2012 FRM® Exam Preparation Handbook

The designation recognized by risk management professionals worldwide

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. however. © 2012 Global Association of Risk Professionals. On an annual basis. All rights reserved. comprised of leading risk management professionals and academics. GARP is governed by a Board of Trustees comprised of top risk professionals and academics from around the world. Preparation for the Exam The FRM Exam is a self-study program. To calibrate and benchmark its understanding of the demands of the global risk management community. 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. In this preparation handbook. Due to the sizeable amount of material covered in the exam. 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. In past exams. establishes the topic areas to be tested in the FRM Examination. skills and abilities required to function effectively as a financial risk manager around the world. vary from candidate to candidate depending on factors such as work experience and knowledge base of risk management and finance. which are also published and made available to registered FRM candidates. As a professional association with global membership and an extensive professional and academic chapter network. GARP also conducts formal job task analysis surveys to determine the knowledge. which together form the blueprint for exam topic coverage. The topic areas so determined are then published in the FRM Study Guide. Cramming for the exam in the few weeks leading up to it is not recommended. 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. GARP is in a unique position to ascertain standards and assess evolving trends in risk management practices. the typical successful FRM candidate reports to have studied between 200–400 hours. The exact amount of time that is appropriate for any specific candidate will. More detailed Knowledge Points associated with these topic areas are contained in the FRM AIM Statements. 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. we recommend a study plan for each part of the FRM Examination.

the construction of efficient portfolios. Most candidates elect to take Part I and Part II on separate exam administration days. focused on an understanding of the Knowledge Points described in the AIM Statements is strongly recommended. This area tests a candidate’s knowledge of basic probability and statistics. . and enterprise risk management frameworks are covered. All rights reserved. To ensure that important lessons from history are not lost. and Value-at-Risk estimation. 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. 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. and various quantitative techniques useful in risk management such as Monte Carlo methods. while it is possible to sit for both parts of the Examination on the same day. To emphasize the importance of ethics as a fundamental requirement for sound risk management. fundamental asset pricing models. 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. 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. a candidate must receive a passing score on Part I of the Examination before GARP will score his or her Part II Examination. It is important to note that Part I and Part II of the FRM Examination must be passed sequentially. regression and time series analysis. Part I of the FRM Examination covers the fundamental tools and techniques used in risk management and the theories that underlie their use. In addition.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. An understanding of the trade-off between risk and return. Therefore. 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. This area focuses on a candidate’s knowledge of foundational concepts of risk management and how risk management can add value to an organization. each Knowledge Point in the AIM Statements is associated with a suggested reading from the Study Guide which supports and explains it. Thorough preparation for the Examination based on the readings listed in the Study Guide. Specific areas of coverage and their weighting in the exam are: Foundations of Risk Management (20%). Both Part I and Part II have a maximum allowable time for completion of four hours. Quantitative Analysis (20%). 2 © 2012 Global Association of Risk Professionals. a review of major financial disasters from the past is included in this section. applications of the GARP Code of Conduct to professional situations are covered in this section as well.

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

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

these study plans are offered simply as a guideline for approaching the material. a candidate will dedicate 200 to 400 hours of preparation to each full exam. 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. Use of a non-authorized calculator during the exam will result in the candidate’s answer sheet not being graded. 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. Finally. A list of EPPs that have registered with GARP can be found at http://www. 5 . The primary goal of these plans is to break the curriculum down into logical pieces that can be learned efficiently.garp. review or warrant the accuracy of the products. 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. Candidates may not consult the operator’s manual for their calculator during the exam. it is also a good way to meet fellow FRM candidates. 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.aspx. for example.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. For example. or information offered by EPPs nor does it endorse any pass rates claimed by them. Candidates should. however.org/ frm/study-center/exam-preparation-providers. promote. © 2012 Global Association of Risk Professionals. modify this plan as they see fit to best meet their own personal circumstances. services. and the candidate will receive no score for the exam. respectively. 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. 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. Reading sessions are sometimes paired across sections where appropriate to complement each other. Calculator memory must be cleared prior to the start of the exam. by allotting 10 to 20 hours per session. All rights reserved. Please note: GARP does not endorse. Since it is impossible to accurately judge the amount of time necessary for each individual candidate to prepare for the exam.

FRM Exam Part I Reading Plan .

