FRM StudyGuide Changes FINAL 2

2016 FRM® EXAM

Study GuideChanges

2016 Financial Risk Manager (FRM®) Exam Study Guide Changes

© 2016 Global Association of Risk Professionals. All rights reserved.2

Part I ChangesFoundations of Risk Management

1. RenéStulz,“Governance,RiskManagementandRisk-TakinginBanks,”FinanceWorkingPaper427/2014,

June2014.

2. JohnHull,RiskManagementandFinancialInstitutions,4thEdition(NewYork:JohnWiley&Sons,2015).

•Chapter6.TheCreditCrisisof2007

Additions:

1. “ImplementingRobustRiskAppetiteFrameworkstoStrengthenFinancialInstitutions,”Instituteof

InternationalFinance,June2011.(ExecutiveSummary—Section4,pages10–40).

2. JohnHull,RiskManagementandFinancialInstitutions,3rdEdition(NewYork:JohnWiley&Sons,2012).

•Chapter6.TheCreditCrisisof2007

Deletions:

Onthefollowingpages,anasteriskafterareadingtitleindicatesthatthereadingisfreelyavailableontheGARPwebsite.


© 2016 Global Association of Risk Professionals. All rights reserved. 3

Part I ChangesQuantitative Analysis

1. ChrisBrooks,IntroductoryEconometricsforFinance,3rdEdition(Cambridge,UK:CambridgeUniversity

Press,2014).

•Chapter13.SimulationMethods(Note:EViewsandotherprogrammingreferencesarenotrequired).


•Chapter11.CorrelationsandCopulas

Additions:

1. JohnHull,RiskManagementandFinancialInstitutions,3rdEdition(NewYork:JohnWiley&Sons,2012).

•Chapter11.CorrelationsandCopulas

2. DessislavaPachamanovaandFrankFabozzi,SimulationandOptimizationinFinance(Hoboken,NJ:John

Wiley&Sons,2010).

•Chapter4.SimulationModeling

Deletions:



Part I ChangesFinancial Markets and Products

1. JonGregory,CentralCounterparties:MandatoryClearingandBilateralMarginRequirementsforOTC

Derivatives(WestSussex,UK:JohnWiley&Sons,2014).

•Chapter1.Introduction

•Chapter2.Exchanges,OTCDerivatives,DPCsandSPVs

•Chapter3.BasicPrinciplesofCentralClearing

•Chapter14(section14.4only).RisksCausedbyCCPs:RisksFacedbyCCPs

Additions:

1. TheInstituteforFinancialMarkets,FuturesandOptions(Washington,DC:TheInstituteforFinancialMar-

kets,2011).

•Chapter1.Introduction:FuturesandOptionsMarkets

•Chapter2.FuturesIndustryInstitutionsandProfessionals

•Chapter7.HedgingwithFuturesandOptions

Deletions:



Part I ChangesValuation and Risk Models

1. AswathDamodaran,CountryRisk:Determinants,MeasuresandImplications-The2015Edition(July14,

2015),(pages1-45only).

2. JohnHull,RiskManagementandFinancialInstitutions,4thEdition(Hoboken,NJ:JohnWiley&Sons,2015).

•Chapter23.OperationalRisk

Additions:

1. JohnHull,RiskManagementandFinancialInstitutions,3rdEdition(Boston,PearsonPrenticeHall,2012).

•Chapter20.OperationalRisk

2. DanielWagner,ManagingCountryRisk:APractitioner’sGuidetoEffectiveCross-BorderRiskAnalysis

(BocaRaton,FL:Taylor&FrancisGroup,2012).

•Chapter3.AssessingCountryRisk

•Chapter4.CountryRiskAssessmentinPractice

Deletions:



Part II ChangesMarket risk Measurement and Management

None

Additions:

None

Deletions:



Part II ChangesCredit Risk Measurement and Management

1. JonGregory,CounterpartyCreditRiskandCreditValueAdjustment:AContinuingChallengeforGlobal

FinancialMarkets,2ndEdition(WestSussex,UK:JohnWiley&Sons,2012).

