FRM Handbook: 4th Edition by Philippe Jorion Relevance to 2008 FRM AIMS. Please note: 1.

This only refers to chapters in the FRM Handbook (4th Edition). There are many, many topics & concepts EXCLUDED from the handbook. As GARP says, the FRM Handook by itself is insufficient. 2. These are just my opinions, nothing more. Legend: 3 = Highly relevant and directly applicable. 2 = Relevant but imperfect correspondence to 2008 material. 1 = Some relevance. Not necessarily essential. 0 = Not relevant. Relevance to 2008 3 2 1 0 Note: Chapter 1 Bond Fundamentals X Basic, Taylor Series Random variables important. Emphasize distributions (Normal, Student's t, Binomial). Does not adequately review chi-square and F Chapter 2 Fundamentals of Probability X distributions Regression coverage inferior. Please Chapter 3 Fundamentals of Statistics X use assigned Gujarati Chapter 4 Monte Carlo Methods X Good since assigned Wilmott's is brief Chapter 5 Introduction to Derivatives X All relevant but incomplete versus Chapter 6 Options X Hull's Chapters Chapter 7 Fixed Income X Chapter 8 Fixed Income Derivatives X Mixed bag. Much is relevant, some pricing formulas will not be needed. Incomplete: need Stulz and McDonald Chapter 9 Equity, Currency and Commodity Markets X X (Commodity) Relevant but cannt rely on this as only source on VaR. Need Jorion book (VaR Chapter 10 Intro to Market Risk Measurement X 3rd Edition) Chapter 11 Sources of Market Risk X Mostly redundant with Hull, but Chapter 12 Hedging Linear Risk X important nonetheless Mostly redundant with Hull, but very important (thematic) material. Must Chapter 13 Nonlinear risk: Options X understand this! Chapter 14 Modeling risk factors X Key material

Chapter 15 VAR Methods Chapter 16 Portfolio Management Chapter Chapter Chapter Chapter 17 18 19 20


Hedge fund risk management Intro to Credit Risk X Measuring Actuarial Default Risk X Measuring Default Risk from Market Prices X

Key material Good material but incomplete; e.g., additional metrics in Amenc High overlap with Jaeger. But not enough by itself for hedge funds.

Chapter 21 Credit Exposure Chapter 22 Credit Derivatives & Structured ProductsX Chapter 23 Managing Credit Risk X Chapter Chapter Chapter Chapter Chapter Chapter Chapter Chapter 24 25 26 27 28 29 30 31 Operational Risk Risk Capital and RAROC Firm-wide Risk Management Legal Issues Accounting & Tax Issues Regulation of Financial Institutions The Basel Accord The Basel Market Risk Charge X


Good but insufficient. Needs de Servigny, Ong. Still need Tillman & Dev (counterparty)

Relevant but INCOMPLETE to operational risk. Many things not here. X X X X X X X Only for netting. Low testability Highly relevant but insufficient Highly relevant but insufficient


Sign up to vote on this title
UsefulNot useful