2011 FRM® Examination Study Guide

The designation recognized by risk management professionals worldwide

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The FRM examination is also a comprehensive examination. as set forth in the readings. Course Providers. by Philippe Jorion (New York: John Wiley & Sons. Readings Questions for the FRM examination are derived from the readings listed under each topic outline. The Financial Risk Manager Handbook. as set forth in the readings. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam. 2011). These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. Alone. 1 . © 2011 Global Association of Risk Professionals. 6th Edition. Readings. please note that the FRM Handbook was designed to help candidates review the material and is not a textbook. concepts and approaches and how they would apply to a risk manager’s day-today activities. and “real-world” work experience. the FRM Handbook is not sufficient to prepare a candidate to pass the examination. Its questions are derived from a combination of theory. Candidates are expected to understand risk management The FRM exam is a practice-oriented examination. FRM Course Providers Some candidates may want to more formally review the materials with FRM It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. Its questions are derived from a combination of theory. The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant. GARP does not endorse any Course Provider but merely lists them as a service to FRM candidates. In the real world. FRM Examination Approach The FRM exam is a practice-oriented examination. testing a risk professional on a number of risk management concepts and approaches. All rights reserved. covers most of the FRM examination topics at the appropriate level. a risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively. The FRM Handbook includes an interactive eLearning platform with questions and answers from previous FRM exams to assist candidates with their exam preparation. However.2011 Financial Risk Manager (FRM®) Examination Study Guide Topic Outline. and “real-world” work experience. Course Providers are listed on the GARP website. The topics were selected by the FRM Committee as topics that risk managers who work in practice today have to master. Test Weightings The Study Guide sets forth primary topics and subtopics under the five risk-related disciplines covered in the FRM exam.

................ .... All rights reserved............ 7th Edition (Hoboken........Nonstandard Forms of Capital Asset Pricing Models Chapter 16..... • Chapter 4....2011 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......... 2007)... Risk Management & Derivatives (Florence. 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...... Edwin J. Portfolio Theory and Performance Analysis (West Sussex...............Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators 5... “Overview of Enterprise Risk Management....2 only ........ Goetzmann... England: John Wiley & Sons.... Stephen J.GARPDigitalLibrary......... Value-at-Risk: The New Benchmark for Managing Financial Risk...... Gruber.. 2007)......The Need for Risk Management René Stulz....... 2003).... Enterprise Risk Management Committee........ Copy available at: www.......Creating Value with Risk Management 3........... Chapter 1 . Martin J........... • Chapter 4 ...... 2002)....... Philippe Jorion... Section 4........................The Arbitrage Pricing Model APT—A New Approach to Explaining Asset Prices 4..... Elton..... Noel Amenc and Veronique Le Sourd... Brown and William N.. • 2.... KY: Thomson South-Western............” May 2003..Financial Disasters 2 © 2011 Global Association of Risk Professionals. Modern Portfolio Theory and Investment Analysis... NJ: John Wiley & Sons...... • • Chapter 2 .. Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk (New York: John Wiley & Sons........... 2003).org 6..The Standard Capital Asset Pricing Model Chapter 14.Delineating Efficient Portfolios Chapter 13..Investors and Risk Management Chapter 3 ......... 3rd Edition (New York: McGraw-Hill.... • • • • Chapter 5 .. Steve Allen..... Casualty Actuarial Society..

