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...
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.
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)