GLOBAL ASSOCIATION OF RI S K P R O F E S S I O N A L S

2010
®

FRM Examination
STUDYGUIDE
THE CERTIFICATION RECOGNIZED BY RISK MANAGEMENT PROFESSIONALS WORLDWIDE.

.

The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant. The topics were selected by the FRM Committee as topics that risk managers who work in practice today have to master. the FRM Handbook is not sufficient to prepare a candidate to pass the examination. 5th Edition. However. Readings Questions for the FRM examination are derived from the readings listed under each topic outline. © 2009 Global Association of Risk Professionals. as set forth in the readings. It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. Readings. Its questions are derived from a combination of theory. testing a risk professional on a number of risk management concepts and approaches. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. Course Providers are listed on the GARP website. 2009). All rights reserved. a risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively. their exam preparation. In the real world. The FRM Handbook includes an interactive CD with questions and answers from previous FRM exams to assist candidates with The FRM examination is also a comprehensive examination. FRM Course Providers Some candidates may want to more formally review the materials with FRM Course Providers. Alone.2010 Financial Risk Manager Examination Study Guide Topic Outline. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam. Test Weightings The Study Guide sets forth primary topics and subtopics under the five riskrelated disciplines covered in the FRM exam. FRM Examination Approach The FRM exam is a practice-oriented examination. The Financial Risk Manager Handbook. GARP does not endorse any Course Provider but merely lists them as a service to FRM candidates. please note that the FRM Handbook was designed to help candidates review the material and is not a textbook. covers most of the FRM examination topics at the appropriate level. by Philippe Jorion (New York: Wiley & Sons. Candidates are expected to understand risk management concepts and approaches and how they would apply to a risk manager’s day-to-day activities. 3 . and “real-world” work experience.

• Chapter 4 . . 20% • • • • • • • • • Creating value with risk management Market efficiency.. Portfolio Theory and Performance Analysis (West Sussex. 5. Steve Allen... ... .... .... . . 2007). ... 2003). . . Risk Management & Derivatives (Florence. . . . . . • Chapter 1 .. .. The Need for Risk Management Noel Amenc and Veronique Le Sourd. . Investors and Risk Management • Chapter 3 . ... • Chapter 2 .. ... All rights reserved.. . .... . . 7. . 4 © 2009 Global Association of Risk Professionals. 2002). . Expected Returns and the Arbitrage Pricing Theory René Stulz. . . . .. • Chapter 7 . . . .. 3. . 2nd Edition (New York: McGraw‐Hill. . equilibrium and the Capital Asset Pricing Model (CAPM) Performance measurement and attribution Sharpe ratio and information ratio Tracking error Factor models and Arbitrage Pricing Theory Risk management failures Case studies Ethics Readings for Foundations of Risk Management 1. .. . 1999).. . Financial Risk Management: A Practitioner`s Guide to Managing Market and Credit Risk (New York: John Wiley & Sons. . . . 2008).... .2010 Financial Risk Manager Examination Study Guide FRM PART I — TOPICS AND READINGS Foundations of Risk Management Part I Exam Weight .. “Risk Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series (Oct... .... Value at Risk: The New Benchmark for Managing Financial Risk.. . Financial Disasters GARP Code of Conduct http://www. . The Capital Asset Pricing Model and Its Application to Performance Measurement Richard Grinold and Ronald Kahn. .. 6. . Philippe Jorion. . . . 4. .. .. .. . Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. . . 3rd Edition (New York: McGraw‐Hill.. . Creating Value with Risk Management René Stulz. ..... • Chapter 4 .. KY: Thomson South-Western..com/about/GARPCodeofConduct. 2...garp. England: Wiley.. . .... .. . .aspx... 2003).