.....Discrete Probability Distributions Chapter 3 .... Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management......Estimating Volatilities and Correlations 13. John Hull....... Options.. All rights reserved.......aspx 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.... 2008)............Linear Regression with One Regressor Chapter 5 ...Review of Statistics Chapter 4 ...... Introduction to Econometrics...Monte Carlo Methods 12...Linear Regression with Multiple Regressors Chapter 7 ...... 2008).......... René Stulz........ 3rd Edition. 2004)... the t-statistic... “Risk Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series (Oct.....Review of Probability Chapter 3 ............... • Chapter 12 ...... 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... NJ: John Wiley & Sons................ • • Chapter 2 ................... Christian Menn........... GARP Code of Conduct http://www....... Futures. • Chapter 2 ... Understanding Market.... • • • • • • 10.....Continuous Probability Distributions 11.... and Frank Fabozzi.. 2009).........Hypothesis Tests and Confidence Intervals in Multiple Regression Svetlozar Rachev..... Value-at-Risk:The New Benchmark for Managing Financial Risk............ 2005)..GARPDigitalLibrary.............2011 Financial Risk Manager (FRM®) Examination Study Guide 7...... • Chapter 21 .. Portfolio Selection and Option Pricing (Hoboken.......com/about/GARPCodeofConduct...org 8.......garp............. Chapter 2 ...... Jacob Boudoukh and Anthony Saunders.... Copy available at: www. 3 . Credit and Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing...... Linda Allen.. 7th Edition (New York: Pearson Prentice Hall........Quantifying Volatility in VaR Models © 2011 Global Association of Risk Professionals........Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals Chapter 6 ....... Jorion. Brief Edition (Boston: Pearson Education............. and Other Derivatives..............................

.....Interest Rate Futures Chapter 7 ..... Derivatives Markets....Interest Rates Chapter 5 ............ 6th Edition (New York: McGraw-Hill.................. Helyette Geman............................ Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals..................... 2005)...............Foreign Exchange Risk 18................... • Chapter 13................... 2006).............. Frank Fabozzi. Metals and Energy (West Sussex..Commodity Forwards and Futures 16...........Corporate Bonds 4 © 2011 Global Association of Risk Professionals..........Introduction Chapter 2 ..... England: John Wiley & Sons..Mechanics of Futures Markets Chapter 3 ... 2008)................... and equities Commodity derivatives Foreign exchange risk Corporate bonds Readings for Financial Markets and Products 14... Anthony Saunders and Marcia Millon Cornett...... Futures...Determination of Forward and Futures Prices Chapter 6 .... All rights reserved............ • Chapter 1 ......... interest rates................... 7th Edition...........Swaps Chapter 9 . Financial Institutions Management: A Risk Management Approach..Trading Strategies Involving Options Robert McDonald.....Hedging Strategies Using Futures Chapter 4 ......... 2nd Edition (Boston: Addison-Wesley.. and Other Derivatives.. • • • • • • • • • 15. 2005)............Properties of Stock Options Chapter 10 ...... • Chapter 6 .. 7th Edition (New York: McGraw-Hill............... Exchanges and Strategies 17. .. 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. Chapter 1 .....2011 Financial Risk Manager (FRM®) Examination Study Guide FINANCIAL MARKETS AND PRODUCTS—Part I Exam Weight | 30% • • Mechanics of OTC and exchange markets Forwards.................. Options............ The Handbook of Fixed Income Securities.. Hull. futures............... • Chapter 14..... foreign exchange..........Fundamentals of Commodity Spot and Futures Markets: Instruments..

......One-Factor Measures of Price Sensitivity © 2011 Global Association of Risk Professionals......... 2nd Edition (Hoboken.The Black-Scholes-Merton Model Chapter 17 .............Bond Prices......... 5 ....2011 Financial Risk Manager (FRM®) Examination Study Guide VALUATION AND RISK MODELS—Part I Exam Weight | 30% • Value-at-Risk (VaR) • • • • • • • • • • • • • • • • • • • • • • Applied to stock....... and yield to maturity Arbitrage and the Law of One Price One factor measures of price sensitivity Fundamental analysis Contingent claims approach 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.. Jacob Boudoukh and Anthony Saunders. 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...................Yield to Maturity Chapter 5 ..... Discount Factors...... NJ: John Wiley & Sons.. • • • • Chapter 1 . 2002)........... stress testing....... Credit and Operational Risk: The Value at Risk Approach..Putting VaR to Work Chapter 5 ........ Options........ and Arbitrage Chapter 2 ............. Spot Rates....Extending the VaR Approach to Operational Risks Hull... Futures..... and Forward Rates Chapter 3 .... forward rates...The Greek Letters 21.... All rights reserved....Binomial Trees Chapter 13. 7th Edition............. and Other Derivatives................. and commodities Applied to linear and non-linear derivatives Applied to fixed income securities with embedded options Structured Monte Carlo................ Fixed Income Securities.... Chapter 3 ....... • • • Chapter 11 ............. spot rates.... Understanding Market............. • • 20.. currencies........ Linda Allen...Bond Prices................ Bruce Tuckman.............

