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FRM Exam Part I (May 2018 administration).

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week to see the specific readings covered.
Week 1: Derivatives Markets
[FMP-4] John C. Hull, Chapter 1. Introduction In Options, Futures, and Other
Derivatives, 10th Edition, (New York: Pearson, 2017).
[FMP-5] John C. Hull, Chapter 2. Futures Markets and Central
Counterparties In Options, Futures, and Other Derivatives, 10th Edition, (New
York: Pearson, 2017).
[FMP-11] John C. Hull, Chapter 10. Mechanics of Options
Markets In Options, Futures, and Other Derivatives, 10th Edition, (New York:
Pearson, 2017).
[FMP-16] Jon Gregory, Chapter 2. Exchanges, OTC Derivatives, DPCs and
SPVs In Central Counterparties: Mandatory Clearing and Bilateral Margin
Requirements for OTC Derivatives, (New York: John Wiley & Sons, 2014).
[FMP-17] Jon Gregory, Ch3 Basic Principles of Central Clearing In Central
Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC
Derivatives, (New York: John Wiley & Sons, 2014).
[FMP-18] Jon Gregory, Ch14(section 14.4 only). Risks Caused by CCPs:
Risks Faced by CCPs In Central Counterparties: Mandatory Clearing and
Bilateral Margin Requirements for OTC Derivatives, (New York: John Wiley &
Sons, 2014).
Week 2: Probability and Statistics
[QA-1] Michael Miller, Chapter 2. Probabilities In Mathematics and Statistics
for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons,
2013).
[QA-2] Michael Miller, Chapter 3. Basic Statistics In Mathematics and
Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley
& Sons, 2013).
[QA-3] Michael Miller, Chapter 4. Distributions In Mathematics and Statistics
for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons,
2013).
[QA-4] Michael Miller, Chapter 6. Bayesian Analysis (pp. 113-124
only) In Mathematics and Statistics for Financial Risk Management, 2nd
Edition, (Hoboken, NJ: John Wiley & Sons, 2013).
Week 3: Linear Regression
[QA-5] Michael Miller, Chapter 7. Hypothesis Testing and Confidence
Intervals In Mathematics and Statistics for Financial Risk Management, 2nd
Edition, (Hoboken, NJ: John Wiley & Sons, 2013).
[QA-6] James Stock and Mark Watson, Chapter 4. Linear Regression with
One Regressor In Introduction to Econometrics, Brief Edition, (Boston:
Pearson, 2008).
[QA-7] James Stock and Mark Watson, Chapter 5. Regression with a Single
Regressor In Introduction to Econometrics, Brief Edition, (Boston: Pearson,
2008).
[QA-8] James Stock and Mark Watson, Chapter 6. Linear Regression with
Multiple Regressors In Introduction to Econometrics, Brief Edition, (Boston:
Pearson, 2008).
[QA-9] James Stock and Mark Watson, Chapter 7. Hypothesis Tests and
Confidence Intervals in Multiple Regression In Introduction to
Econometrics, Brief Edition, (Boston: Pearson, 2008).
Week 4: Time Series Analysis (I)
[QA-10] Francis X. Diebold, Chapter 5. Modeling and Forecasting
Trend In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning,
2006).
[QA-11] Francis X. Diebold, Chapter 6. Modeling and Forecasting
Seasonality In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage
Learning, 2006).
[QA-12] Francis X. Diebold, Chapter 7. Characterizing Cycles In Elements of
Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning, 2006).
Week 5: Time Series Analysis(II), Applications
[QA-13] Francis X. Diebold, Chapter 8. Modeling Cycles: MA, AR, and
ARMA Models In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage
Learning, 2006).
[QA-14] John C. Hull, Chapter 10. Volatility In Risk Management and Financial
Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015).
[QA-15] John C. Hull, Chapter 11. Correlations and Copulas In Risk
Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley &
Sons, 2015).
Week 6: Fixed Income (Introduction)
[VRM-7] Bruce Tuckman, Chapter 1. Prices, Discount Factors, and
Arbitrage In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley &
Sons, 2011).
