2012 FRM® Exam Preparation Handbook

The designation recognized by risk management professionals worldwide

In this preparation handbook. All rights reserved.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Suggested Study Strategies for the FRM Examination The purpose of this handbook is to assist Financial Risk Manager (FRM®) candidates in their preparation for the FRM Examination by suggesting strategies for completing the reading material outlined in the FRM Study Guide and FRM AIM Statements documents. Preparation for the Exam The FRM Exam is a self-study program. the typical successful FRM candidate reports to have studied between 200–400 hours. Cramming for the exam in the few weeks leading up to it is not recommended. The exact amount of time that is appropriate for any specific candidate will. The topic areas so determined are then published in the FRM Study Guide. GARP is in a unique position to ascertain standards and assess evolving trends in risk management practices. GARP is governed by a Board of Trustees comprised of top risk professionals and academics from around the world. which are also published and made available to registered FRM candidates. establishes the topic areas to be tested in the FRM Examination. GARP also conducts formal job task analysis surveys to determine the knowledge. we recommend a study plan for each part of the FRM Examination. comprised of leading risk management professionals and academics. To calibrate and benchmark its understanding of the demands of the global risk management community. The purpose of this handbook is to assist FRM candidates in their preparation for the FRM Examination by suggesting strategies for completing the reading material outlined in the FRM Study Guide and FRM AIM Statements documents. © 2012 Global Association of Risk Professionals. however. On an annual basis. More detailed Knowledge Points associated with these topic areas are contained in the FRM AIM Statements. Each plan is split into 20 sessions intended to serve as a blueprint for the candidate in structuring their own schedule and pacing themselves for the exam. In past exams. skills and abilities required to function effectively as a financial risk manager around the world. As a professional association with global membership and an extensive professional and academic chapter network. Due to the sizeable amount of material covered in the exam. 1 . which together form the blueprint for exam topic coverage. it is important that a candidate create a weekly study schedule that is designed to spread out learning of the material over an extended period. GARP’s FRM Committee. vary from candidate to candidate depending on factors such as work experience and knowledge base of risk management and finance. About the FRM Examination The FRM Examination is a practice-oriented exam offered by GARP (the Global Association of Risk Professionals) and designed to assess a candidate’s knowledge and understand-ing of the skills necessary to function effectively as a financial risk manager. which together form the blueprint for exam topic coverage.

while it is possible to sit for both parts of the Examination on the same day. This area tests a candidate’s knowledge of basic probability and statistics. . AIM Statements and Practice Exams The AIM Statements contain all of the suggested readings and Key Concept information that are in the Study Guide as well as more detailed Knowledge Points that form the basis for the FRM Examination questions. Key Concepts appear as bullet points at the beginning of each section of the Study Guide and are intended to help candidates identify the major themes and knowledge areas associated with a particular section. and enterprise risk management frameworks are covered. applications of the GARP Code of Conduct to professional situations are covered in this section as well. To facilitate a candidate’s preparation. FRM Exam Structure The FRM Examination consists of two parts—Part I and Part II—that are both offered twice a year on the third Saturday of May and November. volatility forecasting models. Specific areas of coverage and their weighting in the exam are: Foundations of Risk Management (20%). An understanding of the trade-off between risk and return. and Value-at-Risk estimation. 2 © 2012 Global Association of Risk Professionals. a review of major financial disasters from the past is included in this section. It is important to note that Part I and Part II of the FRM Examination must be passed sequentially. fundamental asset pricing models. Candidates who compare the Key Concepts to the Knowledge Points will note that in most cases several Knowledge Points are related to each broader Key Concept. In addition. Therefore. Thorough preparation for the Examination based on the readings listed in the Study Guide. each Knowledge Point in the AIM Statements is associated with a suggested reading from the Study Guide which supports and explains it. the construction of efficient portfolios. Part I is an equally-weighted 100 question multiple-choice exam offered in the morning of the exam day and Part II is an equallyweighted 80 question multiple-choice exam offered in the afternoon of the exam day. regression and time series analysis.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Study Guide The Study Guide contains a full listing of all the readings that are recommended as preparation for the FRM Examination. and various quantitative techniques useful in risk management such as Monte Carlo methods. focused on an understanding of the Knowledge Points described in the AIM Statements is strongly recommended. Quantitative Analysis (20%). Part I of the FRM Examination covers the fundamental tools and techniques used in risk management and the theories that underlie their use. Both Part I and Part II have a maximum allowable time for completion of four hours. Most candidates elect to take Part I and Part II on separate exam administration days. All rights reserved. This area focuses on a candidate’s knowledge of foundational concepts of risk management and how risk management can add value to an organization. To ensure that important lessons from history are not lost. a candidate must receive a passing score on Part I of the Examination before GARP will score his or her Part II Examination. To emphasize the importance of ethics as a fundamental requirement for sound risk management.