... • Chapter 2 .... Dale F.. Measuring and Managing Credit Risk (New York: McGraw-Hill..2011 Financial Risk Manager (FRM®) Examination Study Guide 22... (New York: John Wiley & Sons.... • Chapter 18..... 2003). “Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk..... 2008).... 2nd Edition (Boston: Pearson Prentice Hall.Loan Portfolios and Expected Loss Chapter 5 .. 4 (2007).. Vol... 3rd Edition..... • Chapter 14. Michael Ong... Caouette.. 2nd Edition....... Risk Management and Financial Institutions... • • Chapter 6 ........ Jorion.... 2005)..... 2010).........” Journal of Investment Management.......Measures of Financial Risk 27... 5........ Narayanan.... All rights reserved....Stress Testing 29.. Merton and Zvi Bodie..Country Risk Models 23.... Managing Credit Risk........ 2nd Edition (West Sussex. 2004)...........org FRM PART II—TOPICS AND READINGS MARKET RISK MEASUREMENT AND MANAGEMENT—Part II Exam Weight | 25% • Fixed income securities • • • • • • • • • • • • • • Duration.... Altman... No.... Robert C......... and Nimmo.. • Chapter 2 ... ....Operational Risk 28... 24. England: John Wiley & Sons...The Rating Agencies Chapter 23........ Value-at-Risk: The New Benchmark for Managing Financial Risk... Gray...............External and Internal Ratings 25.... Measuring Market Risk................. • • Chapter 4 ......... Jan 2009). and convexity Key rate exposures Hedging and immunization Risk neutral pricing Mortgage-backed securities: structure 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) VaR and other risk measures Volatility: smiles and term structures Exotic options 6 © 2011 Global Association of Risk Professionals... Kevin Dowd.......GARPDigitalLibrary.. “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication.. Arnaud de Servigny and Olivier Renault..... John Hull. DV01...........Unexpected Loss 26. Internal Credit Risk Models: Capital Allocation and Performance Measurement (London: Risk Books.... Copy available at: www..........

............Measures of Price Sensitivity Based on Parallel Yield Shifts Chapter 7 .............Key Rate and Bucket Exposures Chapter 9 ......... 3rd Edition....VaR Mapping 33.... 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 © 2011 Global Association of Risk Professionals..................................... Options.................... 2nd Edition............. Jorion....................... Handbook of Mortgage Backed Securities................. Chapter 18. 7th Edition......... Futures.. Kevin Dowd.Mortgage-Backed Securities 32........... 7 ..................Appendix—Modeling Dependence: Correlations and Copulas Chapter 7 ......... 2nd Edition.... 2006)........ Fixed Income Securities......... • • • • Chapter 3 ...Parametric Approaches (II): Extreme Value 34......Backtesting VaR Chapter 11 ........................... Measuring Market Risk...................... • • 31..........The Science of Term Structure Models Chapter 21 ....................... • • • • Chapter 6 ......... All rights reserved..................... • • Chapter 1 .Volatility Smiles Chapter 24.. subordination.....Exotic Options Tuckman........ Frank Fabozzi....Estimating Market Risk Measures Chapter 4 .......... 6th Edition (New York: McGraw-Hill...2011 Financial Risk Manager (FRM®) Examination Study Guide Readings for Market Risk Measurement and Management 30............ Value-at-Risk: The New Benchmark for Managing Financial Risk...An Overview of Mortgages and the Mortgage Market Chapter 31............. Hull....Valuation of Mortgage-Backed Securities 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...Non-parametric Approaches Chapter 5 ... and Other Derivatives............. • • Chapter 6 .

