2012 FRM® Examination Study Guide

The designation recognized by risk management professionals worldwide

Further information can be found at the GARP website. The topics and their respective weightings are reviewed yearly to ensure the FRM Exam is kept timely and relevant. Key Concepts appear as bullet points at the beginning of each section and are intended to help candidates identify the major themes and knowlThe FRM Examination is a comprehensive examination. FRM Exam Prep Providers Some candidates may want to more formally review the materials with FRM Exam Prep Providers (EPPs). The topics were selected by the FRM Committee as ones that risk managers who work in practice today have to master. edge areas associated with that section. a risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively. Test Weightings The Study Guide sets forth primary topics and subtopics covered in the FRM Exam. as set forth in the readings. 1 .2012 Financial Risk Manager (FRM®) Examination Study Guide Topic Outline. GARP does not endorse any Exam Prep Provider but merely lists them as a service to FRM candidates. As such. The Study Guide also contains a full listing of all of the readings that are recommended as preparation for the FRM Examination. Candidates are expected to understand risk management concepts and approaches and how they would apply to a risk manager’s day-to-day activities. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. FRM Examination Approach The FRM Exam is a practiceoriented examination. Its questions are derived from a combination of theory. All of the readings listed in the FRM Study Guide are available through GARP. testing a risk professional on a number of risk management concepts and approaches. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam. A list of EPPs that have registered with GARP can be found at the GARP website. and “real-world” work experience. Readings Questions for the FRM Examination are related to and supported by the readings listed under each topic outline. In the real world. Readings. All rights reserved. It is rare that a risk manager will be faced with an issue that can immediately be slotted into one category. testing a risk professional on a number of risk management concepts and approaches. © 2012 Global Association of Risk Professionals. the FRM Examination is also a comprehensive examination.

........ Risk Management & Derivatives (Florence.. 2003).. Martin J...... 8th Edition (Hoboken...................The Arbitrage Pricing Model APT—A New Approach to Explaining Asset Prices 4.................. 2009).. “Overview of Enterprise Risk Management.. Chapter 1 .... Elton......................The Standard Capital Asset Pricing Model Chapter 14.. 2002)..... 3rd Edition (New York: McGraw-Hill.. Goetzmann..... All rights reserved.. Brown and William N..Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators 5....Nonstandard Forms of Capital Asset Pricing Models Chapter 16.....2012 Financial Risk Manager (FRM®) Examination Study Guide FRM PART I—TOPICS AND READINGS FOUNDATIONS OF RISK MANAGEMENT—Part I Exam Weight | 20% • • • • • • • • • • • The role of risk management Basic risk types... KY: Thomson South-Western... 2003).....Financial Disasters 2 © 2012 Global Association of Risk Professionals........... Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk (New York: John Wiley & Sons. Stephen J.. Value-at-Risk: The New Benchmark for Managing Financial Risk.... Gruber. 6...... Enterprise Risk Management Committee... NJ: John Wiley & Sons..... • Chapter 3 .. Portfolio Theory and Performance Analysis (West Sussex............ • Chapter 4 ..... • Chapter 4. Casualty Actuarial Society.......... ......2 only .........Delineating Efficient Portfolios Chapter 13... 2007)...... Noel Amenc and Veronique Le Sourd....... Steve Allen........ • • • • Chapter 5 ...Creating Value with Risk Management 3.... • 2.. England: John Wiley & Sons....The Need for Risk Management René Stulz.... Edwin J....... Section 4.......... measurement and management tools Creating value with risk management Modern Portfolio Theory (MPT) Standard and non-standard forms of the Capital Asset Pricing Model (CAPM) Single and multi-index models and the Arbitrage Pricing Theory (APT) Risk-adjusted performance measurement Enterprise Risk Management Financial disasters and risk management failures Case studies Ethics and the GARP Code of Conduct Readings for Foundations of Risk Management 1.... Modern Portfolio Theory and Investment Analysis. Philippe Jorion.....” May 2003...

