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Chapter 5. Risk Mitigation

FRM® Part 2 Basic Chapter 5. Risk Mitigation

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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

1 Topic

Study Notes: 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

1 Topic

Study Notes: Chapter 5. Risk Mitigation

Chapter 6. Risk Reporting

1 Topic

Study Notes: Chapter 6. Risk Reporting

Chapter 7. Integrated Risk Management

1 Topic

Study Notes: 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

1 Topic

Study Notes: 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

1 Topic

Study Notes: 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

1 Topic

Part 2 Formula Sheet

Interactive Mock Exam

1 Quiz

Part 2 Full Length Interactive Mock Exam 1

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