....... • • Chapter 22 .....Default Risk: Quantitative Methodologies Chapter 4 ............ NJ: John Wiley & Sons.. Understanding Market... Futures. Ong......GARPDigitalLibrary..Credit Derivatives and Credit-Linked Notes Chapter 13....... no..... Christopher Culp... • Chapter 18........... Hull.....Credit Derivatives 41.GARPDigitalLibrary..... 2003).. Copy available at: www..........GARPDigitalLibrary...org 38.... Chapter 12 ..... “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.... and Other Derivatives...... Credit and Operational Risk: The Value at Risk Approach. Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken.. 7th Edition.org 37.org 36. Copy available at: www. • Chapter 4 .... Eduardo Canabarro and Darrell Duffie................ “Innovations in Credit Risk Transfer: Implications for Financial Stability” (July 2008)..........Loss Given Default 40............ “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions............org 8 © 2011 Global Association of Risk Professionals......... “Understanding the Securitization of Subprime Mortgage Credit....The Structuring Process Chapter 16. ..... November 2006)......” Federal Reserve Bank of New York Staff Reports.... Internal Credit Risk Models: Capital Allocation and Performance Measurement. 2006).... Options.....GARPDigitalLibrary.... 318 (March 2008)............. ed.Securitization Chapter 17 ...Credit Risks and Credit Derivatives 43. Allen. Risk Management & Derivatives..... Boudoukh and Saunders...... Measuring and Managing Credit Risk...2011 Financial Risk Manager (FRM®) Examination Study Guide Readings for Credit Risk Measurement and Management 35......Extending the VaR Approach to Non-tradable Loans 42.... • • Chapter 3 ............... Leo Tilman (London: Euromoney Institutional Investor.............. • • • • 39..................Credit Risk Chapter 23................... Copy available at: www..................... • Chapter 6 .. Adam Ashcroft and Til Schuermann.Cash Collateralized Debt Obligations de Servigny and Renault.. Stulz....Portfolio Effects: Risk Contributions and Unexpected Losses 44....... Darrell Duffie.. All rights reserved.. Copy available at: www.

sources of model risk.. March 2009).. Volume 4/Number 3.. 9 . market...” The Journal of Risk Model Validation.... Mo Chaudhury..... Steve Satchell and Bernd Scherer.. Dowd... Copy available at: www........... 2nd Edition.Estimating Liquidity Risks Chapter 16.... 37-66. “A review of the key issues in operational risk capital modeling...... 4 (2006): 8–20..........2011 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) Estimating liquidity risk.... • 46........ Brian Nocco and René Stulz....... Jimmy Hong..GARPDigitalLibrary.... Fall 2010: pp... 49.. John Knight.org 50. “Enterprise Risk Management: Theory and Practice. 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.. Fall 2010: pp.” Journal of Applied Corporate Finance 18.. Dan Galai and Robert Mark.. “Using approximate results for validating value-at-risk.. 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 45..GARPDigitalLibrary. Chapter 14. 69-81. No. Measuring Market Risk. Volume 5/Number 3... © 2011 Global Association of Risk Professionals....Capital Allocation and Performance Measurement “Range of practices and issues in economic capital modeling” (Basel Committee on Banking Supervision Publication.. All rights reserved. • • Chapter 14.org 47... Michel Crouhy. Copy available at: www.” The Journal of Operational Risk. 2001).Model Risk 48... Risk Management (New York: McGraw‐Hill..

Copy available at: www. De Fontnouvelle.GARPDigitalLibrary. Copy available at: www.org 55. 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. Candidates are not expected to memorize specific details like risk weights for different assets. 3-27. December 2010).GARPDigitalLibrary. “Challenges and pitfalls in measuring operational risk from loss data. 2010. 53. “Basel III: A global regulatory framework for more resilient banks and banking systems” (Basel Committee on Banking Supervision Publication. 475-505. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework— Comprehensive Version” (Basel Committee on Banking Supervision Publication. NBER.” Ch.” Journal of Economic Perspectives 24:1.GARPDigitalLibrary. “Revisions to the Basel II market risk framework—final version” (Basel Committee on Banking Supervision Publication.org 56.).GARPDigitalLibrary. Winter 2009/10: pp.GARPDigitalLibrary. Gianluca Antonini and Roberto Ugoccioni. Eric Cope. Duffie.GARPDigitalLibrary. July 2009). . Risks of Financial Institutions.2011 Financial Risk Manager (FRM®) Examination Study Guide 51. 2006. “Developments in Modelling Risk Aggregation” (Basel Committee on Banking Supervision Publication. July 2009). standards and monitoring” (Basel Committee on Banking Supervision Publication.org 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 10 © 2011 Global Association of Risk Professionals. Copy available at: www.org 58. “Guidelines for computing capital for incremental risk in the trading book—final version” (Basel Committee on Banking Supervision Publication. Jordan. Patrick. “Failure Mechanics of Dealer Banks. All rights reserved. 51-72.org 57. And comment by Andrew Kuritzkes 505-511. Eric S. Copy available at: www. Rosengren and John S. Darrell. “Basel III: International framework for liquidity risk measurement.org 59. December 2010). Volume 4/Number 4. 52. Copy available at: www. Giulio Mignola. “Implications of Alternative Operational Risk Modeling Techniques. 10 in Mark Carey and René Stulz (eds. July 2009). Copy available at: www. 54. June 2006).” The Journal of Operational Risk.

