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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