Review of Statistics Chapter 4 .................. Understanding Market... Portfolio Selection and Option Pricing (Hoboken.. • • Chapter 2 .... 2005)... Jorion...........Linear Regression with One Regressor Chapter 5 . NJ: John Wiley & Sons... Chapter 2 ..Discrete Probability Distributions Chapter 3 ................. “Risk Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series....... 3 ........Monte Carlo Methods 12... 8.. (Oct..................... the t-statistic......... 2004).. Options..............Continuous Probability Distributions 11........... and other output Hypothesis testing and confidence intervals Heteroskedasticity and multicollinearity Monte Carlo Methods Estimating correlation and volatility using EWMA and GARCH models Volatility term structures Quantifying volatility in VaR models Readings for Quantitative Analysis 9 James Stock and Mark Watson... Jacob Boudoukh and Anthony Saunders..Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals Chapter 6 .Review of Probability Chapter 3 ............... 8th Edition (New York: Pearson Prentice Hall.. 2008)......... 3rd Edition....... Linda Allen. 2008)............ Christian Menn......Quantifying Volatility in VaR Models © 2012 Global Association of Risk Professionals....Hypothesis Tests and Confidence Intervals in Multiple Regression Svetlozar Rachev. and Other Derivatives.... Brief Edition (Boston: Pearson Education..........Estimating Volatilities and Correlations 13.... John Hull. 2012)............... • • • • • • 10......2012 Financial Risk Manager (FRM®) Examination Study Guide 7........... Credit and Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing........... GARP Code of Conduct (available on GARP website) QUANTITATIVE ANALYSIS—Part I Exam Weight | 20% • • • • • • Discrete and continuous probability distributions Population and sample statistics Statistical inference and hypothesis testing Estimating the parameters of distributions Graphical representation of statistical relationships Linear regression with single and multiple regressors • • • • • • • • The Ordinary Least Squares (OLS) method Interpreting and using regression coefficients...... Futures... • Chapter 12 ..............Linear Regression with Multiple Regressors Chapter 7 ...... • Chapter 2 . Value-at-Risk:The New Benchmark for Managing Financial Risk.. René Stulz..... • Chapter 22 ......................... Introduction to Econometrics.. and Frank Fabozzi..... Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management.... All rights reserved.................

... • Chapter 14....... 2006)........................... swaps and options • • • • • • • • • Mechanics Pricing and factors that affect it Uses in hedging and hedging strategies Delivery options Interest rates and measures of interest rate sensitivity Derivatives on fixed income securities.................. 8th Edition. • Chapter 1 ........... England: John Wiley & Sons. • Chapter 6 ... futures..... Anthony Saunders and Marcia Millon Cornett.Mechanics of Futures Markets Chapter 3 ....Interest Rates Chapter 5 ..................................Interest Rate Futures Chapter 7 .......................Hedging Strategies Using Futures Chapter 4 ..Properties of Stock Options Chapter 11 .......Corporate Bonds 4 © 2012 Global Association of Risk Professionals........... 2005).......Trading Strategies Involving Options Robert McDonald... Derivatives Markets.Fundamentals of Commodity Spot and Futures Markets: Instruments....Commodity Forwards and Futures 16..... Chapter 1 ................Determination of Forward and Futures Prices Chapter 6 .......... • Chapter 13........ Hull.2012 Financial Risk Manager (FRM®) Examination Study Guide FINANCIAL MARKETS AND PRODUCTS—Part I Exam Weight | 30% • • Mechanics of OTC and exchange markets Forwards.. Exchanges and Strategies 17............ 2005).......Foreign Exchange Risk 18... Futures................ All rights reserved.... 7th Edition (New York: McGraw-Hill............................Swaps Chapter 10 ............... Metals and Energy (West Sussex..Introduction Chapter 2 . 7th Edition (New York: McGraw-Hill..... 2011)............ Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals.. ....... 2nd Edition (Boston: Addison-Wesley.. The Handbook of Fixed Income Securities. interest rates...... Options............... • • • • • • • • • 15...... Frank Fabozzi................. Financial Institutions Management: A Risk Management Approach.......... and equities Commodity derivatives Foreign exchange risk Corporate bonds Readings for Financial Markets and Products 14. foreign exchange... and Other Derivatives....... Helyette Geman.............