[VRM-8] Bruce Tuckman, Chapter 2. Spot, Forward and Par Rates In Fixed
Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
[VRM-9] Bruce Tuckman, Chapter 3. Returns, Spreads and Yields In Fixed
Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
[FMP-7] John C. Hull, Chapter 4. Interest Rates In Options, Futures, and
Other Derivatives, 10th Edition, (New York: Pearson, 2017).
Week 7: Portfolio Theory
[FRM-10] Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N.
Goetzmann, The Standard Capital Asset Pricing Model In Modern Portfolio
Theory and Investment Analysis, 9th Edition, (Hoboken, NJ: John Wiley & Sons,
2014).
[FRM-11] Noel Amenc and Veronique Le Sourd, Chapter 4. Applying the
CAPM to Performance Measurement: Single-Index Performance
Measurement Indicators (Section 4.2 only) In Portfolio Theory and
Performance Analysis, (West Sussex, England: John Wiley & Sons, 2003).
[FRM-12] Zvi Bodie, Alex Kane, and Alan J. Marcus, Chapter 10. Arbitrage
Pricing Theory and Multifactor Models of Risk and
Return In Investments, 10th Edition, (New York: McGraw-Hill, 2013).
Week 8: Investing in Bonds
[FMP-18] Frank Fabozzi (editor), Chapter 12. Corporate Bonds In The
Handbook of Fixed Income Securities, 8th Edition, (New York: McGraw-Hill,
2012).
[FMP-19] Bruce Tuckman, Angel Serrat, Chapter 20. Mortgages and
Mortgage-Backed Securities In Fixed Income Securities: Tools for Today’s
Markets, 3rd Edition, (New York: John Wiley & Sons, 2011).
[VRM-13] Arnaud de Servigny and Olivier Renault, Chapter 2. External and
Internal Ratings In Measuring and Managing Credit Risk, (New York: McGraw-
Hill, 2004).
[VRM-12] Aswath Damodaran, Country Risk: Determinants, Measures and
Implications – The 2017 Edition, (July 19, 2017).
Week 9: Futures, Forwards and their Applications
[FMP-6] John C. Hull, Chapter 3. Hedging Strategies Using
Futures In Options, Futures, and Other Derivatives, 10th Edition, (New York:
Pearson, 2017).
[FMP-8] John C. Hull, Chapter 5. Determination of Forward and Futures
Prices In Options, Futures, and Other Derivatives, 10th Edition, (New York:
Pearson, 2017).
[FMP-15] Robert McDonald, Chapter 6. Commodity Forwards and
Futures In Derivatives Markets, 3rd Edition, (Boston: Addison-Wesley, 2013).
[FMP-17] Anthony Saunders and Marcia Millon Cornett, Chapter 13. Foreign
Exchange Risk In Financial Institutions Management: A Risk Management
Approach, 8th Edition, (New York: McGraw-Hill, 2014).
Week 10: Interest Rate Risk
[VRM-10] Bruce Tuckman, Chapter 4. One-Factor Risk Metrics and
Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley &
Sons, 2011).
[FMP-9] John C. Hull, Chapter 6. Interest Rate Futures In Options, Futures,
and Other Derivatives, 10th Edition, (New York: Pearson, 2017).
[FMP-10] John C. Hull, Chapter 7. Swaps In Options, Futures, and Other
Derivatives, 10th Edition, (New York: Pearson, 2017).
[VRM-11] Bruce Tuckman, Chapter 5. Multi-Factor Risk Metrics and
Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley &
Sons, 2011).
Week 11: Options(I): Products and Strategies
[FMP-12] John C. Hull, Chapter 11. Properties of Stock Options In Options,
Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017).
[FMP-13] John C. Hull, Chapter 12. Trading Strategies Involving
Options In Options, Futures, and Other Derivatives, 10th Edition, (New York:
Pearson, 2017).
[FMP-14] John C. Hull, Chapter 26. Exotic Options In Options, Futures, and
Other Derivatives, 10th Edition, (New York: Pearson, 2017).
Week 12: Options(II): Valuation and Risk Management
[VRM-4] John C. Hull, Chapter 13. Binomial Trees In Options, Futures, and
Other Derivatives, 10th Edition, (New York: Pearson, 2017).
