R70.P2.T8 Grinold page 9 of the slides
Mathematically, given the that r_pa= theta_p + beta_p x r_b (3rd equation in the image below), it seems that the first equation in the screenshot below is incorrect.
The first equation says:
theta_p = r_p - beta_p x r_b
but reckon it should be...
Re the working of the leverage ratio. It says that the minimum should be 3% but mathematically it is expressed as Leverage Ration <= 3%.
Mathematically it seems the this is translated as the maximum should be 3%. If the minimum is 3%, should not it be Leverage ratio >= 3% ?
Typo in R64.P2.T7 Hull Study Notes page 6:
Referring the table 2 above for fetching the add-on factor which comes out to be 0.5% for the
Interest Rate swap contract with remaining maturity (of 3 years) falling in the 1-5 years
bucket. Now the credit equivalent amount can be...
Page 65, R46.P2.T6. Gregory Notes it says that the netting factor is given by:
netting factor = NF = sqrt(n + n*(n-1)*rho-bar)/n
While I see that if rho-bar = 1 (no netting benefit) then NF = 100% and of rho-bar=0, then NF = 1/ sqrt (n), I do not see how NF can be 0% with perfect...