.......Country Risk Models © 2012 Global Association of Risk Professionals........................... • • • • Chapter 1 ........ 2002)....The Greek Letters 21........ Altman.............. currencies... Managing Credit Risk..Bond Prices.2012 Financial Risk Manager (FRM®) Examination Study Guide VALUATION AND RISK MODELS—Part I Exam Weight | 30% • Value-at-Risk (VaR) • • • • • • • • • • • • • • • • • • • • • Applied to stock.......Binomial Trees Chapter 14..........The Black-Scholes-Merton Model Chapter 18.... Caouette.........Putting VaR to Work Chapter 5 ... and Nimmo.............Yield to Maturity Chapter 5 ................. Bruce Tuckman................ Options. 2nd Edition (New York: John Wiley & Sons..... Futures...... Understanding Market... • • 20. and Forward Rates Chapter 3 . 2008)........ Jacob Boudoukh and Anthony Saunders.. Spot Rates........ 2nd Edition (Hoboken.... and Other Derivatives... Chapter 3 ... Fixed Income Securities.... Narayanan..One-Factor Measures of Price Sensitivity 22...... Discount Factors.... and commodities Applied to linear and non-linear derivatives Applied to fixed income securities with embedded options Structured Monte Carlo..... • • Chapter 6 ... 8th Edition..... Credit and Operational Risk: The Value at Risk Approach................... and yield to maturity Arbitrage and the Law of One Price One factor measures of price sensitivity Fundamental analysis Option valuation Fixed income valuation Country and sovereign risk models and management External and internal credit ratings Expected and unexpected losses Operational risk Stress testing and scenario analysis Readings for Valuation and Risk Models 19........ forward rates..Bond Prices. • • • Chapter 12 .......... Linda Allen.........The Rating Agencies Chapter 23.....Extending the VaR Approach to Operational Risks Hull........ and Arbitrage Chapter 2 .. NJ: John Wiley & Sons.............. 5 ............................ and scenario analysis Extending VaR to operational risk Limitations as a risk measure Coherent risk measures Pricing options using binomial trees The Black-Scholes-Merton Model The “Greeks” Discount factors......... spot rates....... All rights reserved. stress testing....

... “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication.....Exotic Options 6 © 2012 Global Association of Risk Professionals....... 2005).....Operational Risk 27. • • Chapter 19...... and convexity Key rate exposures Hedging and immunization Risk neutral pricing Structure.........Loan Portfolios and Expected Loss Chapter 5 .......Stress Testing 28........ Futures............. • • Chapter 4 ............... Risk Management and Financial Institutions... and Other Derivatives..... Kevin Dowd... Michael Ong.... • Chapter 2 . markets.Volatility Smiles Chapter 25.. DV01..... May 2009).. 2010)...2012 Financial Risk Manager (FRM®) Examination Study Guide 23. Internal Credit Risk Models: Capital Allocation and Performance Measurement (London: Risk Books...... FRM PART II—TOPICS AND READINGS MARKET RISK MEASUREMENT AND MANAGEMENT—Part II Exam Weight | 25% • Fixed income securities • • • • • • • • • • • • • • • Duration. and valuation VaR mapping Backtesting VaR Expected shortfall (ES) and other coherent risk measures Parametric and non-parametric methods of estimation Modeling dependence: correlations and copulas Extreme value theory (EVT) Mortgages and mortgage-backed securities (MBS) VaR and other risk measures Volatility: smiles and term structures Exotic options Readings for Market Risk Measurement and Management 29...... 2nd Edition (West Sussex....External and Internal Ratings 24..... Hull...... England: John Wiley & Sons.. ......... Measuring Market Risk.... All rights reserved. Jorion...... Arnaud de Servigny and Olivier Renault..........Unexpected Loss 25... • Chapter 2 ............ 8th Edition............ • Chapter 14. 2004)........ John Hull........... Measuring and Managing Credit Risk (New York: McGraw-Hill.... • Chapter 18.......... 2nd Edition (Boston: Pearson Prentice Hall......Measures of Financial Risk 26...... Value-at-Risk: The New Benchmark for Managing Financial Risk......... Options......... 3rd Edition... 2003)...

