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Garp FRM Study Guide Changes 21715
Garp FRM Study Guide Changes 21715
FRM Exam
Study Guide
Changes
2014-2015
Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd Edition
(New York: McGraw-Hill, 2014).
2.
Chapter 1. Risk Management: A Helicopter View (Including Appendix 1.1. Typology of Risk Exposures)
James Lam, Enterprise Risk Management: From Incentives to Controls, 2nd Edition
(Hoboken, NJ: John Wiley & Sons, 2014).
3.
Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions, Institute of International
Finance, June 2011.
4.
John Hull, Risk Management and Financial Institutions, 3rd Edition (New York: John Wiley & Sons, 2012).
5.
Principles for Eective Data Aggregation and Risk Reporting, (Basel Committee on Banking Supervision
Publication, January 2013).
Deletions
1.
Risk Taking: A Corporate Governance Perspective, (International Finance Corporation, World Bank Group, June 2012).
2.
Understanding and Communicating Risk Appetite, (COSO, written by Dr. Larry Rittenberg and Frank Martens,
January 2012).
Updates
1.
Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, Modern Portfolio Theory and
Investment Analysis, 9th Edition (Hoboken, NJ: John Wiley & Sons, 2014). Now using 9th Edition, 2014.
2.
Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 10th Edition (New York: McGraw-Hill, 2013).
Now using 10th Edition, 2013.
Chapter 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return
Multi-factor models
QUANTITATIVE ANALYSIS
Additions
1.
John Hull, Risk Management and Financial Institutions, 3rd Edition (Boston: Pearson Prentice Hall, 2012).
2.
Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006).
Chapter 5. Modeling and Forecasting Trend (Section 5.4 onlySelecting Forecasting Models Using the Akaike and
Schwarz Criteria)
Deletions
None
Updates
1.
Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition
(Hoboken, NJ: John Wiley & Sons, 2013). Now using 2nd Edition, 2013.
2.
Chapter 2. Probabilities
Chapter 4. Distributions
John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson Prentice Hall, 2014).
Now using 9th Edition, 2014.
Linear regression with single and multiple regressors (Subpoints have been deleted)
Simulation methods
2.
Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Todays Markets, 3rd Edition (New York: Wiley, 2011)
Deletions
1.
Helyette Geman, Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy
(West Sussex, England: John Wiley & Sons, 2005).
Chapter 1. Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges and Strategies
Updates
1.
2.
John Hull, Options, Futures, and Other Derivatives, 9th Edition. Now using 9th Edition, 2014.
Chapter 1. Introduction
Chapter 7. Swaps
Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk Management Approach,
8th Edition (New York: McGraw-Hill, 2014). Now using 8th Edition, 2014.
Structure, mechanics, and valuation of forwards, futures, swaps and options (Subpoints consolidated)
Corporate bonds
Rating agencies
Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York: Wiley, 2002).
Deletions
1.
Michael Ong, Internal Credit Risk Models: Capital Allocation and Performance Measurement
(London: Risk Books, 2003).
2.
Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011).
Chapter 6. Empirical Approaches to Risk Metrics and Hedges (Moved to Part IIMarket Risk)
Updates
1.
John Hull, Options, Futures, and Other Derivatives, 9th Edition. Now using 9th Edition, 2014
Operational risk
2.
Gunter Meissner, Correlation Risk Modeling and Management (New York: Wiley, 2014).
Chapter 2. Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
Chapter 4. Financial Correlation ModelingBottom-Up Approaches (Sections 4.3.0 (intro), 4.3.1, and 4.3.2 only)
Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011).
3.
Chapter 6. Empirical Approaches to Risk Metrics and Hedges (Moved from Part IValuation)
Deletions
1.
Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005).
2.
Jacob Boudoukh, Matthew Richardson and Robert F. Whitelaw, The Best of Both Worlds: A Hybrid Approach to
Calculating Value at Risk, Stern School of Business, NYU.
3.
John Hull and Alan White, Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk,
Journal of Risk, October 1998.
4.
John Hull and Alan White, LIBOR vs. OIS: The Derivatives Discounting Dilemma, April 2013. Forthcoming in the
Journal of Investment Management.