fixed income. Risk Management and Investment Risk Management (15%). currencies. commodities. All rights reserved. Risk models and techniques such as Value-at-Risk. and stress testing are examined. Knowledge of critical issues related to liquidity risk management. Specific areas of coverage include: Market Risk Management (25%). Operational and Integrated Risk Management (25%). Credit Risk Management (25%). Importantly. and an understanding of the Black-Scholes-Merton model. © 2012 Global Association of Risk Professionals. manage. model risk. This area focuses on the candidate’s understanding of credit risk management with some focus given to structured finance and credit products such as collateralized debt obligations and credit derivatives. equity options and other derivatives. Exotic options and mortgage backed securities are also covered in this section. Issues related to hedge funds and private equity investments are also covered. Part II of the exam further applies the tools and techniques covered in Part I and delves more deeply into major sub-areas of risk management. This area addresses a candidate’s knowledge of two areas of increasing importance for many firms—operational risk management and integrated risk management. This section tests a candidate’s knowledge of market risk measurement and management techniques. Valuation and Risk Models (30%). An understanding of correlations and copulas. the usage of parametric and non-parametric estimation methods. Topics such as portfolio construction and performance analysis are covered as well as risk budgeting and portfolio and component VaR. These include fixed-income interest rate sensitivities and volatility exposures. including equities. This includes coverage of basic bond valuation. expected and unexpected loss estimation.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook FRM Exam Structure Financial Markets and Products (30%). Knowledge of the subprime mortgage crisis and counterparty risk is also tested as well as default risk and methodologies used to measure it. valuation using binomial trees. and extreme value theory is also expected. the back-testing of Value-at-Risk models. and mitigate operational risk. and risk-based capital allocation. the contingent claims approach to measuring risk. A basic understanding of arbitrage arguments related to the valuation of financial products in these markets is also tested. and several other coherent measures. This area tests the candidate’s knowledge of financial products and the markets in which they trade. expected shortfall. this section also tests a candidate’s knowledge of key Basel regulations—the major international regulatory framework relevant to risk managers today. The risk measures covered include Value-at-Risk. This includes coverage of the tools and techniques necessary to measure. This area focuses on a candidate’s knowledge of risk management techniques applied to the investment management process. 3 . such as Credit VaR. and stress testing are also covered. estimation of economic capital needs. This area will test a candidate’s knowledge of valuation techniques and risk models.

known as the FRM Part I Books. Beginning with the May 2012 FRM registration cycle.org/frm/study-center/study-materials. it is strongly recommended. approaching each paper critically as a risk manager equipped with the knowledge from the other sections. all of the Part I readings were made available to candidates in four bound books. While not every reading referenced in the practice exams is currently being used on the FRM Examination. This area of the exam will test a candidate’s knowledge of the material covered by each paper.aspx Practice Exams Candidates are strongly encouraged to download and take the FRM Practice Exams from the GARP website at http://www.garp. The level of mathematical rigor of the Examination is consistent with an advanced undergraduate or introductory graduate level finance course at most universities. all of the readings listed and described in the FRM Study Guide are available through GARP. the FRM Part I Books will also contain solved problems from previous FRM Exams. and will allow the candidate to estimate how much time they can expect to spend answering individual questions. These actual FRM questions come with explanations to assist candidates in their preparation. 4 © 2012 Global Association of Risk Professionals. Proper preparation for the Examination without the information contained in these readings would be extremely difficult. Language and Mathematical Prerequisites The dialect used by the examination is American English.aspx. Part II reading materials are available in both electronic and printed form through GARP as well.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook FRM Exam Structure Current Issues in Financial Markets (10%). The candidate is expected to familiarize himself/ herself with the readings from this section. The practice exam also includes an explanation for each correct answer so that candidates can better understand their incorrect replies and identify areas of weakness that need emphasis. FRM Books and Course Packs While there are no requirements for a candidate to acquire the readings listed in the Study Guide. the underlying concepts remain largely the same and the practice exams will provide candidates with a good sense of the question types to expect when sitting for the actual FRM Examination. .garp.org/frm/study-center/practice-exams. GARP strives to ensure that questions are written in a clear. All rights reserved. Beginning in 2011. GARP is aware that not every FRM candidate has American English as his or her native dialect. each book associated with a separate Part I Examination section. concise form and avoids the use of colloquialisms or other terms and phrases that might confuse a non-native American English speaker. In the exam development process. Further information about the FRM Part I Books and Part II Course Packs can be found at http://www. To facilitate candidates’ preparation.

