Explanation:
Recall that the netting factor is given by:
n is given as 17 and is given as 0.7. Therefore:
Q.2905 Given that the number of exposure is 17 and the average correlation is 0.7, determine the netting factor if the assumption is that the future values follow a multivariate normal distribution.
A
0.45
B
0.85
C
0.36
D
0.97
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