[VRM-5] John C. Hull, Chapter 15. The Black-Scholes-Merton
Model In Options, Futures, and Other Derivatives, 10th Edition, (New York:
Pearson, 2017).
[VRM-6] John C. Hull, Chapter 19. The Greek Letters In Options, Futures, and
Other Derivatives, 10th Edition, (New York: Pearson, 2017).
[QA-16] Chris Brooks, Chapter 13. Simulation Methods In Introductory
Econometrics for Finance, 3rd Edition, (Cambridge, UK: Cambridge University
Press, 2014).
Week 13: Financial Institutions and Risk Management
[FRM-1] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 1. Risk
Management: A Helicopter View (Including Appendix 1.1) In The
Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014).
[FRM-2] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 2. Corporate
Risk Management: A Primer In The Essentials of Risk Management, 2nd
Edition, (New York: McGraw-Hill, 2014).
[FRM-4] James Lam, Chapter 4. What is ERM? In Enterprise Risk
Management: From Incentives to Controls, 2nd Edition, (Hoboken, NJ: John
Wiley & Sons, 2014).
[FMP-1] John C. Hull, Chapter 2. Banks In Risk Management and Financial
Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015).
[FMP-2] John C. Hull, Chapter 3. Insurance Companies and Pension
Plans In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ:
John Wiley & Sons, 2015).
[FMP-3] John C. Hull, Chapter 4. Mutual Funds and Hedge Funds In Risk
Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley &
Sons, 2015).
Week 14: Risk Management in Banks + Failures
[FRM-6] Steve Allen, Chapter 4. Financial Disasters In Financial Risk
Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd
Edition, (New York: John Wiley & Sons, 2013).
[FRM-7] Markus K. Brunnermeier, Deciphering the Liquidity and Credit
Crunch 2007—2008, Journal of Economic Perspectives 23:1, 77—100.
[FRM-8] Gary Gorton and Andrew Metrick, Getting Up to Speed on the
Financial Crisis: A One-Weekend-Reader’s Guide, Journal of Economic
Literature 50:1, 128—150.
[FRM-9] René Stulz, Risk Management Failures: What Are They and When
Do They Happen?, Fisher College of Business Working Paper Series, October
2008.
[FRM-5] René Stulz, Risk Management, Governance, Culture and Risk
Taking in Banks, FRBNY Economic Policy Review, (August 2016).
[FRM-3] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 4. Corporate
Governance and Risk Management In The Essentials of Risk Management,
2nd Edition, (New York: McGraw-Hill, 2014).
Week 15: Market Risk, Stress Testing
[VRM-3] Kevin Dowd, Chapter 2. Measures of Financial Risk In Measuring
Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005).
[VRM-1] Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 2.
Quantifying Volatility in VaR Models In Understanding Market, Credit and
Operational Risk: The Value at Risk Approach, (New York: Wiley-Blackwell,
2004).
[VRM-2] Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 3.
Putting VaR to Work In Understanding Market, Credit and Operational Risk:
The Value at Risk Approach, (New York: Wiley-Blackwell, 2004).
[VRM-16] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 1.
Governance over Stress Testing In Stress Testing: Approaches, Methods,
and Applications, (London: Risk Books, 2013).
[VRM-17] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 2. Stress
Testing and Other Risk Management Tools In Stress Testing: Approaches,
Methods, and Applications, (London: Risk Books, 2013).
[VRM-18] Principles for sound stress testing practices and supervision,
(Basel Committee on Banking Supervision Publication, May 2009).
Week 16: Risk Types, Misc. Topics
[VRM-14] Gerhard Schroeck, Chapter 5. Capital Structure in Banks (pp.
170-186 only)In Risk Management and Value Creation in Financial Institutions,
(New York: John Wiley & Sons, 2002).
[VRM-15] John C. Hull, Chapter 23. Operational Risk In Risk Management
and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015).
[FRM-13] Principles for Effective Data Aggregation and Risk Reporting,
(Basel Committee on Banking Supervision Publication, January 2013).
[FRM-14] GARP Code of Conduct.