.. .. Jacob Boudoukh and Anthony Saunders.. . . .. . . . .. . . . . .... . Statistical Inference: Estimation and Hypothesis Testing • Chapter 6 .. . .. . . . .. ... . . . and kurtosis Estimating parameters of distributions Linear regression Statistical inference and hypothesis testing Estimating correlation and volatility: EWMA. . . . ... correlation. . ... .. . ... .. . Svetlozar Rachev. .2010 Financial Risk Manager Examination Study Guide Quantitative Analysis Part I Exam Weight... . . . Monte Carlo Methods 9. 20% • • • • • • • • • Probability distributions Mean. . The Two Variable Model: Hypothesis Testing • Chapter 8 .. 5 . . . .. 2005). .. . . 7th Edition (New York: Prentice Hall. . The Nature and Scope of Econometrics • Chapter 2 .. Credit and Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing. . • Chapter 12 . Understanding Market.. . . .. All rights reserved. • Chapter 2 . 2004). . . Christian Menn. GARCH models Maximum likelihood methods Volatility term structures Simulation methods Readings for Quantitative Analysis 8... .. . and Frank Fabozzi... .. John Hull. . . . Options. Some Important Probability Distributions • Chapter 5 . .. . . . . . . 3rd Edition. .. .. ... Essentials of Econometrics. . . .. . .. . and Other Derivatives.. .. Multiple Regression: Estimation and Hypothesis Testing Jorion. . .. . .. .. • Chapter 1 . .. . standard deviation. .. . Value at Risk. . Continuous Probability Distributions 12... Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management... .. . . . Characteristics of Probability Distributions • Chapter 4 .. Basic Ideas of Linear Regression: The Two Variable Model • Chapter 7 . • Chapter 2 . . . . • Chapter 21 ... . .. 2009)... . . . Portfolio Selection and Option Pricing (Hoboken. . . . . Review of Statistics: Probability and Probability Distributions • Chapter 3 . Estimating Volatilities and Correlations 11. . . Damodar Gujarati. . .. . . NJ: Wiley. 10.. . . ... Quantifying Volatility in VaR Models © 2009 Global Association of Risk Professionals. 2006). . . .... . .. . . Discrete Probability Distributions • Chapter 3 . . skewness. . Futures. . 3rd Edition (New York: McGraw‐Hill. . .. .. Linda Allen. .. .. .. .

. .. . .. . . . exchanges Netting. . . . . .. . equities. 2005).. . Derivatives Markets. ... ... . and options Derivatives on fixed‐income securities. . . .. • Chapter 6 . ... . . . 2006). . lease rate. . . Options.. . . . . .. . ... .. . . . 7th Edition. . . . All rights reserved. Exchanges and Strategies 6 © 2009 Global Association of Risk Professionals... . . Interest Rates • Chapter 5 . .2010 Financial Risk Manager Examination Study Guide Financial Markets and Products Part I Exam Weight .. cost of carry. . . Properties of Stock Options • Chapter 10 . .. . .. . loan sales Readings for Financial Markets and Products 13.. and commodities Measuring portfolio exposures American options. swaps. . . effects of dividends. . .. and Other Derivatives... 30% • • • • • • • • • • • • • • Clearing house mechanisms. Robert McDonald.. • Chapter 1 . .. Futures. foreign exchange. Determination of Forward and Futures Prices • Chapter 6 ... .. . . convenience yield Basis risk Foreign exchange risk Corporate bonds Debt equity swaps. • Chapter 1 .. . Interest Rate Futures • Chapter 7 .. . . . Hedging Strategies Using Futures • Chapter 4 . conversion factors Commodity derivatives. England: Wiley.... . Fundamentals of Commodity Spot and Futures Markets: Instruments. Commodity Forwards and Futures 15. . . .. . .... Metals and Energy (West Sussex. . Introduction • Chapter 2 . . collateral and downgrade triggers Futures. Trading Strategies Involving Options 14. Hull.... .. . early exercise Trading strategies with derivatives Minimum variance hedge ratio Cheapest to deliver bond. . . structural hubs. . .. . . . . . . . .. . . . . . . . forwards. . . .. .. Mechanics of Futures Markets • Chapter 3 . Helyette Geman.. ... .. interest rates. ... . . . . . . 2nd Edition (Boston: Addison‐Wesley. .. Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals. . Swaps • Chapter 9 . . ... . ..

