2009 FRM Study Guide

[Sunil Natarajan]

Dear David,

Just glanced through the FRM 2009 Study Guidelines.
The good thing is that major basic and fundamental readings have been added in FRM 2009 curriculum (basics on VaR etc). In Quant they have added 2 readings on continuous distributions & discrete distributions. Considering one or two questions were asked in FRM 2008 on binomial distribution & poisson distributions. Was surprised that they removed readings of Willmot on VaR, considering he is one of the best in this field. I would love to hear your views on this.

David I feel they should also incorporate some readings regarding risk management in Insurance companies (say Solvency-II norms) considering big insurance companies like AIG have also taken a beating in this crisis.

I think for the first time they have added readings of Fixed Income instruments by Frank.Fabozzi. Is GARP following CFA Institute ways as Fabozzi's reading is part of the CFA curriculum.

Iam surprised they have also removed readings on Credit derivatives by Gunter under Credit Risk. Good they have added readings on Mortgage Backed Securities and bonds with embedded options.

Really good they have dropped some readings of Rene Stulz which were really confusing.

Would like to hear your views on the same.


Regards,
Sunil

 

[David Harper CFA FRM]

Hi Sunil,

Interesting observations (I posted mine here). I agree with you that it is good that "major basic and fundamental readings have been added:" that was a key part of my f/back to GARP. I think probably they heard, loud and clear, that moderate/advanced readings need to be setup with basic readings.

Regarding Wilmott, I admire him, but last year was only the one chapter (plus Appendix) and I felt it was insufficient (e.g., a paragraph on Monte Carlo). So, I had suggested this be dropped and I am glad because it has been replaced by more in-depth readings.

I totally agree about insurance. Maybe a bit related, it seems to me that EVT has been dropped altogether (?), which was only briefly in the Wilmott but much too brief. So far, I find EVT, counterparty risk and arguably ERM a bit wanting.

I had recommended Fabozzi, so am glad to see him, and i had requested to the inclusion of embedded-options.

"Surprised they have also removed readings on Credit derivatives by Gunter under Credit Risk" True, me too surprised, however it has generally been replaced by additional Culp chapters (and these are very strong readings, IMO).

Re Stulz, yes I had requested that for two years b/c they were the most confusing chapters to candidates, so I am grateful that those Chapters have been dropped.

Overall, I liked the decisions (of course, since many but hardly all of my recommendations were incorporated). My initial reaction, as i've taken a closer look is: the total exam is larger. (Much?) more has been added than subtracted.

Thanks for your thoughts, David