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Course Errors Found in 2021 Study Materials P2.T5. Market Risk

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
 

blackbread

New Member
Subscriber
Page 70 of the notes for P2.T5 Tuckman chapter 10, starting node of the interest rate tree diagram shows the natural logarithm of the rate rather than the initial rate itself.

1613575203693.png
 

Ellie_10

New Member
Subscriber
On page 34 of the notes for T5.R1 Dowd Chapter 7:

Describe the peaks-over-threshold (POT) approach

Formula 7.18:

I believe it should be Pr{X-u<= x | X > u}

1622797788961.png
 

kchristo

New Member
Subscriber
In T5-R1-P2-Dowd, under "Define coherent risk measures.", the definition of positive homogeniety refers to X and Y in the image but only X in the text. (P10)
 

Branislav

Member
Subscriber
Dear @Nicole Seaman , regarding Hull, Chapter 18. Fundamental Review of the Trading Book study note, I think square root of ten is missing in VaR formula.
1625855239214.png
kind regards
 

poojanmehta1

New Member
Subscriber
I am using the pdf version of the study material(FRM 2) of bionic turtle. I just wanted to confirm if page 22 of P2.T5. Market Risk Measurement & Management has been intentionally left blank.
 

Nicole Seaman

Director of FRM Operations
Staff member
Subscriber
I am using the pdf version of the study material(FRM 2) of bionic turtle. I just wanted to confirm if page 22 of P2.T5. Market Risk Measurement & Management has been intentionally left blank.
@poojanmehta1 Can you please let me know which set of notes you are referring to under Market Risk? There are many sets of notes under that topic. Once you provide that information, I will take a look and make sure that it is fixed when we update that set of notes. We have no reason to leave a blank page, so I'm sure it was just human error on my part. Thank you.
 

poojanmehta1

New Member
Subscriber
@Nicole Seaman - Am looking at pdf notes of Bruce Tuckman, Fixed Income Securities. The blank page is under Tuckman, chapter 7. (page 22 of the pdf)

Also in the same chapter - Define risk-neutral pricing and explain its use in option pricing, in para one it mentions the example of coin toss for risk neutral pricing. Am assuming the payment on coin toss should be either $2 or $0 (mentioned as 1$)
"Let’s assume a fair coin (ie, 50% probably of flipping heads) while the risk-free rate is 3.0% with continuous compounding. You are offered the chance to buy a digital (aka, binary) option that pays, in one year when the coin is flipped, either $2.00 or $1.00"
 
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