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FRM Part 2 Topics

This document provides a summary of 4 books related to risk management. Book 1 discusses topics related to market risk measurement including VaR, correlation modeling, and term structure models. Book 2 covers credit risk measurement, including credit analysis, ratings methodologies, counterparty credit risk, and securitization. Book 3 is about operational and integrated risk management, including topics like risk data governance, stress testing, and regulatory changes. Book 4 discusses risk management and investment management, including factor theory and portfolio construction, as well as current issues in financial markets such as bitcoin, market liquidity, and algorithmic trading.

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2K views4 pages

FRM Part 2 Topics

This document provides a summary of 4 books related to risk management. Book 1 discusses topics related to market risk measurement including VaR, correlation modeling, and term structure models. Book 2 covers credit risk measurement, including credit analysis, ratings methodologies, counterparty credit risk, and securitization. Book 3 is about operational and integrated risk management, including topics like risk data governance, stress testing, and regulatory changes. Book 4 discusses risk management and investment management, including factor theory and portfolio construction, as well as current issues in financial markets such as bitcoin, market liquidity, and algorithmic trading.

Uploaded by

chan6
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Book 1: Market Risk Measurement and Management

1: Estimating Market Risk Measures: An Introduction and Overview


2: Non-parametric Approaches
3: Backtesting VaR
4: VaR Mapping
5: Messages from the Academic Literature on Risk Measurement for the Trading Book
6: Some Correlation Basics: Properties, Motivation, Terminology
7: Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
8: Statistical Correlation Models Can We Apply Them to Finance?
9: Financial Correlation Modelling Bottom-Up Approaches
10: Empirical Approaches to Risk Metrics and Hedging
11: The Science of Term Structure Models
12: The Evolution of Short Rates and the Shape of the Term Structure
13: The Art of Term Structure Models: Drift
14: The Art of Term Structure Models: Volatility and Distribution
15: OIS Discounting, Credit Issues, and Funding Costs
16: Volatility Smiles
Book 2: Credit Risk Measurement and Management
17: The Credit Decision
18: The Credit Analyst
19: Classifications and Key Concepts of Credit Risk
20: Rating Assignment Methodologies
21: Credit Risks and Credit Derivatives
22: Spread Risks and Default Intensity Models
23: Portfolio Credit Risk
24: Structured Credit Risk
25: Defining Counterparty Credit Risk
26: Netting, Compression, Resets, and Termination Features
27: Collateral
28: Central Counterparties
29: Credit Exposures
30: Default Probability, Credit Spread, and Credit Derivatives
31: Credit Value Adjustment
32: Wrong-Way Risk
33: The Evolution of Stress Testing Counterparty Exposures
34: Credit Scoring and Retail Credit Risk Management
35: The Credit Transfer Markets and Their Implications
36: An Introduction to Securitization
37: Understanding the Securitization of Subprime Mortgage Credit
Book 3: Operational and Integrated Risk Management
38: Principles for the Sound Management of Operational Risk
39: Enterprise Risk Management: Theory and Practice
40: Observations on Developments in Risk Appetite Frameworks and IT Infrastructure
41: Information Risk and Data Quality Management
42: OpRisk Data and Governance
43: External Loss Data
44: Capital Modeling
45: Standardized Measurement Approach for Operational Risk
46: Parametric Approaches (II): Extreme Value
47: Validating Rating Models
48: Model Risk
49: Risk Capital Attribution and Risk-Adjusted Performance Measurement
50: Range of Practices and Issues in Economics Capital Frameworks
51: Capital Planning at Large Bank Holding Companies: Supervisory Expectations and
Range of Current Practice
52: Repurchase Agreements and Financing
53: Estimating Liquidity Risks
54: Assessing the Quality of Risk Measures
55: Liquidity and Leverage
56: The Failure Mechanics of Dealer Banks
57: Stress Testing Banks
58: Guidance on Managing Outsourcing Risk
59: Basel I, Basel II, and Solvency II
60: Basel II.5, Basel III, and Other Post-Crisis Changes
61: Fundamental Review of the Trading Book
Book 4: Risk Management and Investment Management; Current
Issues in Financial Markets
Risk Management and Investment Management
62: Factor Theory
63: Factors
64: Alpha (and the Low-Risk Anomaly)
65: Illiquid Assets
66: Portfolio Construction
67: Portfolio Risk: Analytical Methods
68: VaR and Risk Budgeting in Investment Management
69: Risk Monitoring and Performance Measurement
70: Portfolio Performance Evaluation
71: Hedge Funds
72: Performing Due Diligence on Specific Managers and Funds

Current Issues in Financial Markets


73: Bitcoin: Economics, Technology, and Governance
74: Market and Funding Liquidity An Overview
75: Market Liquidity Resilient or Fleeting?
76: Algorithmic Trading Briefing Note
77: Hanging Up the Phone Electronic Trading in Fixed Income Markets and Its
Implications
78: How Have Central Banks Implemented Negative Policy Rates?
79: Corporate Debt in Emerging Economics: A Threat to Financial Stability?

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