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Instructional Video: Litterman, Chapter 17: Risk Monitoring and Performance Measurement

FRM® Part 2 Advanced Litterman, Modern Investment Management, Chapter 17 Instructional Video: Litterman, Chapter 17: Risk Monitoring and Performance Measurement

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Interactive Practice Question Platform Tutorial
1 Topic
How to Use the Interactive Practice Question Platform
Market Risk Measurement & Management
Dowd, Measuring Market Risk, Chapters 3, 4 & 7
5 Topics
Study Notes: Dowd, Chapters 3, 4 & 7
Practice Question Set: Dowd, Chapters 3, 4 & 7
Instructional Video: Dowd, Chapter 3: Estimating Market Risk Measures
Instructional Video: Dowd, Chapter 4: Non-parametric Approaches
Instructional Video: Dowd, Chapter 7: Parametric Approaches
Jorion, Value-at-Risk, Chapters 6 & 11
4 Topics
Study Notes: Jorion, Chapters 6 & 11
Practice Question Set: Jorion Chapters 6 & 11
Instructional Video: Jorion, Chapter 6: Backtesting VaR
Instructional Video: Jorion, Chapter 11: VaR Mapping
Meissner, Correlation Risk Modeling and Management, Chapters 1, 2 & 5
5 Topics
Study Notes: Meissner, Chapters 1, 2 & 5
Practice Question Set: Meissner, Chapters 1, 2 & 5
Instructional Video: Meissner, Chapter 1: Correlation Basics
Instructional Video: Meissner, Chapter 2: Empirical Properties of Correlation
Instructional Video: Meissner, Chapter 5: Financial Correlation Modeling
David Lynch, et. al. Validation of Risk Management Models for Financial Institutions: Chapters 2 & 4
3 Topics
Study Notes: Lynch, et. al. Chapters 2 & 4 (Coming Soon)
Practice Question Set: Lynch, et. al. Chapters 2 & 4 (Coming Soon)
Instructional Video: Lynch, et. al. Chapters 2 & 4 (Coming Soon)
Tuckman, Income Securities, Chapters 6, 7, 8, 9 & 10
8 Topics
Study Notes: Tuckman, Chapters 6, 7, 8, 9 & 10
Practice Question Set: Tuckman, Chapters 6, 7, 8, 9 & 10
Instructional Video: Tuckman (4th ed.) Chapter 6: Regression Hedging and Principal Component Analysis
Instructional Video: Tuckman (4th ed.) Chapter 7: Arbitrage Pricing with Term Structure Models
Instructional Video: Tuckman (4th ed.) Chapter 8: Expectations, Risk Premium, Convexity and the Shape of the Term Structure
Instructional Video: Tuckman (3rd ed.), Chapter 9: The Art of Term Structure Models: Drift
Instructional Video: Tuckman (3rd ed.) Chapter 10: The Art of Term Structure Models: Volatility and Distribution
Instructional Video: Tuckman (4th ed.) Chapter 9. The Vasicek and Gauss+ Models (Coming Soon)
Hull, Options, Futures, and Other Derivatives, Chapter 20: Volatility Smiles
3 Topics
Study Notes: Hull, Chapter 20: Volatility Smiles
Practice Question Set: Hull, Chapter 20: Volatility Smiles
Instructional Video: Hull, Chapter 20: Volatility Smiles
Hull, Risk Management, Chapter 18: Fundamental Review of the Trading Book
3 Topics
Study Notes: Hull RMFI, Chapter 18: Fundamental Review of the Trading Book
Practice Question Set: Hull RMFI, Chapter 18: Fundamental Review of the Trading Book
Instructional Video: Hull, Chapter 18: Fundamental Review of the Trading Book
Market Risk Measurement & Management Review
3 Topics
Learning Spreadsheets: P2.T5.b XLS Bundle
Learning Spreadsheets: P2.T5.c XLS Bundle
Learning Spreadsheets: P2.T5.d XLS Bundle
Credit Risk Measurement & Management
Bouteille et. al, Handbook of Credit Risk Management, Chapters 1 & 2
4 Topics
Study Notes: Bouteille et. al, Chapters 1 & 2
Practice Questions: Bouteille et. al, Chapters 1 & 2
Instructional Video: Bouteille et. al, Chapter 1: Fundamentals of Credit Risk
