Explanation:
Recall that the netting factor is given by:
Where is given as 21 and is given as 0.3.
Therefore:
Q.2899 Assuming that the future values follow a multivariate normal distribution, and the number of exposures is given as 21, determine the netting factor if the average correlation is 0.3.
A
0.7
B
0.15
C
0.58
D
0.61
No comments yet.