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Bodie, Investments, Chapter 24

FRM® Part 2 Basic Bodie, Investments, Chapter 24
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Study Notes: Bodie, Chapter 24: Portfolio Performance Evaluation
Practice Question Set: Bodie, Chapter 24: Portfolio Performance Evaluation
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Market Risk Measurement & Management
Dowd, Measuring Market Risk, Chapters 3, 4 & 7
2 Topics
Study Notes: Dowd, Chapters 3, 4 & 7
Practice Question Set: Dowd, Chapters 3, 4 & 7
Jorion, Value-at-Risk, Chapters 6 & 11
2 Topics
Study Notes: Jorion, Chapters 6 & 11
Practice Question Set: Jorion Chapters 6 & 11
Messages from the Academic Literature
2 Topics
Study Notes: Messages: Risk Measurement for the Trading Book
Practice Question Set: Messages: Risk Measurement for the Trading Book
Meissner, Correlation Risk Modeling and Management, Chapters 1, 2 & 5
2 Topics
Study Notes: Meissner, Chapters 1, 2 & 5
Practice Question Set: Meissner, Chapters 1, 2 & 5
Tuckman, Income Securities, Chapters 6, 7, 8, 9 & 10
2 Topics
Study Notes: Tuckman, Chapters 6, 7, 8, 9 & 10
Practice Question Set: Tuckman, Chapters 6, 7, 8, 9 & 10
Hull, Options, Futures, and Other Derivatives, Chapter 20: Volatility Smiles
2 Topics
Study Notes: Hull, Chapter 20: Volatility Smiles
Practice Question Set: Hull, Chapter 20: Volatility Smiles
Hull, Risk Management, Chapter 18: Fundamental Review of the Trading Book
2 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
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
2 Topics
Study Notes: Bouteille et. al, Chapters 1 & 2
Practice Questions: Bouteille et. al, Chapters 1 & 2
van Greuning et. al, Analyzing Banking Risk, Chapter 7
2 Topics
Study Notes: van Greuning et. al, Chapter 7
Practice Questions: van Greuning et. al, Chapter 7
Schroeck, Chapter 5. Capital Structure in Banks
2 Topics
Study Notes: Schroeck, Chapter 5: Capital Structure in Banks
Practice Question Set: Schroeck, Chapter 5: Capital Structure in Banks
Doumpos et al., Analytical Techniques in the Assessment of Credit Risk, Chapters 1 & 2
2 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
Crouhy, Essentials of Risk Management, Chapter 9
2 Topics
Study Notes: Crouhy, Chapter 9
Practice Question Set: Crouhy, Chapter 9
Damodaran, Country Risk: Determinants, Measures, and Implications
2 Topics
Study Notes: Damodaran, Country Risk: Determinants, Measures, and Implications
Practice Questions: Damodaran, Country Risk: Determinants, Measures, and Implications
Hull, Risk Management and Financial Institutions, Chapters 17 & 19
2 Topics
Study Notes: Hull, Risk Management and Financial Institutions, Chapters 17 & 19
Practice Questions: Hull, Risk Management and Financial Institutions, Chapters 17 & 19
Malz, Financial Risk Management, Chapters 8 & 9
2 Topics
Study Notes: Malz, Chapters 8 & 9
Practice Question Set: Malz, Chapters 8 & 9
Hull, Options, Futures, and Other Derivatives, Chapters 24 & 25
2 Topics
Study Notes: Hull, Options, Futures, and Other Derivatives, Chapters 24 & 25
Practice Questions: Hull, Options, Futures, and Other Derivatives, Chapters 24 & 25
Gregory, The xVA Challenge, Chapters 2, 3, 6, 7, 8, 11 & 17
2 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
Siddique & Hasan, Stress Testing, Chapter 4
2 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
Choudhry, Structured Credit Products, Chapter 12
2 Topics
Study Notes: Choudhry, Chapter 12: An Introduction to Securitisation
Practice Question Set: Choudhry, Chapter 12: An Introduction to Securitisation
Credit Risk Measurement & Management Review
4 Topics
Learning Spreadsheets: P2.T6.a XLS Bundle
Learning Spreadsheets: P2.T6.b 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
2 Topics
Study Notes: Chapter 1. Introduction to Operational Risk and Resilience
