gregory

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...

I was reading Gregory and there he mentions that 'in upward sloping curve, defaults are back loaded and in case of downward sloping curve, defaults are front loaded. What does this mean?

Why is higher recovery rate means higher implied prob. Of default? And if that is the case then changes to CVA will be net of increase in probability ofdefault and decrease in loss amount.. So will the final CVA lesser if the recovery amount is increased? Thanks Kavita