Risk Management and
Financial Institutions, Second Edition
The following typos
and other errors are in the first printing of the book. We have tried to
correct them in subsequent printings and so they may not be present in the copy
you have.
Page 20: Third paragraph. Replace “1994” with “1984”
on first and third line. (This was kindly pointed out by Emilio Barone)
Page 24: Change “billion” to “million” on lines 4, 9,
and 10. (This was kindly pointed out by Yong Wang)
Page 27: Example 2.2: In table change E’s bid from
50,000 to 150,000 shares. (This was kindly pointed out by Emilio Barone)
Page 28: Second paragraph, line 6. Replace “$1.96
million” with “$2.25 million” (2.25=1.67/0.742)
(This was kindly pointed out by Emilio Barone)
Page 47: Example
3.1. At end of second paragraph “$34,406” should be “$33,167”. The equation
that is the second line from the end should be “1.786439X=33,167” not “1.786439X=34,106”.
On the last line “19,092” should be replaced by “18,566” in two places.
Page 73: Second
equation: Replace “(0.8×60+2)” with “(0.8×60−2)”. Also 13th
line from bottom of page replace “million” with “billion” (This was kindly pointed out
by Emilio Barone)
Page 87: Six lines above table:
change “August 5” to “August 27” (This was kindly pointed out by Yong Wang)
Page 93: Line above Example 5.1:
“LIBOR plus 0.5%” should be “LIBOR minus 0.5%.” (This was kindly pointed out by
Emilio Barone)
Page 115: Line
2: Replace “3%” with “4%”. (This was kindly pointed out by Yong Wang)
Page 138: 3rd paragraph 5th
line: Replace “Appendix C” with “Appendix B”. (This
was kindly pointed out by Emilio Barone)
Page 164: Example 8.7: Replace “$8.1
million” by “$8.2 million” at the end of the first paragraph and “8.1 + 8.1” by
“8.2+8.2” in the third paragraph. (This was kindly pointed out
by Emilio Barone)
Page 166: Item 1 at the end of the
Time Horizon section: Replace “on T ”
by
“on N ”. (This was kindly pointed out
by Alan White.)
Page 173: Problem 8.5. Change “loss
of $1,” to “loss of $1 million,” on second line. This was kindly pointed out by
Asher Chohan
Page 184: In first equation, replace
“Prob(v>x)” by “ln[Prob(v>x)]”. (This
was kindly pointed out by Emilio Barone)
Page 197:
Three lines under equation (9.16), replace “
”
by “
”.
(This was
kindly pointed out by Emilio Barone)
Page 250: I
should have pointed out that this example is simplified in that I have not
taken exchange rate changes into account. The example would be more precise if the
underlying data were for the DJIA, the FTSE measured in dollars, the CAC 40
measured in dollars, and the Nikkei 225 measured in dollars. (This was kindly
pointed out by Merab Alam.)
Page 253:
The scenario number for the fourth scenario in Table 12.4 is 349, not 299.
Page 255:
First row after first equation: Replace “$247,257” with “”$247,571”.
Page 256:
The scenario number for the fourth scenario in Table 12.5 is 349, not 299.
Page 257: Four
lines above the table replace “2.00, 2.34, 2.23, and 1.40” with “1.98, 2.30,
2.22, and 1.37”. In the table, the volatilities in the penultimate row (Day
499) should be 2.21, 3.01, 3.00 and 2.06 instead of 2.24, 3.03, 3.02, and 2.12,
respectively. The volatilities in the final row (Day 500) should be 2.19, 2.96,
2.98, and 2.01 instead of 2.21, 3.01, 3.00, and 2.06, respectively.
Page 258: In
Table 12.7, the numbers in the loss column are slightly wrong. Starting from
the top they should be: 1295.165, 795.395, 685.969, 683.820, 591.640, 532.168,
494.609, 485.853, and 460.600. On line 9 after table, replace ‘99% VaR is
$601,767, over twice” with “ 99%VaR is $591,640, about twice”.
Also on first row after table
replace “2.05, 2.41, 2.30, and 1.36” by “2.03, 2.37, 2.29, and 1.33.”
Page 263:
Second equation should be
Page 265:
In Problem 12.6, replace
“$341,336” with “$341,366”.
In Problem 12.7, replace
“$601,767” with “$591,640” (to be consistent with page 258 change).
In Problem 12.10 delete the
first “99%” on line 3.
In Problem 12.11, replace
“Table 12.8” with “Table 12.7” on line 2 and delete the first 99% on line 3.
Page 266:
In Problem 12.15 replace
$341,336 by $341,366
In Problem 12.16 replace
“$601,767” with “$591,640” (to be consistent with page 258 change).
In Problem 12.17 (d) should
be “Extreme value theory with u=300”
Page 301:
Footnote: replace “Problem 14.23” by “Problem 14.22”. (This was kindly pointed out
by Emilio Barone)
Page 302:
First line after first equation: replace “previous section” with “Section 14.3”
(This was
kindly pointed out by Emilio Barone)
Page 304: Table
14.4, penultimate row, replace “2.15” by “2.35” (This was kindly pointed out by Emilio Barone)
Page 306:
line 7: replace 2003 by 2007 (This was kindly pointed out by Emilio Barone)
Page 312: Problem
14.22. On lines 1 and 2 replace “(payable semiannually). Suppose that a 3 year
corporate bond” with “(payable semiannually) and the underlying corporate bond”
Page 312:
Problem 14.23. Insert “payable annually” at the end of the first sentence.
Page 317:
Five lines from the end of Example 15.2 change “The value of v1” to “the value of v2” (This was kindly pointed out
by Emilio Barone)
Page 328: Figure
15.4: In Figure on first row replace
“xB<3.7190” with “xB<−3.7190”. On
sixth row replace “1.3984 <xB<1.2448”
with “−1.3984 <xB<1.2448”. (This was kindly pointed out
by Emilio Barone)
Page 331:
Problem 15.14. Change “European option” to “European call option” on first
line.
Page
348: Line 14: Change 0.001195% to
0.1195%. (This
was kindly pointed out by Yong Wang)
Page 357: Example
17.1. Change “-29.00” to “-25.90” on line 5. In Table change “1174.20” to
“1176.67” on the first row and “-29.00” to “-25.90”. on last row. Three lines
below table change “The loss is $286.25.” to “The loss is 289.38.” Change “10%”
to “8%” in penultimate row
Page 358: Second
line : change “10%” to “8%”. Fifth
line. Change “$42.61” to “$42.86” and change “$85.17” to “$87.19”.
Page 363: In
Table 17.1, 8th scenario
should be labeled h349, not h299.
Page 389: Example
19.2: In the equation change “752.5×(0.006645+2.33×0.006645)” to “752.5×
(0.006645+2.33×0.006645)”
This changes the answer from
$73.25 to $36.58 which is five rather than ten times the cost of liquidation in
normal market conditions.
On the last line of the page
change “Section 19.1” to “Section 20.1”
(This was kindly pointed out
by Emilio Barone)
Page 390: Replace l by li in second equation. (This
was kindly pointed out by Emilio Barone)
Page 412: 4th item in the Black-Scholes-Merton
section, replace “life of the asset” by “life of the option”. (This was kindly pointed out by Emilio Barone)
Page 457: 4th
line in bond yields section: replace “Table A.1” with “Table “B.1”
(This was kindly pointed out
by Emilio Barone)
Page 471: Last subscript in equation
should be n, not m. (This was kindly pointed out
by Yong Wang)
Page 473: Last row before last
equation replace “(G.1)” by “(H.1)”. (This was kindly pointed out
by Emilio Barone)
Page 482: In answer to Problem 3.5,
change 0.03420 to 0.003420 in equation.
Page 490: In
answer to Problem 7.9 replace “equation (4.14) “ with “equation 7.4”. In answer
to Problem 7.10 replace “Figure 4.4” by “Figure 7.4” and “Figure 4.6” by
“Figure 7.6”. (This
was kindly pointed out by Yong Wang)
Page 497: In
answer to Problem 11.17 change 0.0814 to 0.0914 and $11.39 to $12.79. In answer
to Problem 12.7 replace “$557,815” by “$552,715”. (This was kindly pointed out
by Emilio Barone)
Page 498: In
answer to Problem 12.11, change “nu=21”
to “nu=20”, “0.470” to
“0.505”, “78.293” to “74.725”, “$560,405” to “$550,019” and $1,198,223” with
“$1,205,121”. The equation should read
Page 500: In
Problem 14.4 the probability of default for the third year should be
(0.05298-0.03019)/(1-0.03019) = 0.0235
and the average default
intensity, 
, satisfies 
. It is 2.38%. (This was kindly pointed out by Deborah
Monfils)
Page
501: In equation in answer to problem
14.15: change last expression on left hand side of second equation to +1.25×e-0.035×5
. (This
was kindly pointed out by Yong Wang)
Page 509: In
Problem 21.8 replace “$7 million” by “$5 million” and “18.4%” by “13.2%”
(=5/38). (This
was kindly pointed out by Emilio Barone)