Practice Question Set: Chapter 1. Introduction to Operational Risk and Resilience
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
2 Topics
Study Notes: Chapter 4. Risk Measurement and Assessment
Practice Question Set: Chapter 4. Risk Measurement and Assessment
Chapter 5. Risk Mitigation
2 Topics
Study Notes: Chapter 5. Risk Mitigation
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
2 Topics
Study Notes: Cyber-resilience: Range of practices
Practice Question Set: Cyber-resilience: Range of practices
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
2 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
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
2 Topics
Study Notes: Guidance on Managing Outsourcing Risk
Practice Question Set: Guidance on Managing Outsourcing Risk
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
1 Topic
Study Notes: Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities
Supervisory Guidance on Model Risk Management
2 Topics
Study Notes: Supervisory Guidance on Model Risk Management
Practice Question Set: Supervisory Guidance on Model Risk Management
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
2 Topics
Study Notes: Schuermann, Stress Testing Banks
Practice Question Set: Schuermann, Stress Testing Banks
Crouhy, Essentials of Risk Management, Chapter 17
2 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
Range of Practices and Issues in Economic Capital Frameworks
2 Topics
Study Notes: Range of Practices
Practice Question Set: Range of Practices
Capital Planning at Large Bank Holding Companies
2 Topics
Study Notes: Capital Planning at Large Bank Holding Companies
Practice Question Set: Capital Planning at Large Bank Holding Companies
Carey, Capital Regulation Before the Global Financial Crisis
2 Topics
Study Notes: Carey, Capital Regulation Before the Global Financial Crisis
Practice Question Set: Carey, Capital Regulation Before the Global Financial Crisis
Carey, Solvency, Liquidity and Other Regulation After the Global Financial Crisis
2 Topics
Study Notes: Carey, Solvency, Liquidity and Other Regulation
Practice Question Set: Carey, Solvency, Liquidity and Other Regulation
High-level summary of Basel III reforms
2 Topics
Study Notes: High-level summary of Basel III reforms
Practice Question Set: High-level summary of Basel III reforms
Basel III: Finalising post-crisis reforms
2 Topics
Study Notes: Basel III: Finalising post-crisis reforms
Practice Question Set: 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
2 Topics
Study Notes: Hull, RMFI, Chapter 24: Liquidity Risk
Practice Question Set: Hull, RMFI, Chapter 24: Liquidity Risk
Malz, Financial Risk Management: Models, History, and Institutions, Chapter 12
2 Topics
Study Notes: Malz, Chapter 12: Liquidity and Leverage
Practice Question Set: Malz, Chapter 12: Liquidity and Leverage
Venkat, Liquidity Risk Management, Chapter 6: Early Warning Indicators
2 Topics
Study Notes: Venkat, Chapter 6: Early Warning Indicators
Practice Question Set: Venkat, Chapter 6: Early Warning Indicators
Rose, Bank Management & Financial Services, Chapters 10 & 11
2 Topics
Study Notes: Rose, Bank Management & Financial Services, Chapter 10 & 11
Practice Question Set: Rose, Bank Management & Financial Services, Chapters 10 & 11
Venkat, Liquidity Risk Management, Chapter 4
2 Topics
Study Notes: Venkat, Chapter 4: Intraday Liquidity Risk Management
Practice Question Set: Venkat, Chapter 4: Intraday Liquidity Risk Management
Castagna, Measuring and Managing Liquidity Risk, Chapter 6
2 Topics
Study Notes: Castagna, Chapter 6: Monitoring Liquidity
Practice Question Set: Castagna, Chapter 6: Monitoring Liquidity
Duffie, Failure Mechanics of Dealer Banks
2 Topics
Study Notes: Duffie, Failure Mechanics of Dealer Banks
