What's new

Search results

  1. K

    Netting factor

    Hi, 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...
  2. K

    Unable to download the PDF topic quizz

  3. K

    Convexity of a Zero

    Hi, Could you clarify the choice d. question 29.1 ? 29.1 Which of the following is NOT necessarily true about convexity? a. Convexity is a function of the second derivative with respect to interest rate b. For a vanilla bond, convexity is always positive c. Convexity is the weighted average of...
  4. K

    Parametric distribution

    Hi, Could you confirm why the solution says that GARCH(1,1) is not a parametric approach, specially when the question 324.1D confirms that EWMA is parametric and we know that EWMA is a special case of GARCH 323.1. B. In regard to (C), normal GARCH(1,1) assumes conditional returns are normal...
  5. K

    Where is the chi-square formula ?

    I see it in the formula sheet p52 but not in the study note (would be p57 of the Miller notes). Rgds,