Question
An CDS is perfectly collateralized with cash has an exposure with 5% annual volatility over a 5-day re-margin period. Assume 252 trading days in a
An CDS is perfectly collateralized with cash has an exposure with 5% annual volatility over a 5-day re-margin period.
Assume 252 trading days in a year and a 99% confidence level. What is EE and PFE ?
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Introduction To Finance Financial Management And Investment Management
Authors: Pamela P. Drake, Frank J. Fabozzi, Francesco A. Fabozzi
1st Edition
9811239657, 978-9811239656
