<< to be detailed in next major revision >>

[mc123456]

I am going through some of the Study Notes that are provided - in particular, I refer to:
P2.T6. Credit Risk Measurement & Management // Malz, Financial Risk Management: Models, History & Institutions // Bionic Turtle FRM Study Notes

And on several occasions the entire notes for a particular learning objective just read:
<< to be detailed in next major revision >>

I just wanted to check I am not going nuts, and this is actually the provided content?
I assume this is an assessment by BT that those particular Learning Objectives are either "untestable" or "covered elsewhere"?

 

[David Harper CFA FRM]

Hi @mc123456 Those are my placeholders indeed. GARP so grossly overassigned Malz (like Gregory) that much of it isn't testable, but I have tasked myself to populate them. The most relevant of the three instances where I have "<< to be detailed in next major revision >>" on pages 41-43 is "Explain how the default probabilities and default correlations affect the credit risk in a securitization" (that one is testable), while the other two are pretty technical. We'll update the Note this year. Thanks,

 

[mc123456]

Thanks @David Harper CFA FRM.
Is there a way we can be notified of when those updates/changes are made - so that we can go back and review that new material?

 

[Nicole Seaman]

Thanks @David Harper CFA FRM.
Is there a way we can be notified of when those updates/changes are made - so that we can go back and review that new material?

@mc123456 The list of updated materials is here in the forum: https://forum.bionicturtle.com/threads/2022-part-2-new-and-updated-published-materials.24135/. If you click "Watch" in the upper right corner of that thread, you can choose to receive email notifications when that thread is updated.

 

[mc123456]

@Nicole Seaman thanks for this.
Is it possible to get more descriptive details of the changes?
Otherwise, if we have already "studied" that area, we would need to trawl through the documents looking for changes (and cannot do "compare changes" to PDFs).

 

[Nicole Seaman]

@Nicole Seaman thanks for this.
Is it possible to get more descriptive details of the changes?
Otherwise, if we have already "studied" that area, we would need to trawl through the documents looking for changes (and cannot do "compare changes" to PDFs).

Hello @mc123456 Yes, I generally add information to let our members know what was updated. I just updated the forum post with updates that were added yesterday.

 

[bollengc]

I am going through some of the Study Notes that are provided - in particular, I refer to:
P2.T6. Credit Risk Measurement & Management // Malz, Financial Risk Management: Models, History & Institutions // Bionic Turtle FRM Study Notes

And on several occasions the entire notes for a particular learning objective just read:
<< to be detailed in next major revision >>

I just wanted to check I am not going nuts, and this is actually the provided content?
I assume this is an assessment by BT that those particular Learning Objectives are either "untestable" or "covered elsewhere"?

the part David is refering to ("Explain how the default probabilities and default correlations affect the credit risk in a securitization" (that one is testable)) is covered in the video that goes with chapter 9 in case it can help.
thanks

 

[ASeda4913]

Hi @mc123456 Those are my placeholders indeed. GARP so grossly overassigned Malz (like Gregory) that much of it isn't testable, but I have tasked myself to populate them. The most relevant of the three instances where I have "<< to be detailed in next major revision >>" on pages 41-43 is "Explain how the default probabilities and default correlations affect the credit risk in a securitization" (that one is testable), while the other two are pretty technical. We'll update the Note this year. Thanks,

Dear David, Thanks for your explanation, would you please tell me why when correlation of default is increased then equity value increase?, I feel when the correlation increases then many bonds together default, as a result equity would be wiped out sooner!

 

[David Harper CFA FRM]

Hi @ASche3191 There is a ton of discussion on this if you search the forum, but very briefly consider a portfolio with 100 credits (loans) and each has PD of 2.0%. If there is zero default correlation, the probability of (eg) at least one default is 1 - 98%^2 = 86.7%; i.e., a low default correlation really increases the probability that at least some bonds "at the bottom" (aka, equity) default. But increase PD up to 100% and the probability of no defaults is 98%. Yes, it may be true that "when the correlation increases then many bonds together default," but that is for the super-minority case of default. The majority case is non-default and increasing correlation increases the probability that all bonds end up not defaulting. Thanks,