Course Errors Found in 2021/2022 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 2021/2022 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
 
Last edited:

Garbanzo

Member
Subscriber
T4CH13 Modeling and Hedging Non-Parallel Term Structure Shifts. Study notes page 9

not sure how a zero coupon bond is a C-STRIP (?), did you mean P-STRIP?

1637261825318.png
 
Last edited:

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi @Garbanzo That's the final stripped coupon (yes, Tuckman does refer to C-STRIP here). So if it's a 30-year Treasury, you'd have one P-STRIP plus 60 C-strips where the "last" is a 30-year C-strip. Thank you for all of your posts/corrections/etc, I just haven't had time to carefully process. Just wanted to quickly respond to your latest. Thanks,
 

enjofaes

Member
Subscriber
Just a small note on the instructional video: P1.T4.Hull-Ch15-Black-Scholes slide 13. Should be 0.2/sqrt(3) not sqrt(0.2/3).
 

BCott8744

New Member
Subscriber
Hi - on page 44 of 2022 FRM P1 Valulations and Risk Models, it says the probability of B rated bond defaulting in 5th year is 2.38%. But table 4.4 shows 2.45% at the intersection of 5 and B. Is this incorrect? Am I missing something in the calculation?

Thanks
Brian
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi Brian (@BCott8744 ) Yes, I agree, it's a mistake. In our study notes, when I replicated the 2020 version of the default probability tables, I noticed a couple of similar errors, but the updated version appears to contain more mistakes. I agree with you about the mistaken 2.45%, but it's also true of unconditional PD(year 6) which (according to Table 3) should be 19.26% - 17.33% = 1.93%, yet displays as 2.00%. I hope that's helpful,
 

enjofaes

Member
Subscriber
Fyi an error found in the GARP book on page 54 solution of 4.13 cumulative default probability should be 12.22% as in the table (I'm assuming GARP recently updated the table in the chapter but did not update the exercise solution.
 
Top