NO.PZ2024042601000062
问题如下:
Suppose a mark-to-market (MtM) is defined by a normal distribution with mean of 2% and standard deviation of 5%. Each of the following is true about the expected exposure except?
选项:
A.
The EE is greater than 2%
B.
The EE is greater than the 95% confident potential future exposure (PFE)
C.
An increase in the mean assumption will increase the EE.
D.
An increase in the standard deviation assumption will increase the EE.
解释:
The EE will be less than the 95% PFE.
我觉得均值提高了,EE肯定是跟着提高的呀