What's new

Course Errors Found in 2021 Study Materials P1.T4. Valuation & Risk Models

Nicole Seaman

Director of FRM Operations
Staff member
Subscriber
Please use this new thread to let David and I know about any errors, missing/broken links, etc. that you find in the 2021 materials that are published in the study planner under P1.T4. Valuation & Risk Models. This will keep our forum much more organized. We appreciate your cooperation! :)

PLEASE NOTE: Our Practice Question sets already have links to their specific forum threads where you can post about any errors that you find. This thread is for any other materials (notes, spreadsheets, videos, etc.) where you might find errors.

Information needed for us to correct errors:

  • Reading
  • Page number
  • Error
 

bollengc

New Member
Subscriber
hello Nicole, David,

on T4-VRM-10-Ch10-Int-Rates-v3.1, page 8, the 2nd formula might be missing the first 1619509084595.pngjust after the equal sign

current formula:

1619508951462.png
I would be expecting sthg like:
1619509014473.png1619509066508.png1619509027236.png
thanks,
Camille
 

bollengc

New Member
Subscriber
hello Nicole, David,

On T4-VRM-4-Ch4-Credit-Ratings-v3:

page 14:
1620469948276.png

formula should be Conditional PD = Unconditional PD (t)/Cumulative survival proba (t-1)

page 21: in the paragraph about credit scoring:
while credit rating uses a combination of qualitative and qualitative factors -> qualitative and quantitative

thanks,
Camille
 

RSchwarzer

New Member
Subscriber
Hi Dave,
Hi Nicole,

could you check the study notes on P1_T4-VRM-Ch6-Credit Risk, page 12.

I think there is a minor issue within the formula in the first example. Instead of multiplying the PD with the recovery rate, it should be the loss rate to calculate the expected loss (see screenshot). However, the calculation itself is correct. Like I said: just a minor issue.

1620717313585.png

Cheers
Roland
 

bollengc

New Member
Subscriber
hello Nicole, David,

on T4-VRM-14-Ch14-Bin-Trees-v2.1, page 17, there is an additional u on the right side of the equation that should not be there.

1623332128837.png
and on the next line, the Delta on the right side should be removed as well

1623332511965.png

and same for following line

1623332551352.png

As discussed here:
exercise 812.2 + solution might request a small update (to replace the d used for proba of down mvt by q)

thanks,
Camille
 
Last edited:

bollengc

New Member
Subscriber
hi Nicole, David,

on T4-VRM-15-Ch15-Black-Scholes-v2

page 4

1623345234870.png
We are considering a period return (and not log return here, no?)
wouldn't it be more logical as well to have std dev = sigma*sqrt( 1623344231627.png ) instead of sigma*sqrt(T) as we are considering a small time interval 1623344282433.png?

thanks
Camille
 
Last edited:

bollengc

New Member
Subscriber
hi Nicole and David,

on T4-VRM-16-Ch16-Greeks-v2

page 19: there are typos on puts delta. It should be N(d1) - 1 (1 outside of parenthesis)
so for the 2nd occurrence, it should be 1- N(d1)
1623578957948.png

thanks
Camille
 
Top