. . Mechanisms for Dealing with Sovereign Risk Exposure 17...... .. .. . . .. . • Chapter 3 . Futures. . . . .. Foreign Exchange Risk • Appendix 15A . . .. . duration based hedging Credit rating agencies. Credit and Operational Risk: The Value at Risk Approach. . Anthony Saunders and Marcia Millon Cornett... Allen.... ...... The Handbook of Fixed Income Securities. .. . . . Monte Carlo simulation methods Applications of VaR for market.. ... . • Chapter 13 ... Extending the VaR Approach to Operational Risks 19. . .. . ..2010 Financial Risk Manager Examination Study Guide 16... The Greek Letters © 2009 Global Association of Risk Professionals. duration and convexity. historical simulation. .. 2008). . Understanding Market.. . . arbitrage. . Financial Institutions Management: A Risk Management Approach. . . . 7 . 7th Edition (New York: McGraw Hill.. Putting VaR to Work • Chapter 5 . . . 30% • Value-at-Risk (VaR) • Definition and methods • Delta‐normal valuation.. full revaluation.. . Options. . • Chapter 11 . .. . . credit and operational risk VaR of linear and non-linear derivatives VaR for fixed income securities with embedded options Term structure of interest rates Discount factors. spot rates. The Black-Scholes-Merton Model • Chapter 17 . . forward rates DV01. . .. All rights reserved.. . 6th Edition (New York: McGraw‐Hill. credit ratings Credit transition matrices Sovereign risk and country risk evaluation Binomial trees Black-Scholes-Merton model Greeks Stress testing and scenario analysis • • • • • • • • • • • • • • Readings for Valuation and Risk Models 18.. . . . . .. 2005). .. 7th Edition..... Frank Fabozzi. ... .. . Boudoukh and Saunders.. . . . . .... Binomial Trees • Chapter 13 . .. . and Other Derivatives. . .. yield curves Bond prices. • Chapter 14 . . . .. ... .... Corporate Bonds Valuation and Risk Models Part I Exam Weight .. Hull.. .... . .

. . Narayanan. . . • Chapter 6 . . . . . . . . . . . . . . . Bond Prices. . . . . . John Hull. . . . . . . . and Nimmo. 8 © 2009 Global Association of Risk Professionals. . . . . One Factor Measures of Price Sensitivity 21. . Risk Management and Financial Institutions. and Forward Rates • Chapter 3 . . . 3rd Edition. . . . . . . Fixed Income Securities. . . . . External and Internal Ratings 24. . • Chapter 4 . 2005). All rights reserved. . . . .2010 Financial Risk Manager Examination Study Guide 20. . Spot Rates. . . . Unexpected Loss 26. . Internal Credit Risk Models: Capital Allocation and Performance Measurement (London: Risk Books. 2nd Edition. Measures of Financial Risk 27. • Chapter 14 . 2nd Edition (Boston: Prentice Hall. Saunders and Cornett. . Bruce Tuckman. Country Risk Models 23. Managing Credit Risk. . • Chapter 2 . . . . . .org. • Chapter 18 . . . . Bond Prices. Financial Institutions Management. Discount Factors. England: Wiley. 2002). Altman. . The Rating Agencies • Chapter 23 . . NJ: Wiley & Sons. . . . . . . . . . . Kevin Dowd. Jorion. . Value at Risk. . . and Arbitrage • Chapter 2 . Yield to Maturity • Chapter 5 . . . . . . . 2004). . . Caouette. • Chapter 2 . Article available at www. . . . Measuring and Managing Credit Risk (New York: McGraw‐Hill. . . . Operational Risk 28. . . . . Stress Testing 22. . . . . . . . Measuring Market Risk. . • Chapter 1 . . . . 2nd Edition (West Sussex. Michael Ong. • Chapter 15 . . . . . Loan Portfolios and Expected Loss • Chapter 5 . 2010). 2003). “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication. . .garpdigitallibrary. . . . . Jan 2009). . 6th Edition. Sovereign Risk (excluding Appendix 15A) 25. . 2nd Edition (Hoboken. Arnaud de Servigny and Olivier Renault. . . . .