Fixed Income content of the Part I reading plan which comes from both the Financial Products and Markets section and the Valuation and Risk Models section. 5 . Reading Plans Outlined on the following pages are suggested reading plans—split into 20 sessions each— for learning the material covered in the Part I Books and the Part II Course Pack. by allotting 10 to 20 hours per session. Finally. or information offered by EPPs nor does it endorse any pass rates claimed by them. Since it is impossible to accurately judge the amount of time necessary for each individual candidate to prepare for the exam. A list of EPPs that have registered with GARP can be found at http://www.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Study Groups GARP strongly encourages candidates to form study groups (if possible) so that they may prepare for the Examination with others. Candidates may not consult the operator’s manual for their calculator during the exam. review or warrant the accuracy of the products. The primary goal of these plans is to break the curriculum down into logical pieces that can be learned efficiently. Please note: GARP does not endorse.org/ frm/study-center/exam-preparation-providers.garp. All rights reserved. for example. Calculator memory must be cleared prior to the start of the exam. these study plans are offered simply as a guideline for approaching the material. however. For example. there are a number of third-party exam prep providers (EPPs) who offer FRM Examination preparation courses for candidates who feel they may benefit from such a program. it is also a good way to meet fellow FRM candidates. modify this plan as they see fit to best meet their own personal circumstances. promote. © 2012 Global Association of Risk Professionals. respectively. services. and the candidate will receive no score for the exam. Use of a non-authorized calculator during the exam will result in the candidate’s answer sheet not being graded. Reading sessions are sometimes paired across sections where appropriate to complement each other. We encourage candidates to use both the official FRM Facebook and LinkedIn web pages to find or form local study groups for the FRM Examination.aspx. Candidates should. Calculator Policy Only the following types of business calculators are authorized for use on the Examination: w w w w w Hewlett Packard 12C (including the HP 12C Platinum and the Anniversary Edition) Hewlett Packard 10B II Hewlett Packard 10B II+ Hewlett Packard 20B Texas Instruments BA II Plus (including the BA II Plus Professional) There will be no exceptions to this policy. Study groups are a great way for candidates to share the study load while helping each other with topics where individuals may have a weakness. a candidate will dedicate 200 to 400 hours of preparation to each full exam.

FRM Exam Part I Reading Plan .

2 QA-7. Chapter 4. 3. “Overview of Enterprise Risk Management. 2012). Casualty Actuarial Society. Value-at-Risk: The New Benchmark for Managing Financial Risk.8 Regression 5 James Stock and Mark Watson. All rights reserved. Options. 3 FRM-2 FRM-7 FRM-9 FRM-10 Probability and Statistics 4 James Stock and Mark Watson. 5. Chapters 4.6 Portfolio Theory and Case Studies 2 Edwin J. 2012). NJ: John Wiley & Sons.2. Chapter 12. Chapters 2.4. Options. 16.5. 2. 13. Value-at-Risk: The New Benchmark for Managing Financial Risk. Svetlozar Rachev. Risk Management & Derivatives (Florence. 2003). Chapters 1. Brown and William N. Steve Allen. Christian Menn.4. and Frank Fabozzi. 8th Edition (New York: Pearson Prentice Hall. QA-1. Elton. 2007).3. 3rd Edition (New York: McGraw-Hill. 2008). Introduction to Econometrics. 2003).2 only.5. 3rd Edition (New York: McGraw-Hill. Gruber. 3. Portfolio Theory and Performance Analysis (West Sussex. Enterprise Risk Management Committee. FMP-1. 6. 8th Edition (Hoboken. Martin J. Noel Amenc and Veronique Le Sourd. Portfolio Selection and Option Pricing (Hoboken. QA-3. Chapter 3. Chapters 5. 7 . NJ: John Wiley & Sons. 2002). 7. (Oct. 2005).” May 2003. Chapter 4. Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management. Introduction to Econometrics. Section 4. Futures. 2008). 2009). Chapters 2. Philippe Jorion. “Risk Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series. John Hull. René Stulz. KY: Thomson South-Western. Chapter 1.6 Simulation and Modeling 6 QA-10 QA-9 Quantitative Analysis and Foundations of Risk Management Derivative Markets 7 Review 8 John Hull. 3.4 * FRM: Foundation of Risk Management QA: Quantitative Analysis FMP: Financial Markets and Products VRM: Valuation and Risk Models © 2012 Global Association of Risk Professionals. Stephen J. 14. René Stulz. Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk (New York:John Wiley & Sons. Chapter 22. 2007). Futures. GARP Code of Conduct FRM-8 FRM-11 FRM-3. 8th Edition (New York: Pearson Prentice Hall. Brief Edition (Boston: Pearson Education. and Other Derivatives. Brief Edition (Boston: Pearson Education. Modern Portfolio Theory and Investment Analysis. and Other Derivatives. England: John Wiley & Sons. 4. 2008).2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Description Session Reading FRM Part I Book Chapter* FRM-1 Overview of Risk Management and Code of Conduct 1 Philippe Jorion. Goetzmann.

