Netting Factor: A Close Look
1. Context
In this short video from FRM Part 2, we explore this concept of netting factor – a number used to gauge the extent of netting related benefits that have been realised. The approach and explanation is as per the FRM prescribed reading taken from Jon Gregory’s book on XVA. The details of the reading in which this topic appears are given below:
| Area | Credit Risk |
| Reading | Credit Exposure and Funding |
| Reference | Jon Gregory, Chapter 7. Credit Exposure and Funding In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 3rd Edition, (West Sussex, UK: John Wiley & Sons, 2015). |