I just finished reviewing the 2012 Part 2 (L2) AIMs (actually, Suzanne did the hard work). On a numerical basis, there is material change in the assignments: ~ 20 readings have been deleted and ~17 readings have been added.
However, this overstates the substance of the change: in some cases, readings have been swapped against essentially similar AIMs. Nevertheless, where P1 was largely unchanged from 2011 to 2012, we can say that P2 experiences modest change. In detail:
T5. Market Risk. Topics are UNCHANGED but "Mortgages and mortgage-backed securities (MBS)" is elevated to top-level status. The churn here entirely concerns MBS.
Deleted:
Deleted:
Deleted:
However, I think you still want to be familiar with IRC. It remains timely; e.g., see Is Basel 2.5 hitting the bond market? And, further, IRC is discussed in the assignment "Revisions to the Basel II market risk framework"
T8. Investment. Topics are UNCHANGED, but there is significant churn in the reading assignments (i.e., portfolio performance, hedge funds, private equity, Madoff)
Four Deleted:
Deleted:
However, this overstates the substance of the change: in some cases, readings have been swapped against essentially similar AIMs. Nevertheless, where P1 was largely unchanged from 2011 to 2012, we can say that P2 experiences modest change. In detail:
T5. Market Risk. Topics are UNCHANGED but "Mortgages and mortgage-backed securities (MBS)" is elevated to top-level status. The churn here entirely concerns MBS.
Deleted:
- Two MBS Chapters (Tuckman Chapter 21 and Fabozzi Chapter 31). Replaced by chapter in well-regarded Veronesi text and three chapters in a different Fabozzi text (below).
- Pietro Veronesi, Fixed Income Securities. One Chapter Added: Basics of Residential Mortgage Backed Securities (Chapter 8)
- Fabozzi, Bhattacharya, William Berliner, Mortgage Backed Securities (2nd Edition). Three Chapters Added: Overview of Mortgages and the Consumer Mortgage Market (Chapter 1); Overview of the Mortgage-Backed Securities Market (Chapter 2); and Techniques for Valuing MBS (Chapter 10)
Deleted:
- Darrell Duffie, “Innovations in Credit Risk Transfer: Implications for Financial Stability”
- Basel Committee: Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research
- Eduardo Canabarro, “Pricing and Hedging Counterparty Risk: Lessons Re-Learned?” (September 2009).
Deleted:
- Hong et al, “Using approximate results for validating value-at-risk,” The Journal of Risk Model Validation. (Largely irrelevant as this was barely testable).
- Philippe Carrel, The Handbook of Risk Management. Four Chapters Added: Liquidity, the Ultimate Operational Risk (Chapter 16); Analyzing and Measuring Liquidity Risk (Chapter 17); Funding Risk (Chapter 18); Managing and Mitigating Liquidity Risks (Chapter 19).
However, I think you still want to be familiar with IRC. It remains timely; e.g., see Is Basel 2.5 hitting the bond market? And, further, IRC is discussed in the assignment "Revisions to the Basel II market risk framework"
T8. Investment. Topics are UNCHANGED, but there is significant churn in the reading assignments (i.e., portfolio performance, hedge funds, private equity, Madoff)
Four Deleted:
- Grinold, Active Portfolio Management, Performance Analysis (Chapter 17). This is a relief, this is a time-consuming and complex chapter that few will miss!
- Lars Jaeger, Individual Hedge Fund Strategies (Chapter 5). This will remain a strong and relevant reading; you will not waste time to keep this in your library. It is an excellent overview of the strategies.
- Stephen Dimmock and William Gerken, “Finding Bernie Madoff: Detecting Fraud by Investment Managers.”
- Steven N. Kaplan and Per Stromberg, 2009. “Leveraged Buyouts and Private Equity”
- Bodie, Kane, and Marcus, Investments, 9th Edition. Portfolio Performance Evaluation (Chapter 24)
- David P. Stowell, An Introduction to Investment Banks, Hedge Funds, and Private Equity (Academic Press, 2010). Three Chapters: Overview of Hedge Funds (Chapter 11); Hedge Fund Investment Strategies (Chapter 12); Overview of Private Equity (Chapter 16).
I recommended this book, I think it's great! - Greg N. Gregoriou and Franciois-Serge Lhatant, “Madoff: A Riot of Red Flags,” December, 2008.
Deleted:
- Gary Gorton, “The Panic of 2007" (still useful)
- Raghuram Rajan, “Has Financial Development Made The World Riskier?” (fine but theoretical)
- Carmen Reinhart and Kenneth Rogoff, “This Time is Different: A Panoramic View of Eight Centuries of Financial Crises.” (an important, timely and oft-referenced paper, largely summarizing the book. However, time-consuming and difficult to test)
- Bennett Golub and Conan Crum, “Risk Management Lessons Worth Remembering from the Credit Crisis of 2007-2009,” (October 2009).
- “Findings Regarding the Market Events of May 6, 2010, (Executive Summary)” Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues (September 2010).
- “Interpreting sovereign spreads,” BIS Quarterly Review, March 2007.
- “Making Over-the-Counter Derivatives Safer: The Role of Central Counterparties.” IMF Global Financial Stability Report, April 2010, Chapter 3
- “FSF Principles for Sound Compensation Practices,” Financial Stability Forum, April 2009. (won't be missed. Generic principles, very hard to test)
- Brunnermeier, “Deciphering the Liquidity and Credit Crunch 2007-2008.” Journal of Economic Perspectives, 2009. (still useful)
- Examiner’s Report on Lehman, Appendix 8 (pages 1–49).
- All are new except reading 69, including Arthur M. Berd (editor), Lessons From the Financial Crisis (London: Risk Books, 2010).
Three Chapters: The Collapse of the Icelandic Banking System (Chapter 4); Measuring and Managing Risk in Innovative Financial Instruments, by Stuart M. Turnbull (Chapter 9); Active Risk Management: A Credit Investor’s Perspective, by Vineer Bhansali (Chapter 20).
I can't open those files...
