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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