. . Modeling Dependence: Correlations and Copulas • Chapter 7 .. All rights reserved. .. .. • Chapter 6 . . . Frank Fabozzi. . . . Valuation of Mortgage-Backed Securities © 2009 Global Association of Risk Professionals. 25% • • • • • • • • • • Volatility smiles and volatility term structures Exotic options Duration and convexity of fixed income securities Term structure models Backtesting VaR Mapping financial instruments to risk factors Expected shortfall and coherent risk measures Extreme value theory Copulas and tail dependence Mortgages and mortgage-backed securities (Underwriting mortgages. . . ... Valuation of mortgage-backed securities) Readings for Market Risk Measurement and Management 29.. . . . . . . . Options. . . . Exotic Options 30. Mortgage-Backed Securities 31. . . . . Tuckman.. Key Rate and Bucket Exposures • Chapter 9 . . . . . 2006). .. . . . . . Backtesting VaR • Chapter 11 . . . . . .. . . . Value at Risk.. . . . 9 . . . . 2005). . .. • Chapter 6 .. Volatility Smiles • Chapter 24 . . Estimating Market Risk Measures • Chapter 4 . The Science of Term Structure Models • Chapter 21 . . . . . Parametric Approaches (II): Extreme Value 33.. . ... . . . . . . .. . . . . . Futures. . . . . . . .. . Measuring Market Risk.. 6th Edition (New York: McGraw Hill.. . . ... . . .. . England: Wiley. .. . • Chapter 1 . Measures of Price Sensitivity Based on Parallel Yield Shifts • Chapter 7 . . . Fixed Income Securities. 7th Edition. 2nd Edition (West Sussex. . 2nd Edition. • Chapter 18 . . VaR Mapping 32. . .. . .. Risks in mortgages and mortgage-backed securities. . ... . . ... Prepayment models. . . • Chapter 3 . Kevin Dowd.. . Jorion. . . . .. .. . . .. . .2010 Financial Risk Manager Examination Study Guide FRM PART II — TOPICS AND READINGS Market Risk Measurement and Management Part II Exam Weight . Hull. . . . Handbook of Mortgage Backed Securities. 3rd Edition. . . and Other Derivatives.. . . . An Overview of Mortgages and the Mortgage Market • Chapter 31 .. Non-parametric Approaches • Chapter 5 Appendix . .. . ... . ..

. tranching and subordination Collateralized Debt Obligations (pricing and risk management) Probability of default.... ... . 37. .. . de Servigny and Renault.. .. . . . NJ: Wiley & Sons.. .. 36.garpdigitallibrary. . Credit Derivatives and Credit-Linked Notes • Chapter 13 ... All rights reserved.. 318 (March 2008). . . . Christopher Culp. . “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions.org. .” Federal Reserve Bank of New York Staff Reports.garpdigitallibrary.. .. ..org. 2003). 2006). .. • Chapter 12 . . . . . .. . .. Leo Tilman (London: Euromoney Institutional Investor. Adam Ashcroft and Til Schuermann. Article available at www.2010 Financial Risk Manager Examination Study Guide Credit Risk Measurement and Management Part II Exam Weight. . . . no.... ..org. • Chapter 3 .. . . . ... . .. . . Loss Given Default 10 © 2009 Global Association of Risk Professionals. . . loss given default and recovery rates Credit scoring Credit spreads Expected and unexpected loss Contingent claim approach and the KMV Model Default and default‐time correlations Portfolio credit risk Credit risk management models Risk mitigation techniques (including netting. . . Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken. and collateral) Readings for Credit Risk Measurement and Management 34.. .... . Eduardo Canabarro and Darrell Duffie. ed.. . 35. . credit default swaps and credit-linked notes Structured finance. .. Default Risk: Quantitative Methodologies • Chapter 4 . Article available at www. rating triggers.. The Structuring Process • Chapter 16 . . . “ Innovations in Credit Risk Transfer: Implications for Financial Stability” (July 2008) Article available at www. . . Measuring and Managing Credit Risk. Securitization • Chapter 17 . “Understanding the Securitization of Subprime Mortgage Credit.. . 25% • • • • • • • • • • • • • • Subprime mortgages and subprime securitization Counterparty risk and OTC derivatives Credit derivatives. .. . Darrell Duffie... . Cash Collateralized Debt Obligations 38.garpdigitallibrary. . securitization. .

