怎么就是PD乘以（1-PD）了？

NO.PZ2024050101000102问题如下 A senior risk manager Bank Gamma is presenting to a group of newly hirejunior risk analysts on calculating bilaterCVA (BCVA). To illustrate the calculations, the manager assumes thBank Gamma anBank Phi are the only counterparties to eaother anprovis the following information about Bank Gamma:• The scounteexpectepositive exposure to Bank Phi is CNY 60 million• The scounteexpectenegative exposure to Bank Phi is CNY 45 millionAitioninformation on the two banks is shown below:Whis the BCVA from Bank Gamma’s perspective? A.CNY 84,240B.CNY 114,615C.CNY 198,855CNY 201,960 B is correct. Let p note Bank Gamma the party (the party making the calculation), anc note Bank Phi counterparty. Also, note ththe BCVA = CVA + ASo,CV= – LG * EPEp * P * (1 – P)= – (0.08 * 60,000,000 * 0.018 * 0.975) = CNY -84,240= – LG * ENEc * P * (1 – P)= – (0.18 * -45,000,000 * 0.025 * 0.982) = CNY 198,855Therefore,BCVA = CVA + A = CNY -84,240 + CNY 198,855 = CNY 114,615A is incorrect. CNY 84,240 is the CVA of Bank Gamma anthe negative sign is ignoreC is incorrect. CNY 198,855 is the A of Bank Gamma.is incorrect. CNY 201,960 is the result obtainewhen the expecteexposures in the CVA anthe A formulare switcheanignorethe sign of BCV如题。。。。。。。。

NO.PZ2024050101000102 问题如下 A senior risk manager Bank Gamma is presenting to a group of newly hirejunior risk analysts on calculating bilaterCVA (BCVA). To illustrate the calculations, the manager assumes thBank Gamma anBank Phi are the only counterparties to eaother anprovis the following information about Bank Gamma:• The scounteexpectepositive exposure to Bank Phi is CNY 60 million• The scounteexpectenegative exposure to Bank Phi is CNY 45 millionAitioninformation on the two banks is shown below:Whis the BCVA from Bank Gamma’s perspective? A.CNY 84,240 B.CNY 114,615 C.CNY 198,855 CNY 201,960 B is correct. Let p note Bank Gamma the party (the party making the calculation), anc note Bank Phi counterparty. Also, note ththe BCVA = CVA + ASo,CV= – LG * EPEp * P * (1 – P)= – (0.08 * 60,000,000 * 0.018 * 0.975) = CNY -84,240= – LG * ENEc * P * (1 – P)= – (0.18 * -45,000,000 * 0.025 * 0.982) = CNY 198,855Therefore,BCVA = CVA + A = CNY -84,240 + CNY 198,855 = CNY 114,615A is incorrect. CNY 84,240 is the CVA of Bank Gamma anthe negative sign is ignoreC is incorrect. CNY 198,855 is the A of Bank Gamma.is incorrect. CNY 201,960 is the result obtainewhen the expecteexposures in the CVA anthe A formulare switcheanignorethe sign of BCV 请问老师答案中的CVA、A 的计算为什么还会乘（I-P呢？CV= – LG * EPEp * P * (1 – P)、= – LG * ENEc * P * (1 – P)。讲义中有这个公式吗？能提示下在哪里讲到的？