Practice Question Set: Duffie, Failure Mechanics of Dealer Banks
Venkat, Liquidity Risk Management, Chapter 3
2 Topics
Study Notes: Venkat, Chapter 3: Liquidity Stress Testing
Practice Question Set: Venkat, Chapter 3: Liquidity Stress Testing
Choudhry, The Principles of Banking Institutions, Chapter 14
2 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
Venkat, Liquidity Risk Management, Chapter 7
2 Topics
Study Notes: Venkat, Chapter 7: Contingency Funding Planning
Practice Question Set: Venkat, Chapter 7: Contingency Funding Planning
Rose, Bank Management & Financial Services, Chapters 12 & 13
2 Topics
Study Notes: Rose, Bank Management & Financial Services, Chapters 12 & 13
Practice Question Set: Rose, Bank Management & Financial Services, Chapters 12 & 13
Tuckman, Fixed Income Securities, Chapter 12
2 Topics
Study Notes: Tuckman, Chapter 12: Repurchase Agreements and Financing
Practice Question Set: Tuckman, Chapter 12: Repurchase Agreements and Financing
Grant, Liquidity Transfer Pricing: A Guide to Better Practice
2 Topics
Study Notes: Grant, Liquidity Transfer Pricing: A Guide to Better Practice
Practice Question Set: 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
2 Topics
Study Notes: Ang, Chapter 13: Illiquid Assets
Practice Question Set: Ang, Chapter 13: Illiquid Assets
Risk Management & Investment Management
Ang, Asset Management, Chapter 6, 7 & 10
2 Topics
Study Notes: Ang, Chapters 6, 7 & 10
Practice Question Set: Ang, Chapters 6, 7 & 10
Grinold, Active Portfolio Management, Chapter 14
2 Topics
Study Notes: Grinold, Chapter 14: Portfolio Construction
Practice Question Set: Grinold, Chapter 14: Portfolio Construction
Jorion, Value-at-Risk, Chapters 7 & 17
2 Topics
Study Notes: Jorion, Chapters 7 & 17
Practice Question Set: Jorion, Chapters 7 & 17
Litterman, Modern Investment Management, Chapter 17
2 Topics
Study Notes: Litterman, Chapter 17: Risk Monitoring and Performance Measurement
Practice Question Set: Litterman, Chapter 17: Risk Monitoring and Performance Measurement
Bodie, Investments, Chapter 24
2 Topics
Study Notes: Bodie, Chapter 24: Portfolio Performance Evaluation
Practice Question Set: Bodie, Chapter 24: Portfolio Performance Evaluation
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
Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank
1 Topic
Study Notes: Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank
The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation
1 Topic
Study Notes: The Credit Suisse CoCo Wipeout
“Artificial Intelligence and Bank Supervision”, Federal Reserve Bank
1 Topic
Study Notes: Artificial Intelligence and Bank Supervision
Fritz-Morgenthal et al., “Financial Risk Management and Explainable, Trustworthy, Responsible AI”
1 Topic
Study Notes: Financial Risk Management and Explainable, Trustworthy, Responsible AI
“Artificial Intelligence Risk Management Framework”, National Institute of Standards and Technology
1 Topic
Study Notes: Artificial Intelligence Risk Management Framework
“Climate-related risk drivers and their transmission channels”, BIS
2 Topics
Study Notes: “Climate-related risk drivers and their transmission channels”, BIS
Practice Question Set: “Climate-related risk drivers and their transmission channels”, BIS
Climate- related financial risks – measurement methodologies
1 Topic
Study Notes: Climate-related financial risks – measurement methodologies
Principles for the effective management and supervision of climate-related financial risks
1 Topic
Study Notes: Principles for the effective management and supervision of climate-related financial risks
“The Crypto Ecosystem: Key Elements and Risks,” BCBS
1 Topic
Study Notes: The Crypto Ecosystem: Key Elements and Risks
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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