. • Chapter 6 . . 2001). . .. Model Risk © 2009 Global Association of Risk Professionals. . and Other Derivatives. .. Article available at www.. . . Estimating Liquidity Risks • Chapter 16 . Ong. 7th Edition.. • Chapter 14 . . . Understanding Market. . . . . ..... . Portfolio Effects: Risk Contributions and Unexpected Losses 43. Allen. 25% • • • • • • Definition of risk capital Allocation of risk capital across the firm Firm‐wide risk measurement and management Correlations across market..garpdigitallibrary. . ... Credit concentration risk • Liquidity risk. Credit and Operational Risk. .. Michel Crouhy. Capital Allocation and Performance Measurement 45. . . Futures. All rights reserved. Options. Credit Risk • Chapter 23 . .. . .. . .2010 Financial Risk Manager Examination Study Guide 39.. . • Chapter 14 . • Chapter 22 . .. . . . . . Operational and Integrated Risk Management Part II Exam Weight . 11 . Stulz. . . . . Credit Derivatives 40. . . .. Measuring Market Risk. • Chapter 18 . Risk Management (New York: McGraw‐Hill.. Stress testing Implementation and model risk Liquidity risk Economic capital and risk aggregation • • • Readings for Operational and Integrated Risk Management 44. “Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project” (Basel Committee on Banking Supervision Publication. . • Chapter 4 ... .. .. . Internal Credit Risk Models: Capital Allocation and Performance Measurement... . Dowd. .. . . Extending the VaR Approach to Non-tradable Loans 41. . . Hull. . credit. 2nd Edition. . . .org. .. . . November 2006). .. . .. . . ... Dan Galai and Robert Mark.. and operational risk Evaluating the performance of risk management systems Regulation and the Basel II Accord • Minimum capital requirements. . Risk Management & Derivatives.. . Boudoukh and Saunders. . .. . . . . . . Credit Risks and Credit Derivatives 42. .

