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 ?
Can you explain how to solve this using Excel?
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Investments Analysis and Management
Authors: Charles P. Jones
12th edition
978-1118475904, 1118475909, 1118363299, 978-1118363294
