Transcription

2016 FRM EXAMStudy GuideChanges

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart I ChangesFoundations of Risk ManagementAdditions:1.René Stulz, “Governance, Risk Management and Risk-Taking in Banks,” Finance Working Paper 427/2014,June 2014.2.John Hull, Risk Management and Financial Institutions, 4th Edition (New York: John Wiley & Sons, 2015). Chapter 6. The Credit Crisis of 2007Deletions:1.“Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions,” Institute ofInternational Finance, June 2011. (Executive Summary—Section 4, pages 10–40).2.John Hull, Risk Management and Financial Institutions, 3rd Edition (New York: John Wiley & Sons, 2012). Chapter 6. The Credit Crisis of 2007On the following pages, an asterisk after a reading title indicates that the reading is freely available on the GARP website.2 2016 Global Association of Risk Professionals. All rights reserved.

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart I ChangesQuantitative AnalysisAdditions:1.Chris Brooks, Introductory Econometrics for Finance, 3rd Edition (Cambridge, UK: Cambridge UniversityPress, 2014). Chapter 13. Simulation Methods (Note: EViews and other programming references are not required).2.John Hull, Risk Management and Financial Institutions, 4th Edition (New York: John Wiley & Sons, 2015). Chapter 11. Correlations and CopulasDeletions:1.John Hull, Risk Management and Financial Institutions, 3rd Edition (New York: John Wiley & Sons, 2012). Chapter 11. Correlations and Copulas2.Dessislava Pachamanova and Frank Fabozzi, Simulation and Optimization in Finance (Hoboken, NJ: JohnWiley & Sons, 2010). Chapter 4. Simulation Modeling 2016 Global Association of Risk Professionals. All rights reserved.3

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart I ChangesFinancial Markets and ProductsAdditions:1.Jon Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTCDerivatives (West Sussex, UK: John Wiley & Sons, 2014). Chapter 1. Introduction Chapter 2. Exchanges, OTC Derivatives, DPCs and SPVs Chapter 3. Basic Principles of Central Clearing Chapter 14 (section 14.4 only). Risks Caused by CCPs: Risks Faced by CCPsDeletions:1.The Institute for Financial Markets, Futures and Options (Washington, DC: The Institute for Financial Markets, 2011). Chapter 1. Introduction: Futures and Options Markets Chapter 2. Futures Industry Institutions and Professionals Chapter 7. Hedging with Futures and Options4 2016 Global Association of Risk Professionals. All rights reserved.

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart I ChangesValuation and Risk ModelsAdditions:1.Aswath Damodaran, Country Risk: Determinants, Measures and Implications - The 2015 Edition (July 14,2015), (pages 1-45 only).2.John Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015). Chapter 23. Operational RiskDeletions:1.John Hull, Risk Management and Financial Institutions, 3rd Edition (Boston, Pearson Prentice Hall, 2012). Chapter 20. Operational Risk2.Daniel Wagner, Managing Country Risk: A Practitioner’s Guide to Effective Cross-Border Risk Analysis(Boca Raton, FL: Taylor & Francis Group, 2012). Chapter 3. Assessing Country Risk Chapter 4. Country Risk Assessment in Practice 2016 Global Association of Risk Professionals. All rights reserved.5

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart II ChangesMarket risk Measurement and ManagementAdditions:NoneDeletions:None6 2016 Global Association of Risk Professionals. All rights reserved.

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart II ChangesCredit Risk Measurement and ManagementAdditions:1.Jon Gregory, Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for GlobalFinancial Markets, 2nd Edition (West Sussex, UK: John Wiley & Sons, 2012). Chapter 7. Central Counterparties2.Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York:McGraw-Hill, 2014). Chapter 9. Credit Scoring and Retail Credit Risk Management Chapter 12. The Credit Transfer Markets-and Their Implications3.Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Securitisation, 2nd Edition(New York: John Wiley & Sons, 2010). Chapter 12. An Introduction to SecuritisationDeletions:1.Christopher Culp, Structured Finance and Insurance: The Art of Managing Capital and Risk(Hoboken, NJ: John Wiley & Sons, 2006). Chapter 12. Credit Derivatives and Credit-Linked Notes Chapter 13. The Structuring Process Chapter 16. Securitization Chapter 17. Cash Collateralized Debt Obligations 2016 Global Association of Risk Professionals. All rights reserved.7