Instructional Video: Bouteille et. al, Chapter 2: Governance
van Greuning et. al, Analyzing Banking Risk, Chapter 7
3 Topics
Study Notes: van Greuning et. al, Chapter 7
Practice Questions: van Greuning et. al, Chapter 7
Instructional Video: van Greuning et. al, Chapter 7, Credit Risk Management
Schroeck, Chapter 5. Capital Structure in Banks
3 Topics
Study Notes: Schroeck, Chapter 5: Capital Structure in Banks
Practice Question Set: Schroeck, Chapter 5: Capital Structure in Banks
Instructional Video: Schroeck, Chapter 5: Capital Structure in Banks
Doumpos et al., Analytical Techniques in the Assessment of Credit Risk, Chapters 1 & 2
4 Topics
Study Notes: Doumpos et al., Analytical Techniques in the Assessment of Credit Risk, Chapters 1 & 2
Practice Question Set: Doumpos et al., Analytical Techniques in the Assessment of Credit Risk, Chapters 1 & 2
Instructional Video: Doumpos et al., Chapter 1: Intro to Credit Risk Modeling & Assessment
Instructional Video: Doumpos et al., Chapter 2: Credit Scoring and Rating
Crouhy, Essentials of Risk Management, Chapter 9
3 Topics
Study Notes: Crouhy, Chapter 9
Practice Question Set: Crouhy, Chapter 9
Instructional Video: Crouhy, Chapter 9: Credit Scoring and Retail Credit Risk Management
Damodaran, Country Risk: Determinants, Measures, and Implications
3 Topics
Study Notes: Damodaran, Country Risk: Determinants, Measures, and Implications
Practice Questions: Damodaran, Country Risk: Determinants, Measures, and Implications
Instructional Video: Damodaran, Country Risk: Determinants, Measures, and Implications
Hull, Risk Management and Financial Institutions, Chapters 17 & 19
4 Topics
Study Notes: Hull, Risk Management and Financial Institutions, Chapters 17 & 19
Practice Questions: Hull, Risk Management and Financial Institutions, Chapters 17 & 19
Instructional Video: Hull, Chapter 17. Estimating Default Probabilities
Instructional Video: Hull, Chapter 19. Credit Value at Risk
Malz, Financial Risk Management, Chapters 8 & 9
5 Topics
Study Notes: Malz, Chapters 8 & 9
Practice Question Set: Malz, Chapters 8 & 9
Instructional Video: Malz, Chapter 8: Portfolio Credit Risk
Instructional Video: Malz, Chapter 9: Structured Credit Risk
ARCHIVED: Instructional Video: Malz, Chapter 8: Portfolio Credit Risk
Hull, Options, Futures, and Other Derivatives, Chapters 24 & 25
4 Topics
Study Notes: Hull, Options, Futures, and Other Derivatives, Chapters 24 & 25
Practice Questions: Hull, Options, Futures, and Other Derivatives, Chapters 24 & 25
Instructional Video: Hull, Options, Futures, and Other Derivatives, Chapter 24
Instructional Video: Hull, Options, Futures, and Other Derivatives, Chapter 25
Gregory, The xVA Challenge, Chapters 2, 3, 6, 7, 8, 11 & 17
9 Topics
Study Notes: Gregory, Chapters Chapters 2, 3, 6, 7, 8, 11 & 17
Practice Question Set: Gregory, Chapters Chapters 2, 3, 6, 7, 8, 11 & 17
Instructional Video: Gregory, Chapter 2. Derivatives
Instructional Video: Gregory, Chapter 3. Counterparty Risk and Beyond
Instructional Video: Gregory, Chapter 6: Netting, Close-out and Related Aspects
Instructional Video: Gregory, Chapter 7. Margin (Collateral) and Settlement
Instructional Video: Gregory, Chapter 11. Future Value and Exposure
Instructional Video 1: Gregory, Chapter 17. Credit Value Adjustment (CVA)
Instructional Video 2: Gregory, Chapter 17. Credit Value Adjustment (CVA)
Siddique & Hasan, Stress Testing, Chapter 4
3 Topics
Study Notes: Siddique & Hasan, Chapter 4: The Evolution of Stress Testing Counterparty Exposures
Practice Question Set: Siddique & Hasan, Chapter 4: The Evolution of Stress Testing Counterparty Exposures