.... 2004). William Goetzmann...Performance Analysis Eugene Fama and Kenneth French.... 69... Lars Jaeger. 2010.....” Journal of Economic Perspectives 18:3..... “Leveraged Buyouts and Private Equity” Journal of Economic Perspectives 23:1...... • • Chapter 7 ........ 121-146. Value-at-Risk: The New Benchmark for Managing Financial Risk..... 3rd Edition. Amir E. 2001)...... and U.......... Christopher Schwarz. pp.. All rights reserved...... Through the Alpha Smoke Screens: A Guide to Hedge Fund Returns (New York: Euromoney Institutional Investor Books. 2nd Edition...... Risk Budgeting: A New Approach to Investing (London: Risk Books... 25-46. Equity Portfolios”.. • Chapter 17 ..... Copy available at: www.... Stephen Brown..Portfolio Construction Chapter 17 .. “Finding Bernie Madoff: Detecting Fraud by Investment Managers. Khandani and Andrew W.GARPDigitalLibrary.. Bing Liang.... Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. June 24. Leslie Rahl (editor).. 2005).... • Chapter 5 ....... Copy available at: www..... Lo.... (New York: McGraw-Hill. • • 61. 2009.. by Michelle McCarthy 70... 62.. Andrew W.. Vol.GARPDigitalLibrary.Risk Monitoring and Performance Measurement 64... Chapter 14.....–Dec.. 2009. Copy available at: www. Lo. “An Empirical Analysis of Hedge Funds. 2004.. Jorion... Steven N...2011 Financial Risk Manager (FRM®) Examination Study Guide • Hedge funds • • • • Hedge fund strategies Due diligence and fraud detection Liquidity Risk management of hedge funds • Private equity Readings for Risk Management and Investment Management 60.......Portfolio Risk: Analytical Methods Chapter 17 .org 67...... Financial Analysts Journal........ “The Capital Asset Pricing Model: Theory and Evidence. Grinold and Kahn.....org 68..S. Kaplan and Per Stromberg.. 6 (Nov...org 66.. “Trust and Delegation”. Modern Investment Management: An Equilibrium Approach (Hoboken.. “Risk Management for Hedge Funds: Introduction and Overview”.Risk Budgeting for Pension Funds and Investment Managers Using VaR.. 11 .....org © 2011 Global Association of Risk Professionals..GARPDigitalLibrary.....Individual Hedge Fund Strategies 65..... Copy available at: www...... • Chapter 6. NJ: John Wiley & Sons.. Robert Litterman and the Quantitative Resources Group............ 2000)......... Stephen Dimmock and William Gerken.........” (December 2009)... Mutual Funds..... No......VaR and Risk Budgeting in Investment Management 63. 2003).. 16-33. May 28.GARPDigitalLibrary.. 57..

