19. An insurance company has entered an OTC derivative position. Assuming the market value of the transaction is defined by a normal distribution with mean ( =$ 0 ) million and std dev= ( $ 2 ) million over a year. 1) At the confidence level ( 99 % ), calculate EE and PFE ( 2 points) 8 2) The insurance company wants to fully collateralize the derivative position with cash over a daily re-margin period. Assume 250 trading days in a year and a ( 99 % ) confidence level, f calculate EE and PFE. (2 points)

19. An insurance company has entered an OTC derivative position. Assuming the market value of the transaction is defined by a normal distribution with mean =$0 million and stddev=$2 million over a year. 1) At the confidence level 99%, calculate EE and PFE ( 2 points) 8 2) The insurance company wants to fully collateralize the derivative position with cash over I a daily re-margin period. Assume 250 trading days in a year and a 99% confidence level, I calculate EE and PFE. ( 2 points)