In Ong Chapter 5 on Unexpected Loss,

I mistakenly spoke/show:
UL = AE * SQRT[EDF * variance of LGD + LGD * variance of EDF]

however, the LGD is squared. Correct is:
UL = AE * SQRT[EDF * variance of LGD + LGD^2 * variance of EDF]

(This is because Ong page 113 has a typo. Formula 5.2 is incorrect, it idoes not square the LGD)
The notes and PDF are correct. This refers to just the screencast video.

Thanks, David