.Basics of Residential Mortgage Backed Securities 32............. 2006). All rights reserved... Pietro Veronesi. 2nd Edition (Hoboken... • • Chapter 6 . William Berliner.... Measuring Market Risk.. Fixed Income Securities (Hoboken.... and support Quantitative methodologies Loss given default and recovery rates Estimating defaults and recoveries from market prices and spreads The use of historical default rates and credit risk migration Structured finance and securitization Default risk Expected and unexpected losses Credit VaR © 2012 Global Association of Risk Professionals................. Kevin Dowd.........Key Rate and Bucket Exposures Chapter 9 . subordination........... 3rd Edition.......Techniques for Valuing MBS CREDIT RISK MEASUREMENT AND MANAGEMENT—Part II Exam Weight | 25% • • • • Subprime mortgages and securitization Counterparty risk and OTC derivatives Credit risk concentration Credit derivatives • • • • • • • • • • • • • • Types and uses Mechanics and structure Valuation The structuring and securitization process Agency problems and moral hazard in the securitization process Tranching......VaR Mapping 33.......The Science of Term Structure Models 31........Overview of Mortgages and the Consumer Mortgage Market Chapter 2 .......................... NJ: John Wiley & Sons...................Non-parametric Approaches Chapter 5 . 7 .... Anand Bhattacharya... 2010)...........2012 Financial Risk Manager (FRM®) Examination Study Guide 30................ Frank Fabozzi. 2nd Edition...... NJ: John Wiley & Sons...Overview of the Mortgage-Backed Securities Market Chapter 10 .. • • • • Chapter 3 ................................................................... • • • Chapter 1 ....Backtesting VaR Chapter 11 . Tuckman........ • Chapter 8 ................. Fixed Income Securities......Appendix—Modeling Dependence: Correlations and Copulas Chapter 7 ......................Parametric Approaches (II): Extreme Value 34............. • • • Chapter 6 ..................................... Value-at-Risk: The New Benchmark for Managing Financial Risk........... Jorion........... Mortgage Backed Securities.Measures of Price Sensitivity Based on Parallel Yield Shifts Chapter 7 . 2nd Edition....Estimating Market Risk Measures Chapter 4 ............

...... Eduardo Canabarro and Darrell Duffie....Credit Derivatives and Credit-Linked Notes Chapter 13. Allen......... 318 (March 2008). • Chapter 6 .. Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken.................Cash Collateralized Debt Obligations 39... Measuring and Managing Credit Risk....Default Risk: Quantitative Methodologies Chapter 4 .... “Understanding the Securitization of Subprime Mortgage Credit... • 38........................ 2006).... All rights reserved.. Chapter 6 . no..Credit Risk Chapter 24...... Hull.............. 8th Edition..........Extending the VaR Approach to Non-tradable Loans 42... Options.. de Servigny and Renault. 37...... Understanding Market.. Leo Tilman (London: Euromoney Institutional Investor....Pricing and Hedging Counterparty Risk: Lessons Re-Learned?........” Federal Reserve Bank of New York Staff Reports..............2012 Financial Risk Manager (FRM®) Examination Study Guide Readings for Credit Risk Measurement and Management 35... ed........ • • Chapter 23.... “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions.......... Risk Management & Derivatives. 36.... Counterparty Credit Risk (London: Risk Books... by Eduardo Canabarro Christopher Culp. Boudoukh and Saunders.... ....Credit Risks and Credit Derivatives 43.................... Internal Credit Risk Models: Capital Allocation and Performance Measurement.......... 2003)........Portfolio Effects: Risk Contributions and Unexpected Losses 8 © 2012 Global Association of Risk Professionals........... • Chapter 18..... • • Chapter 3 ....Loss Given Default 40... • • • • Chapter 12 .... Futures.Securitization Chapter 17 ........................... Ong.... Adam Ashcroft and Til Schuermann..... Credit and Operational Risk: The Value at Risk Approach.........Credit Derivatives 41......... Stulz..... 2009)..... • Chapter 4 ...The Structuring Process Chapter 16............................... Eduardo Canabarro (editor)............ NJ: John Wiley & Sons...... and Other Derivatives...

