A

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.