FRM Exam Part II Study Plan (Nov 2022)

▼ Lesson 1: Value at Risk (VaR) (6 Readings)

A. [MR-1] Kevin Dowd, Chapter 3. Estimating Market Risk Measures: An

Introduction and Overview
B. [MR-2] Kevin Dowd, Chapter 4. Non-parametric Approaches
C. [MR-3] Philippe Jorion, Chapter 6. Backtesting VaR
D. [MR-4] Philippe Jorion, Chapter 11. VaR Mapping
E. [MR-5] Messages from the academic literature on risk measurement
for the trading book, Basel Committee on Banking Supervision, Working
Paper, No. 19, Jan2011.
F. [CI-1] Aziz, S. and M. Dowling, Machine Learning and AI for Risk
Management
▼ Lesson 2: Correlation Risk, Volatility Smiles (6 Readings)

A. [MR-3] Kevin Dowd, Chapter 7. Parametric Approaches (II): Extreme Value

B. [MR-7] Gunter Meissner, Chapter 1. Some Correlation Basics:
Properties, Motivation, Terminology
C. [MR-8] Gunter Meissner, Chapter 2. Empirical Properties of
 Correlation: How DoCorrelations Behave in the Real World?
D. [MR-9] Gunter Meissner, Chapter 4. Financial Correlation Modeling—
Bottom-Up Approaches (Sections 4.3.0 (intro), 4.3.1, and 4.3.2 only)
E. [MR-15] John C. Hull, Chapter 20. Volatility Smiles
F. [CI-2] Artificial Intelligence Risk & Governance, Artificial
Intelligence/Machine Learning Risk & Security Working Group (AIRS)

▼ Lesson 3: Term Structure Models (6 Readings)

A. [MR-10] Bruce Tuckman and Angel Serrat, Chapter 6. Empirical

Approaches to Risk Metrics and Hedging
B. [MR-11] Bruce Tuckman and Angel Serrat, Chapter 7. The Science of Term
Structure Models
C. [MR-12] Bruce Tuckman and Angel Serrat, Chapter 8. The Evolution of
Short Ratesand the Shape of the Term Structure
D. [MR-13] Bruce Tuckman and Angel Serrat, Chapter 9. The Art of Term
Structure Models: Drift
E. [MR-14] Bruce Tuckman and Angel Serrat, Chapter 10. The Art of Term
Structure Models: Volatility and Distribution
F. [CI-3] Covid-19 and cyber risk in the financial sector, BIS Bulletin No
37, January2021.

▼ Lesson 4: Credit Risk (Introduction), Credit Derivatives (6 Readings)

A. [CR-1] Jonathan Golin and Philippe Delhaise, Chapter 1. The Credit

Decision
B. [CR-2] Jonathan Golin and Philippe Delhaise, Chapter 2. The Credit
Analyst
C. [CR-3] Gerhard Schroeck, Chapter 5. Capital Structure in Banks (pages
170-186 only)
D. [CR-4] Giacomo De Laurentis, Renato Maino, and Luca Molteni, Chapter 3.
Ratings Assignment Methodologies
E. [CR-15] Michel Crouhy, Dan Galai and Robert Mark, Chapter 9. Credit
Scoring and Retail Credit Risk Management
F. [CR-16] Michel Crouhy, Dan Galai and Robert Mark, Chapter 12. The
Credit Transfer Markets-and Their Implications
▼ Lesson 5: Credit Risk Modeling (6 Readings)

A. [CR-5] René Stulz, Chapter 18. Credit Risks and Credit

Derivatives
B. [CR-6] Allan Malz, Chapter 7. Spread Risk and Default Intensity Models
C. [CR-7] Allan Malz, Chapter 8. Portfolio Credit Risk (Sections 8.1, 8.2, 8.3
only)
D. [CI-4] Holistic Review of the March Market Turmoil, (International
Monetary Fund(IMF), Chapters 1-4, FSB, 17 November 2020.
E. [CI-6] Schrimpf and Sushko, Beyond LIBOR: a primer on the new benchmark
rates,
BIS Quarterly Review, March 5, 2019 (24 pp.)
F. [CI-5] LIBOR transition Case studies for navigating conduct risks, FMSB,
June 2020(26 pp.)