Ltd......Capital Allocation and Performance Measurement “Range of Practices and Issues in Economic Capital Frameworks.. Risk Management (New York: McGraw-Hill..... and mitigating liquidity risk Understanding and managing model risk Evaluating the performance of risk management systems Validating VaR models Enterprise risk management (ERM) Economic capital Operational loss data • • • • • • Frequency and severity distributions Modeling and fitting distributions Data sufficiency Extrapolating beyond the data Failure mechanics of dealer banks Regulation and the Basel Accords • • • • • • • Minimum capital requirements Methods for calculating credit. Brian Nocco and René Stulz.. • • Chapter 14. 2nd Edition.” (Basel Committee on Banking Supervision Publication...... The Handbook of Risk Management (West Sussex..Liquidity...Model Risk 47. 49.. 4 (2006): 8–20.....Estimating Liquidity Risks Chapter 16. All rights reserved. Dan Galai and Robert Mark...........Funding Risk Chapter 19. Fall 2010: pp.... the Ultimate Operational Risk Chapter 17 . No..... March 2009).......Managing and Mitigating Liquidity Risks 48... Volume 5/Number 3...... Mo Chaudhury...2012 Financial Risk Manager (FRM®) Examination Study Guide OPERATIONAL AND INTEGRATED RISK MANAGEMENT—Part II Exam Weight | 25% • • • • • • • • Calculating and applying risk-adjusted return on capital (RAROC) Understanding.........” Journal of Applied Corporate Finance 18........ 46........... Dowd.... 2010)......................” The Journal of Operational Risk........... 2001).. Philippe Carrel........... “A Review of the Key Issues in Operational Risk Capital Modeling. © 2012 Global Association of Risk Professionals... Chapter 14.............. Michel Crouhy... managing..... and operational risk Liquidity risk management Modeling risk aggregation Stress testing Revisions to the Basel II Accord The Basel III framework Readings for Operational and Integrated Risk Management 44... “Enterprise Risk Management: Theory and Practice....... • 45......... 9 .. • • • • Chapter 16.....Analysing and Measuring Liquidity Risk Chapter 18... market... UK: John Wiley & Sons.. Measuring Market Risk...... 37-66............