7. 11. 2002). Chapters 6. England: John Wiley & Sons. 8th Edition (New York: Pearson Prentice Hall. 2004). John Hull. Chapter 14. Measuring and Managing Credit Risk (New York: McGraw-Hill. 2nd Edition (Boston: Pearson Prentice Hall. 2012). Chapter 2. 18. and Other Derivatives. Options. Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals. Chapters 2. Futures. NJ: John Wiley & Sons. 7. 2012). 2nd Edition (Boston: Addison-Wesley. Metals and Energy (West Sussex. 2005). Chapters 1. Credit and Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing. Jacob Boudoukh and Anthony Saunders. Bruce Tuckman. VRM-12 VRM-16 VRM-17 VRM-18 Valuations 19 20 Review Practice Exams and Final Review © 2012 Global Association of Risk Professionals. Futures.8. Understanding Market. Chapter 6. All rights reserved. Chapter 13. 8th Edition (New York: Pearson Prentice Hall. 2010). 2008). 2nd Edition (West Sussex. Futures. Risk Management and Financial Institutions. 6. Financial Institutions Management: A Risk Management Approach. Chapter 14. 3. 8 . Michael Ong. 5. 3. The Handbook of Fixed Income Securities. 2012). 2003). Derivatives Markets. 23. Narayanan. Options. Robert McDonald. "Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication. Anthony Saunders and Marcia Millon Cornett. Chapter 1. FMP-10 FMP-12 Fixed Income 10 Frank Fabozzi. Altman. Managing Credit Risk. Chapters 10. Options. 7th Edition (New York: McGraw-Hill. 2nd Edition (Hoboken. Linda Allen. Fixed Income Securities. and Other Derivatives. 5. and Other Derivatives. Internal Credit Risk Models: Capital Allocation and Performance Measurement (London: Risk Books. and Nimmo. 2010). Chapters 4. 2005). May 2009).9 Financial Markets and Products Valuations of Options 13 14 VRM-3. 3rd Edition (New York: McGraw-Hill. 2007).4.2 Capital Allocation 16 VRM-13. Chapter 2. FMP-5. Caouette. John Hull. 2005). Chapters 12. FMP-13 VRM-6.6. 8th Edition (New York: Pearson Prentice Hall. Chapters 5. 14. Review John Hull.7 12 FMP-8. Measuring Market Risk. Value-at-Risk: The New Benchmark for Managing Financial Risk.11 Operational Risk 18 Arnaud de Servigny and Olivier Renault. England: John Wiley & Sons.5 VaR 15 QA-11 VRM-1.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Description Session Reading FRM Part I Book Chapter* FMP-11 Commodities and Foreign Exchange 9 Helyette Geman. 7th Edition (New York: McGraw-Hill.14 Credit Ratings 17 VRM-15 VRM-10. 2004). 2. Chapter 18. Kevin Dowd. 2006). 5.9 Derivative Products 11 John Hull. Philippe Jorion. 2nd Edition (New York: John Wiley & Sons.

FRM Exam Part II Reading Plan .