▼ Lesson 6: Counterparty Credit Risk (7 Readings)

A. [CR-9] Jon Gregory, Chapter 3. Counterparty Risk and Beyond

B. [CR-10] Jon Gregory, Chapter 6. Netting, Close-out and Related Aspects
C. [CR-11] Jon Gregory, Chapter 7. Margin (Collateral) and Settlement
D. [CR-12] Jon Gregory, Chapter 11. Future Value and Exposure
E. [CR-13] Jon Gregory, Chapter 17. CVA
F. [OR-23] John C. Hull, Chapter 17. Regulation of the OTC Derivatives
Market
G. [CR-14] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 4. The
Evolution of Stress Testing Counterparty Exposures

▼ Lesson 7: Structured Credit Risk (5 Readings)

A. [CR-17] Moorad Choudhry, Chapter 12. An Introduction to

Securitization
B. [CR-8] Allan Malz, Chapter 9. Structured Credit Risk
C. [CR-18] Adam Ashcraft and Til Schuermann, Understanding the
Securitization of Subprime Mortgage Credit, Federal Reserve Bank of
New York Staff Reports, No. 318(March 2008).
D. [CI-7] Climate-related risk drivers and their transmission channels, BIS,
April 2021.
E. [CI-8] Tobias Adrian and Tommaso Mancini-Griffoli, The Rise of digital
 money, IMF, July2019.

▼ Lesson 8: Operational Risk, Model Risk (6 Readings)

A. [OR-1] Principles for the Sound Management of Operational Risk, (Basel

Committeeon Banking Supervision Publication, June 2011).
B. [OR-7] Marcelo G. Cruz, Gareth W. Peters, and Pavel V. Shevchenko,
Chapter 2: OpRisk Data and Governance
C. [OR-9] Anthony Tarantino and Deborah Cernauskas, Chapter 3. Information
Risk and Data Quality Management
D. [OR-8] “Supervisory Guidance on Model Risk Management”,
Federal DepositInsurance Corporation , (June 7, 2017).
E. [OR-11] Allan Malz, Chapter 11. Section 11.1. Assessing the Quality of
Risk Measures
F. [OR-10] Giacomo De Laurentis, Renato Maino, Luca Molteni, Chapter 5.
Validating Rating Models

▼ Lesson 9: Integrated Risk Management (7 Readings)

A. [OR-2] Brian Nocco and René Stulz, Enterprise Risk Management: Theory
and Practice, Journal of Applied Corporate Finance 18, No. 4 (2006).
B. [OR-3] James Lam, What is ERM?,
C. [OR-4] Implementing Robust Risk Appetite Frameworks to Strengthen
Financial Institutions, Institute of International Finance, June 2011.
D. [OR-5] Banking Conduct and Culture: A Permanent Mindset Change, G30
Working Group, 2018.
E. [OR-6] Alessandro Carretta, Franco Fiordelis and Paola Schwizer, Risk
Culture in Banking, (Palgrave Macmillan, 2017).
F. [OR-12] Michel Crouhy, Dan Galai and Robert Mark, Chapter 17. Risk
Capital Attribution and Risk-Adjusted Performance Measurement
G. [OR-13] Range of practices and issues in economic capital frameworks,
(Basel Committee on Banking Supervision Publication, March 2009).
▼ Lesson 10: Regulation, Basel, Capital (6 Readings)

A. [OR-19] Mark Carey, “Capital Regulation Before the Global Financial

Crisis”, (GARP Risk Institute, April 2019).
B. [OR-20] Mark Carey, “Solvency, Liquidity and Other Regulation After
the Global Financial Crisis”, (GARP Risk Institute, April 2019).
C. [OR-22] Basel III: Finalising post-crisis reforms, (Basel Committee
on BankingSupervision Publication, December 2017): 128–136.
D. [OR-24] John C. Hull, Chapter 17. Fundamental Review of the Trading
Book
E. [OR-25] High-level summary of Basel III reforms, (Basel Committee
on BankingSupervision Publication, December 2017).
F. [OR-13] Capital Planning at Large Bank Holding Companies:
Supervisory Expectations and Range of Current Practice, Board of
Governors of the FederalReserve System, August 2013.

▼ Lesson 11: Miscellaneous, Operational Resiliency (8 Readings)

A. [OR-15] Stress Testing Banks, Til Schuermann, prepared for the

Committee on Capital Market Regulation, Wharton Financial Institutions
Center (April 2012).
B. [OR-16] Guidance on Managing Outsourcing Risk, Board of Governors of
the Federal Reserve System, December 2013.
C. [OR-17] Mark Carey, “Management of Risks Associated with Money
Laundering and Financing of Terrorism,”, (GARP Risk Institute,
February 2019).
D. [OR-23] Andrew Coburn, Eireann Leverett and Gordon Woo, Chapter 8:
The Cyber- Resilient Organization
E. [OR-24] Cyber-resilience: Range of practices (Basel Committee on Banking
Supervision Publication, December 2018).
F. [OR-26] Principles for Operational Resilience, (Basel Committee
on BankingSupervision Publication, March 2021).
G. [OR-25] Operational resilience: Impact tolerance for important
business services, (Bank of England Policy Statement 6/21, March 2021)
(Include Appendix 2 and 3).
H. [OR-27] Striving for Operational Resilience: The Questions Boards
and Senior Management Should Ask, (Oliver Wyman, 2019).
▼ Lesson 12: Liquidity and Treasury Risk (I) (6 Readings)