Instructional Video: Siddique & Hasan, Chapter 4: The Evolution of Stress Testing Counterparty Exposures
Choudhry, Structured Credit Products, Chapter 12
3 Topics
Study Notes: Choudhry, Chapter 12: An Introduction to Securitisation
Practice Question Set: Choudhry, Chapter 12: An Introduction to Securitisation
Instructional Video: Choudhry, Chapter 12: An Introduction to Securitisation
Credit Risk Measurement & Management Review
4 Topics
Learning Spreadsheets: P2.T6.b XLS Bundle
Learning Spreadsheets: P2.T6.a XLS Bundle
Learning Spreadsheets: P2.T6.c XLS Bundle
Learning Spreadsheets: P2.T6.d XLS Bundle
Operational & Integrated Risk Management
Chapter 1. Introduction to Operational Risk and Resilience
3 Topics
Study Notes: Chapter 1. Introduction to Operational Risk and Resilience
Practice Question Set: Chapter 1. Introduction to Operational Risk and Resilience
Instructional Video: Chapters 1, 2 & 3
Chapter 2. Risk Governance
2 Topics
Study Notes: Chapter 2. Risk Governance
Practice Question Set: Chapter 2. Risk Governance
Chapter 3. Risk Identification
2 Topics
Study Notes: Chapter 3. Risk Identification
Practice Question Set: Chapter 3. Risk Identification
Chapter 4. Risk Measurement and Assessment
3 Topics
Study Notes: Chapter 4. Risk Measurement and Assessment
Practice Question Set: Chapter 4. Risk Measurement and Assessment
Instructional Video: Chapters 4 & 6 Risk Measurement & Risk Reporting
Chapter 5. Risk Mitigation
3 Topics
Study Notes: Chapter 5. Risk Mitigation
Instructional Video: Chapter 5 & Chapter 7
Practice Question Set: Chapter 5. Risk Mitigation
Chapter 6. Risk Reporting
2 Topics
Study Notes: Chapter 6. Risk Reporting
Practice Question Set: Chapter 6. Risk Reporting
Chapter 7. Integrated Risk Management
2 Topics
Study Notes: Chapter 7: Integrated Risk Management
Practice Question Set: Chapter 7: Integrated Risk Management
Cyber-resilience: Range of practices
3 Topics
Study Notes: Cyber-resilience: Range of practices
Practice Question Set: Cyber-resilience: Range of practices
Instructional Video: Cyber-resilience: Range of practices & Chapter 9: Cyberthreats and Information Security Risks
Chapter 9. Case Study: Cyberthreats and Information Security Risks
2 Topics
Study Notes: Chapter 9. Case Study: Cyberthreats and Information Security Risks
Practice Question Set: Chapter 9. Case Study: Cyberthreats and Information Security Risks
Sound Management of Risks: Money Laundering and Financing of Terrorism
3 Topics
Study Notes: Sound Management of Risks: Money Laundering and Financing of Terrorism
Practice Question Set: Sound Management of Risks: Money Laundering and Financing of Terrorism
Instructional Video: Sound Management of Risks (ORR-10) and Case Study: Financial Crime & Fraud (ORR-11)
Chapter 11. Case Study: Financial Crime and Fraud
2 Topics
Study Notes: Chapter 11. Case Study: Financial Crime and Fraud
Practice Question Set: Chapter 11. Case Study: Financial Crime and Fraud
Guidance on Managing Outsourcing Risk
3 Topics
Study Notes: Guidance on Managing Outsourcing Risk
Practice Question Set: Guidance on Managing Outsourcing Risk
Instructional Video: Guidance on Managing Outsourcing Risk & Chapter 13 Case Study: Third-party Risk Management
Chapter 13. Case Study: Third-party Risk Management
1 Topic
Study Notes: Chapter 13. Case Study: Third-party Risk Management
Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities
2 Topics
Study Notes: Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities
Instructional Video: Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities
Supervisory Guidance on Model Risk Management
3 Topics
Study Notes: Supervisory Guidance on Model Risk Management
Practice Question Set: Supervisory Guidance on Model Risk Management
Instructional Video: Supervisory Guidance on Model Risk Management and Chapter 16. Case Study: Model Risk and Model Validation
Chapter 16. Case Study: Model Risk and Model Validation
1 Topic
Study Notes: Chapter 16. Case Study: Model Risk and Model Validation
Schuermann, Stress Testing Banks
3 Topics
Study Notes: Schuermann, Stress Testing Banks
Practice Question Set: Schuermann, Stress Testing Banks
Instructional Video: Schuermann, Stress Testing Banks
Crouhy, Essentials of Risk Management, Chapter 17
3 Topics
Study Notes: Crouhy, Chapter 17: Risk Capital Attribution and Risk-Adjusted Performance Measurement
Practice Question Set: Crouhy, Chapter 17: Risk Capital Attribution and Risk-Adjusted Performance Measurement
Instructional Video: Crouhy, Chapter 17: Risk Capital Attribution and Risk-Adjusted Performance Measurement
Range of Practices and Issues in Economic Capital Frameworks
3 Topics
Study Notes: Range of Practices
Practice Question Set: Range of Practices
Instructional Video: Range of Practices and Issues
Capital Planning at Large Bank Holding Companies
3 Topics
Study Notes: Capital Planning at Large Bank Holding Companies
Practice Question Set: Capital Planning at Large Bank Holding Companies
Instructional Video: Capital Planning at Large Bank Holding Companies
Carey, Capital Regulation Before the Global Financial Crisis
3 Topics
Study Notes: Carey, Capital Regulation Before the Global Financial Crisis
Practice Question Set: Carey, Capital Regulation Before the Global Financial Crisis
Instructional Video: Hull, Chapter 15 (Previous author/same content)
Carey, Solvency, Liquidity and Other Regulation After the Global Financial Crisis
3 Topics
Study Notes: Carey, Solvency, Liquidity and Other Regulation
Practice Question Set: Carey, Solvency, Liquidity and Other Regulation
Instructional Video: Hull, Chapter 16 (Previous author/same content)
High-level summary of Basel III reforms
3 Topics
Study Notes: High-level summary of Basel III reforms
Practice Question Set: High-level summary of Basel III reforms
Instructional Video: High-level summary of Basel III reforms
Basel III: Finalising post-crisis reforms
3 Topics
Study Notes: Basel III: Finalising post-crisis reforms
Practice Question Set: Basel III: Finalising post-crisis reforms
Instructional Video: Basel III: Finalising post-crisis reforms
Operational & Integrated Risk Management Review
3 Topics
Learning Spreadsheets: P2.T7.a XLS Bundle
Learning Spreadsheets: P2.T7.b XLS Bundle
Learning Spreadsheets: P2.T7.c XLS Bundle
Liquidity and Treasury Risk Measurement and Management
Hull, Risk Management and Financial Institutions, Chapter 24
3 Topics
Study Notes: Hull, RMFI, Chapter 24: Liquidity Risk
Practice Question Set: Hull, RMFI, Chapter 24: Liquidity Risk
Instructional Video: Hull, RMFI, Chapter 24: Liquidity Risk
Malz, Financial Risk Management: Models, History, and Institutions, Chapter 12
3 Topics
Study Notes: Malz, Chapter 12: Liquidity and Leverage
Practice Question Set: Malz, Chapter 12: Liquidity and Leverage
Instructional Video: Malz, Chapter 12: Liquidity and Leverage
Venkat, Liquidity Risk Management, Chapter 6: Early Warning Indicators
3 Topics
Study Notes: Venkat, Chapter 6: Early Warning Indicators
Practice Question Set: Venkat, Chapter 6: Early Warning Indicators
Instructional Video: Venkat, Chapter 6: Early Warning Indicators