2012). Chapter 10. NJ: John Wiley & Sons. Options. “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions. Chapters 23. (March 2008). Gregory Connor. Chapter 18. Michael Ong. All rights reserved. 10 © 2012 Global Association of Risk Professionals. . 2002). 318. Volatility and Exotic Options Structured Finance 3 John Hull. Chapters 1. 2003). Internal Credit Risk Models: Capital Allocation and Performance Measurement (London: Risk Books. Chapters 12. Fixed Income Securities. “Understanding the Securitization of Subprime Mortgage Credit. NJ: John Wiley & Sons. 4. Futures. Anand Bhattacharya. 2006). and Brian O’Kelly. NJ: John Wiley & Sons. Anand Bhattacharya. and Other Derivatives.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Description Session Reading Fixed Income 1 Bruce Tuckman. 2000). William Berliner. Chapter 6. 2nd Edition (Hoboken. Chapter 14. Chapter 21. 2nd Edition (Hoboken. 2.S. Frank Fabozzi. 2010). John Hull. Chapters 19. 8th Edition (New York: Pearson Prentice Hall. Mortgage-Backed Securities. 9. Mortgage-Backed Securities. 2012). Thomas Flavin. 2nd Edition (Hoboken. 4 Credit Risk and Credit Derivatives 5 6 Eduardo Canabarro. 2002). Chapters 3. 16. 7.” (March 2010). 25. Arnaud de Servigny and Olivier Renault. Eduardo Canabarro and Darrell Duffie. 2003). 13. Eugene Fama and Kenneth French. Pietro Veronesi. and Other Derivatives. Measuring and Managing Credit Risk (New York: McGraw-Hill. 2004. Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken. 2006). 2 Frank Fabozzi. 8th Edition (New York: Pearson Prentice Hall. Futures. NJ: John Wiley & Sons. Christopher Culp. ed. Subprime Mortgages 7 Adam Ashcroft and Til Schuermann. William Berliner. Chapters 6. no. 2004). “Pricing and Hedging Counterparty Risk: Lessons Re-Learned?” (September 2009). 25-46. Fixed Income Securities (Hoboken. René Stulz. 2006). “The U. 2nd Edition (New York: McGraw-Hill.” Federal Reserve Bank of New York Staff Reports.” Journal of Economic Perspectives 18:3. 24. Market and Credit Risk Portfolio Management 8 9 Review Richard Grinold and Ronald Kahn. KY: Thomson South-Western. Options. Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. NJ: John Wiley & Sons. 17. “The Capital Asset Pricing Model: Theory and Evidence. Leo Tilman (London: Euromoney Institutional Investor. Risk Management & Derivatives (Florence. and Irish Credit Crises: Their Distinctive Differences and Common Features.

Allfirst Financial Inc. No. William Goetzmann. Vol. Chapters 16-19.” May 28. “Enterprise Risk Management: Theory and Practice. 2003). Michel Crouhy.). Ltd. Capital Management and Modeling 12 “Range of Practices and Issues in Economic Capital Frameworks. 10 in Mark Carey and René Stulz (eds. Jordan. Winter 2009/10: pp.” Journal of Applied Corporate Finance 18.” June 24. Alex Kane. “Implications of Alternative Operational Risk Modeling Techniques. “Risk Management for Hedge Funds: Introduction and Overview. 2010). Eric Cope. NBER. Volume 4/Number 4. An Introduction to Investment Banks. Rosen & Katz. Rosengren and John S. Khandani and Andrew W.. All rights reserved. 2010. Operational Risk and Liquidity/Funding Risk 13 Philippe Carrel. “Failure Mechanics of Dealer Banks. Leslie Rahl (editor). and U. 9th Edition (New York: McGraw-Hill.” The Journal of Operational Risk. 12. 16-33.C. Mo Chaudhury. 6 (Nov. 2008. “Trust and Delegation. pp. Amir E.” (Basel Committee on Banking Supervision Publication. Greg N. 11 . Darrell Duffie. Lo. 3-27. Funds and ERM 11 Andrew W. And comment by Andrew Kuritzkes 505-511. Gianluca Antonini and Roberto Ugoccioni. Report to the Boards of Directors of Allied Irish Banks. UK: John Wiley & Sons. 37-66. 4 (2006): 8–20.” December. Funds 10 David P. Stephen Brown. Risk Budgeting: A New Approach to Investing (London: Risk Books. Lipton. 2002). Christopher Schwarz.” The Journal of Operational Risk. “Challenges and Pitfalls in Measuring Operational Risk from Loss Data.” Journal of Economic Perspectives 24:1. 2006.” Financial Analysts Journal. “Madoff: A Riot of Red Flags. Brian Nocco and René Stulz. P. No. Lo. March 2009).–Dec. Giulio Mignola.. Modern Investment Management: An Equilibrium Approach (Hoboken. “A Review of the Key Issues in Operational Risk Capital Modeling. 16. 475-505. Eric S. Bing Liang.L. Volume 5/Number 3. Risks of Financial Institutions. 2004). “An Empirical Analysis of Hedge Funds. Hedge Funds. Equity Portfolios.” Ch. 2010). 2010. Fall 2010: pp.S. 51-72. © 2012 Global Association of Risk Professionals.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Description Session Reading Portfolio Management 9 Robert Litterman and the Quantitative Resources Group. 2009. Chapter 17 Zvi Bodie. Marcus. Risk Management (New York: McGraw-Hill. Chapters 11. The Handbook of Risk Management (West Sussex. Chapter 6. Patrick De Fontnouvelle. and Allfirst Bank Concerning Currency Trading Losses Submitted by Promontory Financial Group and Wachtell. and Private Equity (Academic Press. and Alan J. Mutual Funds. 2010). Chapter 24.. 2001). Gregoriou and Franciois-Serge Lhatant. 2001). NJ: John Wiley & Sons. Dan Galai and Robert Mark. Investments. Chapter 14. Stowell. 57. (March 12.