A. [LTR-1] John C. Hull, Chapter 24. Liquidity Risk

B. [LTR-2] Allan Malz, Chapter 12. Liquidity and Leverage
C. [LTR-19] Andrew Ang, Chapter 13. Illiquid Assets
D. [LTR-12] Peter Rose, Sylvia Hudgins, Chapter 12. Managing and Pricing
Deposit Services
E. [LTR-13] Peter Rose, Sylvia Hudgins, Chapter 13. Managing Nondeposit
Liabilities
F. [LTR-14] Bruce Tuckman, Angel Serrat, Chapter 12. Repurchase
Agreements and Financing

▼ Lesson 13: Liquidity and Treasury Risk (II) (6 Readings)

A. [LTR-4] Peter Rose, Sylvia Hudgins, Chapter 10. The Investment

Function in Financial-Services Management
B. [LTR-18] Peter Rose, Sylvia Hudgins, Chapter 7. Risk Management for
Changing Interest Rates: Asset-Liability Management and Duration
Techniques
C. [LTR-5] Peter Rose, Sylvia Hudgins, Chapter 11. Liquidity and Reserves
Management: Strategies and Policies
D. [LTR-7] Antonio Castagna, Francesco Fede, Chapter 11. Monitoring Liquidity
E. [LTR-3] Shyam Venkat, Stephen Baird, Chapter 6. Early Warning
Indicators
F. [LTR-9] Shyam Venkat, Stephen Baird, Chapter 3. Liquidity Stress
Testing

▼ Lesson 14: Liquidity and Treasury Risk (III) (7 Readings)

A. [LTR-10] Moorad Choudhry, Chapter 14. Liquidity Risk Reporting and Stress
Testing
B. [LTR-11] Shyam Venkat, Stephen Baird, Chapter 7. Contingency Funding
Planning
C. [LTR-6] Shyam Venkat, Stephen Baird, Chapter 4. Intraday Liquidity
Risk Management
D. [LTR-8] Darrell Duffie, The Failure Mechanics of Dealer Banks, Journal
of EconomicPerspectives 24:1, 51-72.
E. [LTR-17] Claudio Borio, Robert McCauley, Patrick McGuire, Vladyslav
 Sushko, Covered Interest Rate Parity Lost: Understanding the Cross-
Currency Basis, BIS QuarterlyReview, 2016.
F. [LTR-16] Patrick McGuire, Gotz von Peter, The US Dollar Shortage in
Global Banking and the International Policy Response,, BIS Working
Papers, Bank for International Settlements, 2009.
G. [LTR-15] Joel Grant, Liquidity Transfer Pricing: A Guide to Better
Practice, Occasional Paper, Financial Stability Board, Bank for
International Settlements, 2011.

▼ Lesson 15: Investment Management (I) (5 Readings)

A. [IM-1] Andrew Ang, Chapter 6. Factor Theory

B. [IM-2] Andrew Ang, Chapter 7. Factors
C. [IM-3] Andrew Ang, Chapter 10. Alpha (and the Low-Risk Anomaly)
D. [IM-5] Philippe Jorion, Chapter 7. Portfolio Risk: Analytical Methods
E. [IM-7] Robert Litterman and the Quantitative Resources Group, Chapter 17.
Risk Monitoring and Performance Measurement

▼ Lesson 16: Investment Management (II) (6 Readings)

A. [IM-6] Philippe Jorion, Chapter 17. VaR and Risk Budgeting in

Investment Management
B. [IM-4] Richard Grinold and Ronald Kahn, Chapter 14. Portfolio
Construction
C. [IM-8] Zvi Bodie, Alex Kane, and Alan J. Marcus, Chapter 24. Portfolio
Performance Evaluation
D. [IM-9] G. Constantinides, M. Harris and R. Stulz, eds, Chapter 17. Hedge Funds
E. [IM-10] Kevin R. Mirabile, Chapter 12. Performing Due Diligence on Speci
fic Managers and Funds
F. [IM-11] Stephen G. Dimmock and William C. Gerken, Finding Bernie Mado
ff: Detecting Fraud by Investment Managers (2011).