“LDA at Work”. Aligning Basel II Operational Risk and Sarbanes-Oxley 404 Projects. 2005).org. DC: 2003). . “Guidelines for computing capital for incremental risk in the trading book . “What We Know. Litan and Richard Herring (eds) (Brookings Institutional Press. Weiner.garpdigitallibrary.org.garpdigitallibrary. 56.org. 49. .org. Article available at www.org.garpdigitallibrary. Article available at www.”Article available at www. . • Chapter 12 . No. 48.” in Brookings‐Wharton Papers on Financial Services Robert E. .garpdigitallibrary. Article available at www. Don’t Know and Can’t Know About Bank Risk: A View from the Trenches. . 12 © 2009 Global Association of Risk Professionals. July 2009). . 51. June 2006). Brian Nocco and René Stulz. . 2007. Andrew Kuritzkes. “Range of practices and issues in economic capital modeling” (Basel Committee on Banking Supervision Publication. Til Schuermann and Andrew Kuritzkes. 4 (2006): 8–20.org.org.final version” (Basel Committee on Banking Supervision Publication. Candidates are not expected to memorize specific details like risk weights for different assets. Washington. Operational Risk: Practical Approaches to Implementation (London: Risk Books. . Risk Management and Capital Adequacy in Financial Conglomerates. Article available at www.org.org. July 2009). . September 2008). 55. “Enterprise Risk Management: Theory and Practice.garpdigitallibrary. 54. “Supervisory guidance for assessing banks’ financial instrument fair value practices” (Basel Committee on Banking Supervision Publication. Article available at www. “Revisions to the Basel II market risk framework – final version” (Basel Committee on Banking Supervision Publication. 52.garpdigitallibrary. Deutsche Bank White Paper. Article available at www. Readings for Basel Reference Candidates are expected to understand the objective and general structure of the Basel II Accord and general application of the various approaches for calculating minimum capital requirements.garpdigitallibrary. by Nick Bolton and Judson Berkey. Article available at www.garpdigitallibrary. Falko Aue and Michael Kalkbrener. Article available at www. 47.” Journal of Applied Corporate Finance 18.2010 Financial Risk Manager Examination Study Guide 46.org. 50. All rights reserved. April 2009).garpdigitallibrary. Article available at www. Ellen Davis (editor).garpdigitallibrary. March 2009). “Principles for Sound Liquidity Risk Management and Supervision” (Basel Committee on Banking Supervision Publication. . “Risk Measurement. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version” (Basel Committee on Banking Supervision Publication. Til Schuermann and Scott M. 53.

15% • • • • • • • • • • • Portfolio construction Risk decomposition and performance attribution Risk budgeting Setting risk limits Hedge fund risk management Risk‐return metrics specific to hedge funds Risks of specific strategies (fixed‐income arbitrage. . Portfolio Construction • Chapter 17 . Through the Alpha Smoke Screens: A Guide to Hedge Fund Returns (New York: Institutional Investor Books. . Robert Litterman and the Quantitative Resources Group. . and risk measurement The use of leverage and derivatives and the risks they create Measuring exposures to risk factors (dynamic strategies. .. Lars Jaeger (ed). emerging markets) Asset illiquidity. 13 .. . .. . .. . ... .2010 Financial Risk Manager Examination Study Guide Risk Management and Investment Management Part II Exam Weight . .. convert arbitrage.. style drift) Pension fund risk management Readings for Risk Management and Investment Management 57. . Jorion. Portfolio Risk: Analytical Methods • Chapter 17 . . . merger arbitrage. • Chapter 14 . . Detection and Control.” Article available at www. .. equity long/short‐market neutral. . Style Drifts: Monitoring. . . . . Funds of Hedge Funds. ... . Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. .garpdigitallibrary.. . . 2nd Edition. . . . . . Present and Future. . . . Modern Investment Management: An Equilibrium Approach (Hoboken.. . “Hedge Funds: Past. derivatives.. .org. . . macro... .. .. . . VaR and Risk Budgeting in Investment Management 61. Individual Hedge Fund Strategies 60. . Risk Monitoring and Performance Measurement © 2009 Global Association of Risk Professionals. . valuation. . • Chapter 17 . .. • Chapter 7 . .. . . . . . distressed debt. . The New Generation of Risk Management for Hedge Funds and Private Equity Investments (London: Euromoney Institutional Investor.. Performance Analysis 58. • Chapter 5 . leverage. ... . . Value at Risk. . . ... Grinold and Kahn. . Lars Jaeger. . by Pierre Yves Moix 59. ... 3rd Edition. . by Sohail Jaffer • Chapter 27 . . .. . • Chapter 6 . . .. NJ: John Wiley & Sons: 2003). . . 62. . René Stulz. .. . . 2003). All rights reserved. 2005).