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart II ChangesOperational and Integrated Risk ManagementAdditions:1.Marcelo G. Cruz, Gareth W. Peters, and Pavel V. Shevchenko, Fundamental Aspects of Operational Riskand Insurance Analytics: A Handbook of Operational Risk (New York: John Wiley & Sons, 2015) Chapter 2: OpRisk Data and Governance2.Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York:McGraw-Hill, 2014). Chapter 15. Model Risk Chapter 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement3.Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005). Chapter 14. Estimating Liquidity Risks4.John Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015). Chapter 15. Basel I, Basel II, and Solvency II Chapter 16. Basel II.5, Basel III, and Other Post-Crisis Changes Chapter 17. Fundamental Review of the Trading BookDeletions:1.Philippa X. Girling, Operational Risk Management: A Complete Guide to a Successful Operational RiskFramework (Hoboken: John Wiley & Sons, 2013). Chapter 7. Internal Loss Data2.Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York:McGraw-Hill, 2001). Chapter 14. Capital Allocation and Performance Measurement3.Kevin Dowd, Measuring Market Risk, 2nd Edition. Chapter 16. Model Risk4.John Hull, Risk Management and Financial Institutions, 4th Edition (New York: John Wiley & Sons, 2015). Chapter 12. Basel I, Basel II and Solvency II Chapter 13. Basel 2.5, Basel III, and Dodd-FrankOptional Regulatory Readings for ReferenceAdditions:1.8“Basel III: the net stable funding ratio.” (Basel Committee on Banking Supervision Publication, October 2014).* 2016 Global Association of Risk Professionals. All rights reserved.

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart II ChangesRisk Management and Investment ManagementAdditions:1.Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 10th Edition (New York: McGraw-Hill, 2013). Chapter 24. Portfolio Performance EvaluationDeletions:1.Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 9th Edition (New York: McGraw-Hill, 2010). Chapter 24. Portfolio Performance Evaluation 2016 Global Association of Risk Professionals. All rights reserved.9

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesPart II ChangesCurrent Issues in Financial MarketsAdditions:1.Glasserman, Paul. (2012). Forging Best Practices in Risk Management (Note: Only Section 2: Firm-LevelIssues in Risk Measurement). Office of Financial Research Working Paper #0002.*2.Yorulmazer, Tanju. (2014). “Case Studies on Disruptions During the Crisis”. FRBNY EconomicPolicy Review.*3.“Why do we need both liquidity regulations and a lender of last resort? A perspective from FederalReserve lending during the 2007-09 U.S. financial crisis”. Federal Reserve Board. February 2015.*4.Global financial markets liquidity study (Note: Sections 1, 2, and 4 only). PwC. August 2015.*5.Duffie, Darrell and Stein, C. Jeremy. (2015). “Reforming LIBOR and Other Financial Market Benchmarks.” Journal of Economic Perspectives—Volume 29, Number 2. Spring 2015. pp 191–212.*6.Froukelien Wendt. (2015). “Central Counterparties: Addressing their Too Important to Fail Nature”. IMFWorking Paper.*7.German Gutierrez Gallardo (NYU), Til Schuermann (Oliver Wyman), Michael Duane (Oliver Wyman).2015. “Stress Testing Convergence”.*8.“Cybersecurity 101: A Resource Guide for Bank Executives”. Conference of State Banking Supervisors.December 2014.*Deletions:All of previous readings should be deleted.10 2016 Global Association of Risk Professionals. All rights reserved.

2016 Financial Risk Manager (FRM ) Exam Study Guide ChangesCreating a culture of risk awareness Global Association of Risk Professionals111 Town Square Place14th FloorJersey City, New Jersey 07310U.S.A. 1 201.719.72102nd FloorBengal Wing9A Devonshire SquareLondon, EC2M 4YNU.K. 44 (0) 20 7397 9630www.garp.orgAbout GARP The Global Association of Risk Professionals (GARP) is a not-for-profit global membership organization dedicated topreparing professionals and organizations to make better informed risk decisions. Membership represents over 150,000 risk management practitioners and researchers from banks, investment management firms, government agencies, academic institutions, andcorporations from more than 195 countries and territories. GARP administers the Financial Risk Manager (FRM ) and the Energy RiskProfessional (ERP ) exams; certifications 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.12 2016 Global Association of Risk Professionals. All rights reserved.