NBER. 52. “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems—Revised Version. 2010. 51.” Ch. Eric S.” (Basel Committee on Banking Supervision Publication.2012 Financial Risk Manager (FRM®) Examination Study Guide 50. 53. December 2010). 56. June 2006). “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework— Comprehensive Version. June 2011). Jordan.).” (Basel Committee on Banking Supervision Publication. 54. 55. “Challenges and Pitfalls in Measuring Operational Risk from Loss Data.” (Basel Committee on Banking Supervision Publication. Patrick De Fontnouvelle. Gianluca Antonini and Roberto Ugoccioni. 51-72. Eric Cope. “Revisions to the Basel II Market Risk Framework—Updated as of 31 December 2010. Darrell Duffie. .” The Journal of Operational Risk. “Basel III: International Framework for Liquidity Risk Measurement. Risks of Financial Institutions. 57. “Developments in Modelling Risk Aggregation. 10 in Mark Carey and René Stulz (eds.” (Basel Committee on Banking Supervision Publication. 475-505. Giulio Mignola. Rosengren and John S. Candidates are not expected to memorize specific details like risk weights for different assets. February 2011). October 2010). 2006. RISK MANAGEMENT AND INVESTMENT MANAGEMENT—Part II Exam Weight | 15% • • • • • • • Portfolio construction Portfolio-based performance analysis Tests of the Capital Asset Pricing Model (CAPM) Portfolio and component VaR Risk budgeting Risk monitoring and performance measurement Hedge funds • • • • • Hedge fund strategies Due diligence and fraud detection Liquidity Risk management of hedge funds Private equity 10 © 2012 Global Association of Risk Professionals. 3-27. Readings for Basel Reference Candidates are expected to understand the objective and general structure of the Basel II and Basel III Accords and general application of the various approaches for calculating minimum capital requirements. And comment by Andrew Kuritzkes 505-511. Standards and Monitoring.” Journal of Economic Perspectives 24:1. All rights reserved. “Failure Mechanics of Dealer Banks.” (Basel Committee on Banking Supervision Publication. Volume 4/Number 4. Winter 2009/10: pp. “Implications of Alternative Operational Risk Modeling Techniques.

Andrew W... NJ: John Wiley & Sons........ 67..” May 28... Marcus...Portfolio Performance Evaluation 63... 6 (Nov to Dec..2012 Financial Risk Manager (FRM®) Examination Study Guide Readings for Risk Management and Investment Management 58.... 11 .. 2001).... Gregoriou and Franciois-Serge Lhatant. Investments. “The Capital Asset Pricing Model: Theory and Evidence............ Equity Portfolios.............. Stephen Brown............ Richard Grinold and Ronald Kahn... “Risk Management for Hedge Funds: Introduction and Overview..... Amir E... and Alan J. by Michelle McCarthy © 2012 Global Association of Risk Professionals.... Jorion. Lo.. • 59.... and Private Equity (Academic Press..... All rights reserved.. Lo. • Chapter 6... Robert Litterman and the Quantitative Resources Group....Overview of Hedge Funds Chapter 12.. 3rd Edition... pp. and U......... 2010).. • Chapter 24.... Khandani and Andrew W...Portfolio Risk: Analytical Methods Chapter 17 ....... 65. “Trust and Delegation......... • Chapter 17 ... Risk Budgeting: A New Approach to Investing (London: Risk Books. 16-33..... Bing Liang... Vol.. Alex Kane. 2004).” June 24. 66. 2009.. Zvi Bodie.........” Journal of Economic Perspectives 18:3........... No.Risk Budgeting for Pension Funds and Investment Managers Using VaR........Risk Monitoring and Performance Measurement 62.. 2010.. “An Empirical Analysis of Hedge Funds.. 2nd Edition (New York: McGraw-Hill.. 57....S... 25-46.... Value-at-Risk: The New Benchmark for Managing Financial Risk... 2000).. David P.. 9th Edition (New York: McGraw-Hill.. Greg N. • • • Chapter 11 . 60... Hedge Funds....” December..........” Financial Analysts Journal..... William Goetzmann.. Chapter 14.Portfolio Construction Eugene Fama and Kenneth French......Overview of Private Equity 64.... • • Chapter 7 . 68.. Mutual Funds.. Stowell....... Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk......... 2004.............VaR and Risk Budgeting in Investment Management 61.. 2003).. Christopher Schwarz...... 2008.... An Introduction to Investment Banks...... 2010). Modern Investment Management: An Equilibrium Approach (Hoboken...... “Madoff: A Riot of Red Flags.. Leslie Rahl (editor)....Hedge Fund Investment Strategies Chapter 16 ....