org.” Article available at www. 69...org.. Raghuram Rajan.. Article available at www... . 14 © 2009 Global Association of Risk Professionals.garpdigitallibrary. .” (March 2009).. Risk Budgeting: A New Approach to Investing (London: Risk Books..2010 Financial Risk Manager Examination Study Guide 63..garpdigitallibrary.” (March 2008). . Darrell Duffie... .” (April 2008). “The Failure Mechanics of Dealer Banks. “The Panic of 2007. “Has Financial Development Made The World Riskier?” (September 2005)... 67... 71.org.. . .. .. Senior Supervisory Group. . 72.. Risk Budgeting for Pension Funds and Investment Managers Using VaR. Manmohan Singh and James Aitken. “Observations on Risk Management Practices during the Recent Market Turbulence.... 68. Leslie Rahl (editor).... 10% • • • • • • Causes and consequences of the current crisis Subprime mortgage design Mortgages and securitization...” (December 2009). . “Finding Bernie Madoff: Detecting Fraud by Investment Managers.. Article available at www... Article available at www.. “Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis. by Michelle McCarthy 64.. Carmen Reinhart and Kenneth Rogoff..garpdigitallibrary. Article available at www.org.” Article available at www.org. 65. subprime CDOs Liquidity crises Use and limitations of VaR Hedge funds and systemic risk Readings for Current Issues in Financial Markets 66.. Martin Hellwig.garpdigitallibrary.” Article available at www.org.. Gary Gorton.. UBS..... 70..org... All rights reserved.garpdigitallibrary. “This Time is Different: A Panoramic View of Eight Centuries of Financial Crises. “Deleveraging after Lehman – Evidence from Reduced Rehypothecation. . • Chapter 6 .garpdigitallibrary.garpdigitallibrary.. Current Issues in Financial Markets Part II Exam Weight. Stephen Dimmock and William Gerken..” (August 2008).... .. 2004)... “Shareholder Report on UBS’s Write-Downs.

. . . . . . . . . . . . . . . . Chairman. . . . . . . . Miller. . Christopher Donohue . . . . . . . . . . . . Garrett Asset Management Robert Scanlon . . . . . . . . . . . . . . . . . . . . Satyajit Karnik. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Financial Institute of Israel & ZRisk Dr. . . . . . . . . . . . . . . . . . . . . . . . . . Global Association of Risk Professionals Hervé Geny . . . . . . . . Visa . . . . . . . . . . . . . . . . . . . Elliot Noma . . . Tremblant Capital Group Ezra Uzi Moualem. . . . René Stulz. FRM . . . . . . . . . . . . . . . . . . . . . . . . . . Industrial and Commercial Bank of China Michelle McCarthy . . . . . . . . . . . . . . . . . . . . . . . . Russell Investments Michael B. . . . . . . . . . . . . . CFA . . Northern Trust Global Investments Steve Lerit. .2010 FRM Committee Members The following individuals were members of the Committee responsible for developing the 2010 FRM Study Guide: • • • • • • • • • • • • • • • • • Dr. . . . . Banco Bilbao Vizcaya Argentaria Dr. . . . . . . . FRM . . . . . . Victor Ng . . . . . . . . . . . . Global Association of Risk Professionals Kai Leifert. ICAP Dr. . FRM Committee . . FRM . . . . . . . . . Standard Chartered Bank Serge Sverdlov . . Ohio State University Richard Apostolik . . . . . . . . . . . . . . . . . . . . . . Goldman Sachs & Co Dr. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . New York Life Investment Management Ruixia Liu . . . . . . . . . . . . . . FRM . . . . . . . . . . . . . . . . . Global Association of Risk Professionals Juan Carlos Garcia Cespedes . Microsoft Corporation Alan Weindorf . . . . . .

7210 Minster House. 1st Floor 42 Mincing Lane London EC3R 7AE UK + 44 (0) 20 7397 9631 www.Creating a culture of risk awareness.TM Global Association of Risk Professionals 111 Town Square Place Suite 1215 Jersey City.garp. All rights reserved.org © 2009 Global Association of Risk Professionals. GARP1017 12-09 .719. New Jersey 07310 USA + 1 201.

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