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雷达卡
Consider the following information. You have purchased 10,000 barrels of oil for delivery in one year at a price of $25/barrel. The rate of change of the price of oil is assumed to be normally distributed with zero mean and annual volatility of 30%. Margin is to be paid within two days if the credit exposure becomes greater than $50,000. There are 252 business days in the years. Assuming enforceability of the margin agreement, which of the following is the closest number to the 95% one-year credit risk of this deal governed under the margining agreement?
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