” (May 9. 2002).. P............. “Global Financial Stability Report (Summary Version).. • 73.......... Chapter 3 . Gary Gorton.S.. and Allfirst Bank Concerning Currency Trading Losses Submitted by Promontory Financial Group and Wachtell......Toward Operationalizing Macroprudential Policies: When to Act? (excluding Annex) Arthur M. consequences. . 72.. (March 12...L. 2009)..Measuring and Managing Risk in Innovative Financial Instruments.. 71.... IMF. by Stuart M........S.Active Risk Management: A Credit Investor’s Perspective... Thomas Flavin.....2012 Financial Risk Manager (FRM®) Examination Study Guide CURRENT ISSUES IN FINANCIAL MARKETS—Part II Exam Weight | 10% • • • Causes... All rights reserved.. and Brian O’Kelly..... “Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007+.The Collapse of the Icelandic Banking System. by René Kallestrup and David Lando Chapter 9 .....” (March 2010).” (September 2011).. 2010). 70.. Allfirst Financial Inc... Berd (editor). Report to the Boards of Directors of Allied Irish Banks... and Irish Credit Crises: Their Distinctive Differences and Common Features....... • • • Chapter 4 ... Turnbull Chapter 20 .... Gregory Connor..C........ by Vineer Bhansali 12 © 2012 Global Association of Risk Professionals... Lipton..... “The U.......... Lessons From the Financial Crisis (London: Risk Books... Rosen & Katz.. and lessons learned from the current crisis Impact of financial development on risk Sovereign risk • • • • • The U... and Irish credit crisis The Icelandic banking collapse Trading Fraud Systemic Risk Management Active Risk Management Readings for Current Issues in Financial Markets 69......

..........Oliver Wyman Serge Sverdlov..................Banco Bilbao Vizcaya Argentaria Dr..................................................................................................Northern Trust Global Investments Steve Lerit.................................... Christopher Donohue..Standard Chartered Bank Dr.............................................Nuveen Investments Michael B..................Global Association of Risk Professionals Michelle McCarthy ........................... Satyajit Karnik. Til Schuermann .....................Ohio State University Richard Apostolik .............................. FRM............................... René Stulz (Chairman).................................... FRM ............... FRM ....... Victor Ng ..................Tremblant Capital Group Ezra Uzi Moualem...........................................................................................Goldman Sachs & Co Dr.......................................... CFA........................Industrial and Commercial Bank of China Robert Scanlon ......................................The Financial Institute of Israel & ZRisk Dr....................................................................................................Garrett Asset Management Liu Ruixia....Temple University Kai Leifert...................................................................................Bank of America William May.Visa .........................................................................................................................................................................................Citibank Juan Carlos Garcia Cespedes ......... Miller..............................................Independent Risk Consultant Dr.........2012 FRM Committee Members Dr..................................................................................................................Microsoft Corporation Alan Weindorf ..........................Global Association of Risk Professionals Richard Brandt.......................................... FRM .. Elliot Noma......................................................Global Association of Risk Professionals Hervé Geny........................................................................

certifications recognized by risk professionals worldwide.7210 2nd Floor Bengal Wing 9A Devonshire Square London. All rights reserved.TM Global Association of Risk Professionals 111 Town Square Place Suite 1215 Jersey City. © 2012 Global Association of Risk Professionals. government agencies.garp.719. GARP also helps advance the role of risk management via comprehensive professional education and training for professionals of all levels. 1-4-12 . and corporations from more than 195 countries and territories.Creating a culture of risk awareness. New Jersey 07310 USA + 1 201.org.000 risk management practitioners and researchers from banks. academic institutions. www. investment management firms. Membership represents over 150. GARP administers the Financial Risk Manager (FRM®) and the Energy Risk Professional (ERP®) Exams.garp. EC2M 4YN UK + 44 (0) 20 7397 9630 www.org About GARP | The Global Association of Risk Professionals (GARP) is a not-for-profit global membership organization dedicated to preparing professionals and organizations to make better informed risk decisions.

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