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12. ### Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

Hi, Typo in R64.P2.T7 Hull Study Notes page 6: " Solution: 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...
13. ### Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

Hi, It seems like the end of the sentence was not properly published. R61.P2.T7, Study Notes, page 32. Rgds,
14. ### Netting factor

Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,
15. ### 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...
16. ### Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

Hi, Page 47 not Rgds,
17. ### Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

Sorry, pasted the wrong image, should be read as:
18. ### Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

Hi, Typo in the graph page 41: should be: Rgds,
19. ### Kendall's T, which is correct?

Hi, I just realized that Kendall T = (C-D) / (C+D) Correct me if wrong, but this seems like an easy way to calculate Kendall T is: Maybe it is actually the same method, but it looks easier because one only counts the the numbers higher or lower than then the number of reference. C(i)...
20. ### Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

Minor Typo: The theory is elegant and has the advantage of reducing multidimensional pairwise default correlations--by assuming shared exposure to a common market factor--into a simple but powerful mathematical model. But due to the Global Financial Crisis (CFC) Should be (GFC) Rgds,