April 2009.GARPDigitalLibrary. All rights reserved. (Executive Summary)” Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues (September 2010).2011 Financial Risk Manager (FRM®) Examination Study Guide CURRENT ISSUES IN FINANCIAL MARKETS—Part II Exam Weight | 10% • • • • Subprime mortgages.” Copy available at: www. “Deciphering the Liquidity and Credit Crunch 2007-2008. Markus. and Brian O’Kelly.GARPDigitalLibrary. and lessons learned from the current crisis Impact of financial development on risk Sovereign risk • • • • • • • Historical view of sovereign defaults Interpreting sovereign spreads The U. and subprime CDOs Causes. Copy available at: www. “Findings Regarding the Market Events of May 6. “Interpreting sovereign spreads.org 78. Gary Gorton.” Journal of Economic Perspectives 23:1. Copy available at: www. Copy available at: www.GARPDigitalLibrary. 2010. “This Time is Different: A Panoramic View of Eight Centuries of Financial Crises.” (August 2008).” Copy available at: www.S.org 75.org 79. Copy available at: www.org 76.GARPDigitalLibrary. “The Panic of 2007. “Making Over-the-Counter Derivatives Safer: The Role of Central Counterparties. Copy available at: www.org 74. “Has Financial Development Made The World Riskier?” (September 2005). Thomas Flavin.S.GARPDigitalLibrary. consequences.” IMF Global Financial Stability Report. Carmen Reinhart and Kenneth Rogoff. 81.org 80.GARPDigitalLibrary.GARPDigitalLibrary. Michela Scatigna and Eliza Wu. April 2010.GARPDigitalLibrary. securitization. Eli Remolona. Copy available at: www.GARPDigitalLibrary.org 73. Gregory Connor. “The U. Brunnermeier. 77-100.” BIS Quarterly Review.” (October 2009). 2009.org 12 © 2011 Global Association of Risk Professionals. Copy available at: www. March 2007. . and Irish Credit Crises: Their Distinctive Differences and Common Features.org 77. Bennett Golub and Conan Crum. Chapter 3. 72.org Raghuram Rajan.” Financial Stability Forum. “FSF Principles for Sound Compensation Practices. Appendix 8 (pages 1–49). Examiner’s Report on Lehman.GARPDigitalLibrary. and Irish credit crisis The Flash Crash The Lehman collapse Central counterparties Sound compensation practices Readings for Current Issues in Financial Markets 71. “Risk Management Lessons Worth Remembering from the Credit Crisis of 2007-2009. Copy available at: www.

.. Elliot Noma............................................................................ Satyajit Karnik..................................................................................... Victor Ng ................2011 FRM Committee Members Dr.......................................ICAP Dr.......................Northern Trust Global Investments Steve Lerit......Visa .................................................................Ohio State University Richard Apostolik ...................................................................................Global Association of Risk Professionals Michelle McCarthy ...............Standard Chartered Bank Dr........................................................................................ Til Schuermann .................................................................................................................The Financial Institute of Israel & ZRisk Dr.... CFA.................... Christopher Donohue............................ FRM® .................................................Tremblant Capital Group Ezra Uzi Moualem...........Citibank Juan Carlos Garcia Cespedes ................................Global Association of Risk Professionals Hervé Geny........................................Global Association of Risk Professionals Kai Leifert..........Nuveen Investments Michael B.....................................New York Life Investment Management William May........................Global Association of Risk Professionals Richard Brandt.Garrett Asset Management Liu Ruixia...........Goldman Sachs & Co Dr......................................... René Stulz (Chairman)............... FRM®..................................................Industrial and Commercial Bank of China Robert Scanlon .....Banco Bilbao Vizcaya Argentaria Dr............................................................................ FRM® .....................................................................................................................................................................Federal Reserve Bank of New York Serge Sverdlov............................................................... FRM®..................................Microsoft Corporation Alan Weindorf ................ Miller.......

garp. investment management firms.Creating a culture of risk awareness.org. All rights reserved. and corporations from more than 195 countries.garp. www.TM Global Association of Risk Professionals 111 Town Square Place Suite 1215 Jersey City. Membership represents over 150. government agencies. 1st Floor 42 Mincing Lane London EC3R 7AE UK + 44 (0) 20 7397 9630 www.719.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. GARP also helps advance the role of risk management via comprehensive professional education and training for professionals of all levels. 1-11 . © 2011 Global Association of Risk Professionals. New Jersey 07310 USA + 1 201. GARP administers the Financial Risk Manager (FRM®) and the Energy Risk Professional (ERP®) exams.000 risk management practitioners and researchers from banks.7210 Minster House. certifications recognized by risk professionals worldwide. academic institutions.

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