5.
6.
7.
Pietro Veronesi, Fixed Income Securities (Hoboken, NJ: John Wiley & Sons, 2010).
Chapter 8. Basics of Residential Mortgage Backed Securities
Frank Fabozzi, Anand Bhattacharya, William Berliner, Mortgage-Backed Securities, 3rd Edition
(Hoboken, NJ: John Wiley & Sons, 2011).
Updates
1.
John Hull, Options, Futures, and Other Derivatives, 8th Edition. Now using 9th Edition, 2014.
Mortgages and Mortgage-backed securities (MBS) along with the subpoint of Structure, markets and valuation
have been consolidated and moved to FRM Exam Part I.
Additions
None
Deletions
None
Updates
1.
Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011).
Chapter 8. Only Sections 8.1, 8.2 and 8.3 will be covered.
Credit analysis
Default risk: Quantitative methodologies (Risk neutral valuations has been deleted)
Credit VaR
Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Todays Markets, 3rd Edition (New York: Wiley, 2011).
2.
Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,
Board of Governors of the Federal Reserve System, August 2013 (Moved from 2014 Current Issue readings).
3.
John Hull, Risk Management and Financial Institutions, 3rd Edition (New York: John Wiley & Sons, 2012).
Deletions
1.
Mo Chaudhury, A Review of the Key Issues in Operational Risk Capital Modeling, The Journal of Operational Risk,
Volume 5/Number 3, Fall 2010: pp. 37-66.
2.
Eric Cope, Giulio Mignola, Gianluca Antonini and Roberto Ugoccioni, Challenges and Pitfalls in Measuring
Operational Risk from Loss Data, The Journal of Operational Risk, Volume 4/Number 4, Winter 2009/10: pp. 3-27.
3.
Principles for Eective Data Aggregation and Risk Reporting, (Basel Committee on Banking Supervision
Publication, January 2013).
4.
Nadine Gatzert, Hannah Wesker, A Comparative Assessment of Basel II/III and Solvency II, Working Paper,
Friedrich-Alexander-University of Erlangen-Nuremberg, Version: October 2011.*
Updates
None
Modeling operational loss distributions (Consolidation of Operational loss data and subpoints)
Model risk
Economic capital frameworks and capital allocation (Expansion of Economic Capital knowledge point)
Chapter 13. Illiquid Assets (Excluding Section 13.5Portfolio Choice with Illiquid Assets)
Deletions
1.
Andrew W. Lo, Risk Management for Hedge Funds: Introduction and Overview, Financial Analysts Journal, Vol. 57,
No. 6 (November-December 2001), pp. 16-33.*
Updates
None
Roe, M. (2013) Clearinghouse Overconfidence. California Law Review, 101 (6), pp. 1641-1703.*
2.
OHara, M. (2014). High-Frequency Trading and Its Impact on Markets. Financial Analysts Journal, 70, 3. pp. 18-27.*
3.
4.
Clark, C. (2011). How Do Exchanges Control the Risk of High Speed Trading?*
5.
Clark, C. and Ranjan, R. (2012). How Do Proprietary Trading Firms Control the Risks of High Speed Trading?*
6.
Report on Cyber Security in the Banking Sector, New York State Department of Financial Services. May 2014.*
7.
Framework for Improving Critical Infrastructure Cybersecurity, National Institute of Standards and Technology.*
8.
The Changing Landscape for Derivatives, by John Hull, Joseph L. Rotman School of Management University
of Toronto.*
9.
Hull, J. and White, A. (2014). Valuing Derivatives: Funding Value Adjustments and Fair Value, Financial Analysts
Journal 70 (3), pp. 46-56.*
Deletions
All previous readings have been deleted.
Updates
None
An asterisk after a reading title indicates that the reading is freely available on the GARP website.
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Aliates from banks, investment management rms, government agencies, academic institutions, and corporations from more than
195 countries and territories. GARP administers the Financial Risk Manager (FRM) and the Energy Risk Professional (ERP) Exams;
certications recognized by risk professionals worldwide. GARP also helps advance the role of risk management via comprehensive
professional education and training for professionals of all levels. www.garp.org.