Chapter 4.” (Basel Committee on Banking Supervision Publication. England: John Wiley & Sons.” (May 9. 7. Philippe Jorion. IMF.” (Basel Committee on Banking Supervision Publication. Credit and Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing. Candidates are not expected to memorize specific details like risk weights for different assets. 20. “Global Financial Stability Report (Summary Version). June 2006). 2005). 2009). Chapters 6. Chapters 3. Linda Allen. 2nd Edition (West Sussex.” (Basel Committee on Banking Supervision Publication. 17 “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework—Comprehensive Version. 3rd Edition (New York: McGraw-Hill. Jacob Boudoukh and Anthony Saunders. “Developments in Modelling Risk Aggregation. “Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007+. Chapters 4. 5. 9. Measuring Market Risk. Value-at-Risk: The New Benchmark for Managing Financial Risk. “Basel III: International Framework for Liquidity Risk Measurement. Risk Measurement Tools. 11.” (September 2011). Lessons From the Financial Crisis (London: Risk Books.2012 Financial Risk Manager (FRM®) Exam Preparation Handbook Description Session Reading Operational Risk and Investment Management Measuring Market Risk 14 Review 15 Kevin Dowd. 7. England: John Wiley & Sons. Standards and Monitoring. VaR 16 Basel 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. Chapter 3. 2005). “Revisions to the Basel II Market Risk Framework—Updated as of 31 December 2010. Berd (editor). February 2011). 4. Arthur M. Current Issues 18 Gary Gorton. . Understanding Market. All rights reserved. Measuring Market Risk. December 2010). 2010). 2004). Kevin Dowd. October 2010). 2nd Edition (West Sussex. 17. 2007). Chapters 14. “Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems—Revised Version.” (Basel Committee on Banking Supervision Publication. 16.” (Basel Committee on Banking Supervision Publication. Regulation and Systemic Risk 19 Review 20 Practice Exams and Final Review 12 © 2012 Global Association of Risk Professionals. June 2011).

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

garp. 1-4-12 . government agencies.garp. investment management firms. Membership represents over 150. www. and corporations from more than 195 countries and territories.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.7210 2nd Floor Bengal Wing 9A Devonshire Square London.719. All rights reserved.000 risk management practitioners and researchers from banks. © 2012 Global Association of Risk Professionals. GARP administers the Financial Risk Manager (FRM®) and the Energy Risk Professional (ERP®) Exams. New Jersey 07310 USA + 1 201. GARP also helps advance the role of risk management via comprehensive professional education and training for professionals of all levels. certifications recognized by risk professionals worldwide. EC2M 4YN UK + 44 (0) 20 7397 9630 www. academic institutions.TM Global Association of Risk Professionals 111 Town Square Place Suite 1215 Jersey City.Creating a culture of risk awareness.org.

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