•Chapter7.CentralCounterparties

2. MichelCrouhy,DanGalaiandRobertMark,TheEssentialsofRiskManagement,2ndEdition(NewYork:

McGraw-Hill,2014).

•Chapter9.CreditScoringandRetailCreditRiskManagement

•Chapter12.TheCreditTransferMarkets-andTheirImplications

3. MooradChoudhry,StructuredCreditProducts:CreditDerivatives&SyntheticSecuritisation,2ndEdition

(NewYork:JohnWiley&Sons,2010).

•Chapter12.AnIntroductiontoSecuritisation

Additions:

1. ChristopherCulp,StructuredFinanceandInsurance:TheArtofManagingCapitalandRisk

(Hoboken,NJ:JohnWiley&Sons,2006).

•Chapter12.CreditDerivativesandCredit-LinkedNotes

•Chapter13.TheStructuringProcess

•Chapter16.Securitization

•Chapter17.CashCollateralizedDebtObligations

Deletions:



Part II ChangesOperational and Integrated Risk Management

1. MarceloG.Cruz,GarethW.Peters,andPavelV.Shevchenko,FundamentalAspectsofOperationalRisk

andInsuranceAnalytics:AHandbookofOperationalRisk(NewYork:JohnWiley&Sons,2015)

•Chapter2:OpRiskDataandGovernance


McGraw-Hill,2014).

•Chapter15.ModelRisk

•Chapter17.RiskCapitalAttributionandRisk-AdjustedPerformanceMeasurement

3. KevinDowd,MeasuringMarketRisk,2ndEdition(WestSussex,England:JohnWiley&Sons,2005).

•Chapter14.EstimatingLiquidityRisks

4. JohnHull,RiskManagementandFinancialInstitutions,4thEdition(Hoboken,NJ:JohnWiley&Sons,2015).

•Chapter15.BaselI,BaselII,andSolvencyII

•Chapter16.BaselII.5,BaselIII,andOtherPost-CrisisChanges

•Chapter17.FundamentalReviewoftheTradingBook

Additions:

1. PhilippaX.Girling,OperationalRiskManagement:ACompleteGuidetoaSuccessfulOperationalRisk

Framework(Hoboken:JohnWiley&Sons,2013).

•Chapter7.InternalLossData


McGraw-Hill,2001).

•Chapter14.CapitalAllocationandPerformanceMeasurement

3. KevinDowd,MeasuringMarketRisk,2ndEdition.

•Chapter16.ModelRisk


•Chapter12.BaselI,BaselIIandSolvencyII

•Chapter13.Basel2.5,BaselIII,andDodd-Frank

Deletions:

1. “BaselIII:thenetstablefundingratio.”(BaselCommitteeonBankingSupervisionPublication,October2014).*

Additions:

OptionalRegulatoryReadingsforReference



Part II ChangesRisk Management and Investment Management

1. ZviBodie,AlexKane,andAlanJ.Marcus,Investments,10thEdition(NewYork:McGraw-Hill,2013).

•Chapter24.PortfolioPerformanceEvaluation

Additions:

1. ZviBodie,AlexKane,andAlanJ.Marcus,Investments,9thEdition(NewYork:McGraw-Hill,2010).

•Chapter24.PortfolioPerformanceEvaluation

Deletions:



Current Issues in Financial Markets

Part II Changes

1. Glasserman, Paul. (2012). Forging Best Practices in Risk Management (Note: Only Section 2: Firm-Level

Issues in Risk Measurement). Office of Financial Research Working Paper #0002.*

2. Yorulmazer, Tanju. (2014). “Case Studies on Disruptions During the Crisis”. FRBNY Economic

Policy Review.*

3. “Why do we need both liquidity regulations and a lender of last resort? A perspective from Federal

Reserve 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 Bench-

marks.” 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”. IMF

Working 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.*

Additions:

Allofpreviousreadingsshouldbedeleted.

Deletions:



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agementpractitionersandresearchersfrombanks,investmentmanagementfirms,governmentagencies,academicinstitutions,and

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FRM StudyGuide Changes FINAL 2