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. Futures. GARP Code of Conduct FRM-8 FRM-11 FRM-3. 3rd Edition (New York: McGraw-Hill. and Other Derivatives. KY: Thomson South-Western. Brown and William N. 3. All rights reserved. Chapters 2. John Hull. 8th Edition (New York: Pearson Prentice Hall. 2.3. Options. Chapters 5. 4. 2009). 3rd Edition (New York: McGraw-Hill.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. Options. Risk Management & Derivatives (Florence. Value-at-Risk: The New Benchmark for Managing Financial Risk. and Frank Fabozzi.” May 2003. 7 . Chapter 1.2. 2012). QA-3. 2008). Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management. Chapters 1. FMP-1. Modern Portfolio Theory and Investment Analysis. Value-at-Risk: The New Benchmark for Managing Financial Risk. 7. 8th Edition (New York: Pearson Prentice Hall. Brief Edition (Boston: Pearson Education. Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk (New York:John Wiley & Sons. Gruber.4. 2008). Brief Edition (Boston: Pearson Education. Christian Menn. 2007). Section 4. 2002). Casualty Actuarial Society. Chapter 22. Noel Amenc and Veronique Le Sourd. 5. England: John Wiley & Sons. Goetzmann. Philippe Jorion.6 Portfolio Theory and Case Studies 2 Edwin J. 2003). René Stulz.2 only. Svetlozar Rachev. 2005). 6. 2007). QA-1. 2008). Chapter 3. 14.5. Chapter 4. Portfolio Selection and Option Pricing (Hoboken. Chapter 12. Enterprise Risk Management Committee. Portfolio Theory and Performance Analysis (West Sussex. NJ: John Wiley & Sons.2 QA-7. Steve Allen. 3 FRM-2 FRM-7 FRM-9 FRM-10 Probability and Statistics 4 James Stock and Mark Watson. Introduction to Econometrics. René Stulz. 13. Elton. and Other Derivatives. 3. NJ: John Wiley & Sons. Introduction to Econometrics. 3. (Oct.5.6 Simulation and Modeling 6 QA-10 QA-9 Quantitative Analysis and Foundations of Risk Management Derivative Markets 7 Review 8 John Hull. “Overview of Enterprise Risk Management. “Risk Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series.8 Regression 5 James Stock and Mark Watson. 16. Futures. Chapters 4. Chapter 4. Martin J.4. 2003). 8th Edition (Hoboken. 2012). Chapters 2. Stephen J.

2012). Kevin Dowd. Fixed Income Securities. 2007). 2008). Futures. 5. 2005).9 Derivative Products 11 John Hull. 2006). Derivatives Markets. Options. FMP-13 VRM-6. 2010). 2nd Edition (Hoboken. Measuring Market Risk. and Other Derivatives. 2nd Edition (West Sussex. Internal Credit Risk Models: Capital Allocation and Performance Measurement (London: Risk Books. Chapters 10. 2004). Chapters 4.9 Financial Markets and Products Valuations of Options 13 14 VRM-3. 2005). Chapters 12.7. Michael Ong. 8th Edition (New York: Pearson Prentice Hall. Linda Allen. Chapter 14. 8 . Robert McDonald. Narayanan.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. 18. 2nd Edition (New York: John Wiley & Sons. Chapter 6. Anthony Saunders and Marcia Millon Cornett. Chapter 2. Managing Credit Risk. 2005).7 12 FMP-8. and Other Derivatives. 3.6. Understanding Market. Options. 8th Edition (New York: Pearson Prentice Hall. John Hull. Review John Hull. 8th Edition (New York: Pearson Prentice Hall. and Other Derivatives. 6. Chapters 1. Bruce Tuckman. 2002).2 Capital Allocation 16 VRM-13. NJ: John Wiley & Sons. 5. Philippe Jorion. Chapter 13. 2003). 2010). Jacob Boudoukh and Anthony Saunders. Chapters 2. 14. Metals and Energy (West Sussex. 2nd Edition (Boston: Pearson Prentice Hall. Options. John Hull. and Nimmo. 2nd Edition (Boston: Addison-Wesley. 2. May 2009). Value-at-Risk: The New Benchmark for Managing Financial Risk. FMP-10 FMP-12 Fixed Income 10 Frank Fabozzi. 5. Futures. Altman. Chapter 2. Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals.8. Chapter 1.4. Chapter 18. Futures. VRM-12 VRM-16 VRM-17 VRM-18 Valuations 19 20 Review Practice Exams and Final Review © 2012 Global Association of Risk Professionals. Measuring and Managing Credit Risk (New York: McGraw-Hill. England: John Wiley & Sons. "Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication. England: John Wiley & Sons. 7th Edition (New York: McGraw-Hill. Chapter 14. Financial Institutions Management: A Risk Management Approach. Credit and Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing. Risk Management and Financial Institutions. 2012).5 VaR 15 QA-11 VRM-1. 2004). 7.14 Credit Ratings 17 VRM-15 VRM-10. 11. 23. Chapters 6. All rights reserved. FMP-5.11 Operational Risk 18 Arnaud de Servigny and Olivier Renault. 2012). The Handbook of Fixed Income Securities. Caouette. 7th Edition (New York: McGraw-Hill. 3. Chapters 5. 3rd Edition (New York: McGraw-Hill.

FRM Exam Part II Reading Plan .

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

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

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

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

investment management firms. 1-4-12 . government agencies. EC2M 4YN UK + 44 (0) 20 7397 9630 www.garp. © 2012 Global Association of Risk Professionals.Creating a culture of risk awareness.org.719.7210 2nd Floor Bengal Wing 9A Devonshire Square London. GARP administers the Financial Risk Manager (FRM®) and the Energy Risk Professional (ERP®) Exams. GARP also helps advance the role of risk management via comprehensive professional education and training for professionals of all levels.garp.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. and corporations from more than 195 countries and territories. www. All rights reserved. certifications recognized by risk professionals worldwide.TM Global Association of Risk Professionals 111 Town Square Place Suite 1215 Jersey City. Membership represents over 150. academic institutions. New Jersey 07310 USA + 1 201.000 risk management practitioners and researchers from banks.

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