Financial Risk Manager (FRM) Part 2 – 2021

Estimating Market Risk Measures: An Introduction and Overview

Non-parametric Approaches

Parametric Approaches (II): Extreme Value

Backtesting VaR

VaR Mapping

Messages from the academic literature on risk measurement for the trading book

Correlation Basics: Definitions, Applications, and Terminology

Empirical Properties of Correlation: How Do Correlations Behave in the Real World?

Financial Correlation Modeling—Bottom-Up Approaches

Empirical Approaches to Risk Metrics and Hedging

The Science of Term Structure Models

The Evolution of Short Rates and the Shape of the Term Structure

The Art of Term Structure Models: Drift

The Art of Term Structure Models: Volatility and Distribution

Volatility Smiles

Fundamental Review of the Trading Book

The Credit Decision

The Credit Analyst

Capital Structure in Banks

Rating Assignment Methodologies

Credit Risks and Credit Derivatives

Spread Risk and Default Intensity Models

Portfolio Credit Risk

Structured Credit Risk

Counterparty Risk

Netting, Close-out and Related Aspects

Collateral

Credit Exposure and Funding

Counterparty Risk Intermediation

Credit and Debt Value Adjustments

Wrong-way Risk

The Evolution of Stress Testing Counterparty Exposures

Credit Scoring and Retail Credit Risk Management

The Credit Transfer Markets — and Their Implications

An Introduction to Securitisation

Understanding the Securitization of Subprime Mortgage Credit

Principles for the Sound Management of Operational Risk

Enterprise Risk Management: Theory and Practice

What is ERM?

Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions

Banking Conduct and Culture: A Permanent Mindset Change

Risk Culture

OpRisk Data and Governance

Supervisory Guidance on Model Risk Management

Information Risk and Data Quality Management

Validating Rating Models

Assessing the Quality of Risk Measures

Risk Capital Attribution and Risk-Adjusted Performance Measurement

Range of Practices and Issues in Economic Capital Frameworks

Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice

Stress Testing Banks

Guidance on Managing Outsourcing Risk

Management of Risks Associated with Money Laundering and Financing of Terrorism

Regulation of the OTC Derivatives Market

Capital Regulation Before the Global Financial Crisis

Solvency, Liquidity and Other Regulation After the Global Financial Crisis

High-level summary of Basel III reforms

Basel III: Finalising post-crisis reforms

The Cyber-Resilient Organization

Cyber-resilience: Range of practices

Building the UK financial sector’s operational resilience

Striving for Operational Resilience: The Questions Boards and Senior Management Should Ask

Liquidity Risk 19 Topics

Liquidity and Leverage

Early Warning Indicators

The Investment Function in Financial-Services Management

Liquidity and Reserves Management: Strategies and Policies

Intraday Liquidity Risk Management

Monitoring Liquidity

The Failure Mechanics of Dealer Banks

Liquidity Stress Testing

Liquidity Risk Reporting and Stress Testing

Contingency Funding Planning

Managing and Pricing Deposit Services

Managing Nondeposit Liabilities

Repurchase Agreements and Financing

Liquidity Transfer Pricing: A Guide to Better Practice

The US Dollar Shortage in Global Banking and the International Policy Response

Covered Interest Parity Lost: Understanding the Cross-Currency Basis

Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques

Illiquid Assets

Factor Theory

Factors

Alpha (and the Low-Risk Anomaly)

Portfolio Construction

Portfolio Risk: Analytical Methods

VaR and Risk Budgeting in Investment Management

Risk Monitoring and Performance Measurement

Portfolio Performance Evaluation

Hedge Funds

Performing Due Diligence on Specific Managers and Funds

The Impact of Blockchain Technology on Finance: A Catalyst for Change

FinTech and market structure in financial services: Market developments and potential financial stability implications

Fintech credit markets around the world: size, drivers and policy issues

Sound Practices: Implications of fintech developments for banks and bank supervisors

The Rise of Digital Money

Big Data: New Tricks for Econometrics

Machine Learning: A Revolution in Risk Management and Compliance?

Artificial intelligence and machine learning in financial services

Climate Change and Financial Risk