exposure

Learning objectives: Evaluate a bank’s economic capital relative to its level of credit risk. Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure, and loss rate. Questions: 920.1. A bank's asset value has an expected...

Hi David, I get when you calculate Delta Exposure you use = delta of the position * quantity However, when you calculate gamma exposure why do you divide the result by 100 = (gamma of position * quantity)/100 The gamma and delta are direct output from kirk spread approximation.

Why will the netting benefit be the greatest when a party enters into a trade with positive initial MtM and negative correlation? Can someone please explain the link between the two? Thanks a lot in advance.