝试面试订阅2320Jump-Risk Trading Intuition 10Why does the smile effect of jumps often decay with maturity more differently than the smile effect of plain stochastic volatility?数理金融困难essay未尝试面试订阅2321Unilateral CVA Recovery 1A unilateral CVA approximation is CVA = LGD * DF * EE * PD. If LGD = 0.6, DF = 0.97, PD = 0.02, and CVA = 0.01164, what expected exposure EE is implied?数理金融中等数值题未尝试面试订阅2322Unilateral CVA Recovery 2A desk uses CVA = LGD * DF * EE * PD for a one-period approximation. If LGD = 0.55, DF = 0.95, EE = 1.4, and CVA = 0.01463, what default probability PD is implied?数理金融中等数值题未尝试面试订阅2323Unilateral CVA Recovery 3Using CVA = LGD * DF * EE * PD, suppose LGD = 0.4, EE = 2, PD = 0.015, and CVA = 0.0096. What discount factor DF is implied?数理金融中等数值题未尝试面试订阅2324Unilateral CVA Recovery 4For a one-period unilateral CVA, CVA = LGD * DF * EE * PD. If DF = 0.96, EE = 1.8, PD = 0.0175, and CVA = 0.012096, what LGD is implied?数理金融中等数值题未尝试面试订阅2325Unilateral CVA Recovery 5A simple unilateral CVA approximation uses CVA = LGD * DF * EE * PD. If LGD = 0.45, DF = 0.985, EE = 1.1, and PD = 0.012, what CVA does that imply?数理金融中等数值题未尝试面试订阅2326Bilateral Price Reconciliation 1A bilateral adjusted price is computed as Dirty = Clean - CVA + DVA. If Clean = 1.5, CVA = 0.042, and Dirty = 1.472, what DVA is implied?数理金融简单数值题未尝试免费2327Bilateral Price Reconciliation 2A desk marks Dirty = Clean - CVA + DVA. If Dirty = 2.176, CVA = 0.036, and DVA = 0.012, what Clean price is implied?数理金融简单数值题未尝试免费2328Bilateral Price Reconciliation 3For a derivative book, Dirty = Clean - CVA + DVA. If Clean = 3, DVA = 0.025, and Dirty = 2.963, what CVA is implied?数理金融简单数值题未尝试免费2332Residual Exposure After Threshold Collateralization 2A CSA only requires collateral above a threshold of 1.5. If gross expected exposure is 3.8, what residual exposure remains after threshold collateralization?数理金融简单数值题未尝试免费2333Collateral and Netting Recovery 3After threshold collateralization, a desk observes residual exposure 1.1 on a gross expected exposure of 4.2. Assuming residual = max(EE - threshold, 0) and EE exceeds threshold, what threshold is implied?数理金融简单数值题未尝试免费2334Collateral and Netting Recovery 4A desk approximates residual exposure after threshold and initial margin as max(EE - threshold - IM, 0). If EE = 5, threshold = 1.2, and IM = 0.9, what residual exposure remains?数理金融简单数值题未尝试免费2336XVA Desk Attribution Scenario 1Two trades have almost the same expected positive exposure profile, but one is hedged with instruments that require the desk to fund large collateral balances while the other is not. Why can their FVA contributions still differ sharply even if their CVA looks similar?数理金融困难essay未尝试面试订阅