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Errors Found in Study Materials P2.T6. Credit Risk

#42
In the study notes in pg 120 of this topic it says that the current standards in the US and Europe are modified restructuring (MR) and modified restructuring (MMR). MMR should be modified modified restructuring?
 

MiguelVitiello

New Member
Subscriber
#45
broken link

Hi,

I think that the link to ''Credit Risk Measurement & Management Quiz'' in topic 6 Review is wrong because it download the spreadsheet T6.a_2012_XLS_bundle...

Many thanks,

Kind regards,

MV
 

wool

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#47
Hi Nicole and David
i found a small typo in Stock & Watson, Introduction to Econometrics , chapter 4 slide(R14,P1,T2); thought of drawing your attention for next revision. Please ignore if it has been already netted out by someone already.
Thanks!
1549049915990.png
 

wool

New Member
Subscriber
#48
Hi Nicole and David
i found a small typo in Stock & Watson, Introduction to Econometrics , chapter 4 slide(R14,P1,T2); thought of drawing your attention for next revision. Please ignore if it has been already netted out by someone already.
Thanks!
View attachment 1923
another typo w.r.t. the definition of R(square): fraction of variance in 'dependent' variable Y that is explained by the 'independent' variable X. Page 15|P1,T2,chapter 4: S&W,linear regression with one regressor
1549106845878.png
 

Mariana ZF

New Member
Subscriber
#50
@RaDi7 Yes agreed on both, thank you! The source PD is mistaken (doesn't distribute the T) but ours then omits the N(.) :( Sorry, thank you!
@Nicole Seaman RaDi7 is correct about both of these mistakes. This doesn't require Deeepa, I can correct myself (added to wrike)
Hi David/Nicole,

I see that the error regarding the minus that is missing on the "continuos" ADR formula has already been reported tho i just downloaded this study notes and see that it is still missing, same goes for error on page 21, the missing N(.).

This isn't the first time that i think i might be looking at some old study notes, is there a place where i can see how long ago where the study notes modified? That would help a lot to see if i'm using the up-to-date ones.

Thanks!
 

Nicole Seaman

Chief Admin Officer
Staff member
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Thread starter #51
Hi David/Nicole,

I see that the error regarding the minus that is missing on the "continuos" ADR formula has already been reported tho i just downloaded this study notes and see that it is still missing, same goes for error on page 21, the missing N(.).

This isn't the first time that i think i might be looking at some old study notes, is there a place where i can see how long ago where the study notes modified? That would help a lot to see if i'm using the up-to-date ones.

Thanks!
Hello @Mariana ZF

I am currently trying to get through all of the forum threads tagged with "revisepdf" so our study planner PDFs reflect the errors that are pointed out. Whenever I update a PDF in the study planner (or publish a brand new PDF), I will update these threads:


These threads are located in the Announcements section of the forum. Here are the previous threads from last year that should be helpful to you, but I promise that I am trying my best to get all of the PDFs updated as soon as possible :)

2018 Part 1: https://www.bionicturtle.com/forum/threads/2018-part-1-new-and-updated-published-materials.13310/
2018 Part 2: https://www.bionicturtle.com/forum/threads/2018-part-2-new-and-updated-published-materials.13309/

Thank you,

Nicole
 

JeffSchmitz

New Member
Subscriber
#52
Hi David,

I am currently reviewing your great new videos for Part 2, and became a little bit confused while watching the video on Gregory, Chapter 7: Credit Exposure and Funding. At minute 33:50 you are showing the figure 7.8 "Illustration of a square root of time exposure profile" while saying that this is the expected exposure at different time steps for Loans and Bonds. But shouldn't the expected exposure of a loan or bond be going back to 0 as it is pulled to par for bonds or repayed for loans?

The study notes are saying that this graph represents the exposure profiles for FX forwards, which also sounds more logical to me.

1553988252950.png

Thank you,

Best regards,

Jeff
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
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#53
Hi @JeffSchmitz Yes, right, it's my mistake. As you suggest, the graph is labelled "Illustration of a square root of time exposure profile" and therefore reflects a generic diffusion concept which is applicable, as Gregory mentions, to FRA/forward contracts but even to the early years in a swap before amortization overwhelms. The reason i made the mistake is that the graph appears immediately after 7.3.1. Loans and Bonds, but it is meant to refer to 7.3.2. Future uncertainty, and I just didn't catch it while recording :(

If we go all the way back to Gregory's 1st edition (because I think he does not repeat this in the 2nd or 3rd versions, but I could be wrong ...), then we find his PFE curve for a loan/bond. This is much nearer to your expectation and characterization, although it's interesting that he does not show a pull-to-par, but rather he has 100% of notional immediately (hmmm ... I think we've talked about this in the forum before but I'm not sure I agree with this aspect. For example, if you buy a 30-year zero-coupon bond, what is the PFE + 1 day from purchase? Isn't it far less than the notional? ...)

 
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