Course Errors Found in 2021 Study Materials P2.T8. Liquidity and Treasury Risk

Nicole Seaman

Director of FRM Operations
Staff member
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 P2.T8. Liquidity and Treasury Risk. 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
Reading: Ang, Illiquid Assets (Chapter 13).
Page 16
In the third equation, the coefficient on the lagged observed return is missing a theta in the numerator.
I believe this is an error (can someone please confirm?)

Reading: Rose & Hudgins Chapter 7
Page: Top lines of page 26
Error: The 4 words with a strike out in these lines should read the opposite.

Essentially, if the leverage duration gap is positive, then a parallel change in all interest rates will cause liabilities to change by less than assets. Consequently, if interest rates fall, liabilities will increase more than assets and the firm’s net worth will decline. On the flip side, if interest rates rise, liability values will fall faster than asset values and the net worth of the firm will increase.


Active Member
Hi David,
Just wanted to let you know that the study notes (Castagna Ch.6) need to be amended slightly, the chart on the last page ( I think this table were from the books) says that the TSECF & the TSECCF is changed for the reverse repo agreement, but in this transaction ownership is with the counter party so actually for the bank these term structures don't change.


New Member
Hi all,

Rose, Chapter 7. Risk management for Changing Interest
Page 8
Formula for Fisher equation is wrong - it should be: Real Interest = Nominal Interest Rate - Inflation Rate rather than


New Member
In addition to above:
Page 26 for Rose, Chapter 7. Risk management for Changing Interest

See the paragraph at the top. It started by saying that positive gap = liabilities less sensitive than asset. But subsequent statements talked about how liabilities increase more or fall faster than asset. I feel like it's the other way around and it's a typo.