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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,