Hedge Funds

The key focus areas of this chapter will be the features of hedge funds. The chapter will also do a comparison between mutual funds and hedge funds. Biases that are often prevalent in hedge funds’ databases will be studied. We…

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FRM Part 1 Study Notes

Foundations of Risk Management 1. Risk Management: A Helicopter View 2. Corporate Risk Management: A Primer 3. Corporate Governance and Risk Management 4. What is ERM? 5. Risk Management, Governance, Culture, and Risk Taking in Banks 6. Financial Disasters 7. Deciphering the Liquidity and…

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Foundations of Risk Management

1. Risk Management: A Helicopter View 2. Corporate Risk Management: A Primer 3. Corporate Governance and Risk Management 4. What is ERM? 5. Risk Management, Governance, Culture, and Risk Taking in Banks 6. Financial Disasters 7. Deciphering the Liquidity and…

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Quantitative Analysis

1. Probabilities 2. Basic Statistics 3. Distributions 4. Bayesian Analysis 5. Hypothesis Testing and Confidence Intervals 6. Linear Regression with One Regressor 7. Regression with a Single Regressor 8. Linear Regressions with Multiple Regressors 9. Hypothesis Tests and Confidence Interval…

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Valuation and Risk Management

1. Quantifying Volatility in VaR Models 2. Putting VaR to Work 3. Measures of Financial Risk 4. Binomial Trees 5. The Black-Scholes-Merton Model 6. The Greek Letters 7. Prices, Discount Factors, and Arbitrage 8. Spot, Forward, and Par Rates 9….

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Financial Markets and Products

1. Banks 2. Insurance Companies and Pension Plans 3. Mutual Funds and Hedge Funds 4. Introduction 5. Mechanics of Futures Markets 6. Hedging Strategies using Futures 7. Interest Rates 8. Determination of Forward and Future Prices 9. Interest Rate Futures…

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FRM Part 2 Study Notes

Market Risk Measurement and Management 1. Estimating Market Risk Measures 2. Non-Parametric Approaches 3. Backtesting VaR 4. VaR Mapping 5. Messages from the Academic Literature on Risk Management for the Trading Book 6. Some Correlation Basics: Properties, Motivation, Terminology 7. Empirical Properties of Correlation: How Do Correlations…

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Risk Management and Investment Management

1. Factor Theory 2. Factors 3. Alpha (and the Low-Risk Anomaly) 4. Illiquid Assets 5. Portfolio Construction 6. Portfolio Risk: Analytical Methods 7. VaR and Risk Budgeting in Investment Management 8. Risk Monitoring and Performance Measurement 9. Portfolio Performance Evaluation…

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Operational and Integrated Risk Management

1. Principles for the Sound Management of Operational Risk 2. Enterprise Risk Management: Theory and Practice 3. Observations on Developments in Risk Appetite Frameworks and IT Infrastructure 4. Information Risk and Data Quality Management 5. OpRisk Data and Governance 6….

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Credit Risk Measurement and Management

1. The Credit Decision 2. The Credit Analysis 3. Classifications and Key Concepts of Credit Risk 4. Rating Assignment Methodologies 5. Credit Risks and Credit Derivatives 6. Spread Risk and Default Intensity Models 7. Portfolio Credit Risk 8. