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CFA & FRM

CFA & FRM

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Published by mr.rahulgoyal
Two Most Popular Finance Courses
Two Most Popular Finance Courses

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Categories:Types, Presentations
Published by: mr.rahulgoyal on Sep 16, 2010
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01/04/2014

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E X A M F O C U S
The FRM® exam is a practice-oriented examination. Its questions are derived from a combination oftheory, as set forth in the readings, and “real-world” work experience. Candidates are expected tounderstand risk management concepts and approaches and how they would apply to a riskmanager’s day-to-day activities.The FRM® Exam Part I will cover the following topics:
Topic AreaWeights
Foundations of Risk Management20%Quantitative Analysis 20%Financial Markets and Products 30%Valuation and Risk Models 30%The FRM® Exam Part II will cover the following topics:
Topic AreaWeights
Market Risk Measurement and Management 25%Credit Risk Measurement and Management 25%Operational and Integrated Risk Management 25%Risk Management and Investment Management 15%Current Issues in Financial Markets 10%The FRM® Exam Part I will have 100 multiple-choice questions. The FRM® Exam Part II will have 80multiple-choice questions. The exact number of questions is subject to minimal change. Each examwill be 4 hours in length, with a 120 minute break in between.
TOPICS AND READINGS 
I.Foundations of Risk Management PartA.Creating value with risk managementB.Market efficiency, equilibrium and the Capital Asset Pricing Model (CAPM)C.Performance measurement and attributionD.Sharpe ratio and information ratioE.Tracking errorF.Factor models and Arbitrage Pricing Theory
 
G.Risk management failuresH.Case studiesI.EthicsII.Quantitative AnalysisA.Probability distributionsB.Mean, standard deviation, correlation, skewness, and kurtosisC.Estimating parameters of distributionsD.Linear regressionE.Statistical inference and hypothesis testingF.Estimating correlation and volatility: EWMA, GARCH modelsG.Maximum likelihood methodsH.Volatility term structuresI.Simulation methodsIII. Financial Markets and ProductsA.Clearing house mechanisms, structural hubs, exchangesB.Netting, collateral and downgrade triggersC.Futures, forwards, swaps, and optionsD.Derivatives on fixed
income securities, interest rates, foreign exchange, equities, andcommoditiesE.Measuring portfolio exposuresF.American options, effects of dividends, early exerciseG.Trading strategies with derivativesH.Minimum variance hedge ratioI.Cheapest to deliver bond, conversion factorsJ.Commodity derivatives, cost of carry, lease rate, convenience yieldK.Basis riskL.Foreign exchange riskM.Corporate bondsN.Debt equity swaps, loan salesIV. Valuation and Risk Models PartA.Value-at-Risk (VaR)B.Definition and methodsC.Delta
normal valuation, full revaluation, historical simulation, Monte Carlo simulation methodsD.Applications of VaR for market, credit and operational riskE.VaR of linear and non-linear derivativesF.VaR for fixed income securities with embedded optionsG.Term structure of interest ratesH.Discount factors, arbitrage, yield curvesI.Bond prices, spot rates, forward ratesJ.DV01, duration and convexity, duration based hedgingK.Credit rating agencies, credit ratingsL.Credit transition matricesM.Sovereign risk and country risk evaluationN.Binomial treesO.Black-Scholes-Merton modelP.Greeks
 
Q.Stress testing and scenario analysisV. Market Risk Measurement and ManagementA.Volatility smiles and volatility term structuresB.Exotic optionsC.Duration and convexity of fixed income securitiesD.Term structure modelsE.Backtesting VaRF.Mapping financial instruments to risk factorsG.Expected shortfall and coherent risk measuresH.Extreme value theoryI.Copulas and tail dependenceJ.Mortgages and mortgage-backed securities (Underwriting mortgages, Prepayment models,Risks in mortgages andK.mortgage-backed securities, Valuation of mortgage-backed securities)VI. Credit Risk Measurement and ManagementA.Subprime mortgages and subprime securitizationB.Counterparty risk and OTC derivativesC.Credit derivatives, credit default swaps and credit-linked notesD.Structured finance, securitization, tranching and subordinationE.Collateralized Debt Obligations (pricing and risk management)F.Probability of default, loss given default and recovery ratesG.Credit scoringH.Credit spreadsI.Expected and unexpected lossJ.Contingent claim approach and the KMV ModelK.Default and default
time correlationsL.Portfolio credit riskM.Credit risk management modelsN.Risk mitigation techniques (including netting, rating triggers,and collateral)VII. Operationaland Integrated Risk ManagementA.Definition of risk capitalB.Allocation of risk capital across the firmC.Firm
wide risk measurement and managementD.Correlations across market, credit, and operational riskE.Evaluating the performance of risk management systemsF.Regulation and the Basel II AccordG.Minimum capital requirements, Credit concentration riskH.Liquidity risk, Stress testingI.Implementation and model riskJ.Liquidity riskK.Economic capital and risk aggregationVIII Risk Management and Investment ManagementA.Portfolio constructionB.Risk decomposition and performance attribution

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