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...
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...
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
In regard to (C), normal GARCH(1,1) assumes conditional returns are normal...