Rose, Bank Management & Financial Services, Chapters 10 & 11
4 Topics
Study Notes: Rose, Bank Management & Financial Services, Chapter 10 & 11
Practice Question Set: Rose, Bank Management & Financial Services, Chapters 10 & 11
Instructional Video: Rose, Chapter 10: The Investment Function in Financial Services Management
Instructional Video: Rose, Chapter 11: Liquidity and Reserves Management: Strategies and Policies
Venkat, Liquidity Risk Management, Chapter 4
3 Topics
Study Notes: Venkat, Chapter 4: Intraday Liquidity Risk Management
Practice Question Set: Venkat, Chapter 4: Intraday Liquidity Risk Management
Instructional Video: Venkat, Chapter 4, Intraday Liquidity Risk Management
Castagna, Measuring and Managing Liquidity Risk, Chapter 6
3 Topics
Study Notes: Castagna, Chapter 6: Monitoring Liquidity
Practice Question Set: Castagna, Chapter 6: Monitoring Liquidity
Instructional Video: Castagna, Chapter 6: Monitoring Liquidity
Duffie, Failure Mechanics of Dealer Banks
3 Topics
Study Notes: Duffie, Failure Mechanics of Dealer Banks
Practice Question Set: Duffie, Failure Mechanics of Dealer Banks
Instructional Video: Duffie, Failure Mechanics of Dealer Banks
Venkat, Liquidity Risk Management, Chapter 3
3 Topics
Study Notes: Venkat, Chapter 3: Liquidity Stress Testing
Practice Question Set: Venkat, Chapter 3: Liquidity Stress Testing
Instructional Video: Venkat, Chapter 3: Liquidity Stress Testing
Choudhry, The Principles of Banking Institutions, Chapter 14
3 Topics
Study Notes: Choudhry, The Principles of Banking Institutions, Chapter 14 – Coming Soon
Practice Question Set: Choudhry, Chapter 14: Liquidity Risk Reporting and Stress Testing
Instructional Video: Choudhry, Chapter 14: Liquidity Risk Reporting and Stress Testing
Venkat, Liquidity Risk Management, Chapter 7
3 Topics
Study Notes: Venkat, Chapter 7: Contingency Funding Planning
Practice Question Set: Venkat, Chapter 7: Contingency Funding Planning
Instructional Video: Venkat, Liquidity Risk Management, Chapter 7
Rose, Bank Management & Financial Services, Chapters 12 & 13
4 Topics
Study Notes: Rose, Bank Management & Financial Services, Chapters 12 & 13
Practice Question Set: Rose, Bank Management & Financial Services, Chapters 12 & 13
Instructional Video: Rose, Bank Management & Financial Services, Chapter 12
Instructional Video: Rose, Bank Management & Financial Services, Chapter 13
Tuckman, Fixed Income Securities, Chapter 12
3 Topics
Study Notes: Tuckman, Chapter 12: Repurchase Agreements and Financing
Practice Question Set: Tuckman, Chapter 12: Repurchase Agreements and Financing
Instructional Video: Tuckman, Chapter 12: Repurchase Agreements and Financing
Grant, Liquidity Transfer Pricing: A Guide to Better Practice
3 Topics
Study Notes: Grant, Liquidity Transfer Pricing: A Guide to Better Practice
Practice Question Set: Grant, Liquidity Transfer Pricing: A Guide to Better Practice
Instructional Video: Grant, Liquidity Transfer Pricing: A Guide to Better Practice
McGuire, The US Dollar Shortage in Global Banking and the International Policy Response
2 Topics
Study Notes: McGuire, US Dollar Shortage in Global Banking
Practice Question Set: McGuire, US Dollar Shortage in Global Banking
Borio, Covered Interest Rate Parity Lost: Understanding the Cross-Currency Basis
2 Topics
Study Notes: Borio, Covered Interest Rate Parity Lost
Practice Question Set: Borio, Covered Interest Rate Parity Lost
Rose, Bank Management & Financial Services, Chapter 7
2 Topics
Study Notes: Rose, Chapter 7: Risk management for Changing Interest Rates
