Course 2025 - Errors in BT Materials - Topic 6 Credit Risk

[Nicole Seaman]

Please use this thread to let us know about any errors, missing/broken links, etc., that you find in the 2025 materials in Topic 6 Credit Risk. This keeps our forum 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.

Please include this information in your post so we can correct errors:

• Chapter
• Page number
• Specific details about the error

 

[Meta]

There are no answers for the P2.T6.24.16 in the books...
I can't access the forum for these questions as my membership has expired.

 

[Nicole Seaman]

There are no answers for the P2.T6.24.16 in the books...
I can't access the forum for these questions as my membership has expired.

Hello @Meta We will be updating the materials for 2025 starting in January and will continue to update them throughout the exam period. Any materials that were not updated in the PDFs in 2024 will be added this coming year. Thank you.

 

[KArno4379]

Hi Nicole, I had a question in the video for John Hull Ch. 24--around 32:30 we solve for the default probability based on a common market factor in the one-factor Gaussian copula model.

Should the value derived from the inverse cumulative distribution function in the numerator be -1.645, not -0.645? For instance, the corresponding Z value for a 5% tail would be +/- 1.645.

If so, is it correct that the final answer should be about 0.04%, corresponding to N(-3.348)?

I welcome comments if this alternate answer is incorrect. Thank you!

 

[Clay Carter]

Hi Nicole, I had a question in the video for John Hull Ch. 24--around 32:30 we solve for the default probability based on a common market factor in the one-factor Gaussian copula model.

Should the value derived from the inverse cumulative distribution function in the numerator be -1.645, not -0.645? For instance, the corresponding Z value for a 5% tail would be +/- 1.645.

If so, is it correct that the final answer should be about 0.04%, corresponding to N(-3.348)?

I welcome comments if this alternate answer is incorrect. Thank you!

View attachment 4683

@KArno4379 Yes, you are correct. Let me get this fixed! @Nicole Seaman Can you please make the numerator in the second and third equation to -1.645, not -0.645. In the last screenshot should be N(-3.348) not N(-2.05744) and the final answer should be 0.04%.

 

[KArno4379]

@KArno4379 Yes, you are correct. Let me get this fixed!

Okay excellent, thanks so much Clay!

 

[Clay Carter]

Okay excellent, thanks so much Clay!

Thank you!

 

[IDosh1374]

How is 0.08 < 0.069????

 

[Clay Carter]

How is 0.08 < 0.069????

@IDosh1374 This should say "The distribution exhibits a positive (right) skew, consistent with the mean (0.080) exceeding the median (0.069). This implies that extreme losses, while rare, pull the average upward. However, to assess the strength of the skew, we’d ideally look at the skewness coefficient or a histogram". @Nicole Seaman

 

[Nicole Seaman]

@IDosh1374, please provide the name of the study notes you are referring to, along with the page number, so we can ensure the correct document is updated. Also, I'm moving this post to our Credit Risk Error Thread so it is tagged for revision. Thanks!