Practice Question Set: Rose, Chapter 7: Risk management for Changing Interest Rates
Ang, Asset Management, Chapter 13
3 Topics
Study Notes: Ang, Chapter 13: Illiquid Assets
Practice Question Set: Ang, Chapter 13: Illiquid Assets
Instructional Video: Ang, Chapter 13: Illiquid Assets
Risk Management & Investment Management
Ang, Asset Management, Chapter 6, 7 & 10
5 Topics
Study Notes: Ang, Chapters 6, 7 & 10
Practice Question Set: Ang, Chapters 6, 7 & 10
Instructional Video: Ang, Chapter 6: Factor Theory
Instructional Video: Ang, Chapter 7: Factors
Instructional Video: Ang, Chapter 10: Alpha (and the Low-Risk Anomaly)
Grinold, Active Portfolio Management, Chapter 14
3 Topics
Study Notes: Grinold, Chapter 14: Portfolio Construction
Practice Question Set: Grinold, Chapter 14: Portfolio Construction
Instructional Video: Grinold, Chapter 14
Jorion, Value-at-Risk, Chapters 7 & 17
4 Topics
Study Notes: Jorion, Chapters 7 & 17
Practice Question Set: Jorion, Chapters 7 & 17
Instructional Video: Jorion, Chapter 7
Instructional Video: Jorion, Chapter 17
Litterman, Modern Investment Management, Chapter 17
3 Topics
Study Notes: Litterman, Chapter 17: Risk Monitoring and Performance Measurement
Practice Question Set: Litterman, Chapter 17: Risk Monitoring and Performance Measurement
Instructional Video: Litterman, Chapter 17: Risk Monitoring and Performance Measurement
Bodie, Investments, Chapter 24
3 Topics
Study Notes: Bodie, Chapter 24: Portfolio Performance Evaluation
Practice Question Set: Bodie, Chapter 24: Portfolio Performance Evaluation
Instructional Video: Bodie, Chapter 24
Constantinides, Handbook of the Economics of Finance, Chapter 17
2 Topics
Study Notes: Constantinides, Chapter 17: Hedge Funds
Practice Question Set: Constantinides, Chapter 17: Hedge Funds
Mirabile, Hedge Fund Investing, Chapter 12
2 Topics
Study Notes: Mirabile, Chapter 12: Performing Due Diligence on Specific Managers and Funds
Practice Question Set: Mirabile, Chapter 12: Performing Due Diligence on Specific Managers and Funds
Dimmock and Gerken: Finding Bernie Madoff: Detecting Fraud by Investment Managers
2 Topics
Study Notes: Dimmock and Gerken: Finding Bernie Madoff: Detecting Fraud by Investment Managers
Practice Question Set: Dimmock and Gerken: Finding Bernie Madoff: Detecting Fraud by Investment Managers
Current Issues In Financial Markets
“2023 Bank Failures, Preliminary lessons learnt for resolution”, FSB, October 2023
”Generative Artificial Intelligence in Finance: Risk Considerations”, IMF, August 2023
BIS Annual Economic Report, Section 3. Artificial intelligence and the economy: implications for central banks, June 2024
“Interest Rate Risk Management by EME Banks”, BIS Quarterly Review, September 2023
BIS Annual Economic Report, Section 1. Laying a robust macro-financial foundation for the future, June 2024
”The Last Mile: Financial Vulnerabilities and Risks, Chapter 2: The Rise and Risks of Private Credit”, IMF Global Financial Stability Report, April 2024
BIS Annual Economic Report, Section 2: Monetary and fiscal policy: safeguarding stability and trust, June 2023
”Regulating the Crypto Ecosystem: The Case of Unbacked Crypto Assets”, IMF Fintech Notes, September 2022
Martinez et. al., “Digital Resilience and Financial Stability. The Quest for Policy Tools in The Financial Sector”
1 Topic
Study Notes: Digital Resilience and Financial Stability
PART II REVIEW
Part 2 Practice Question Review
Formula Sheets
1 Topic
Part 2 Formula Sheet
Interactive Mock Exam
1 Quiz
Part 2 Full Length Interactive Mock Exam 1
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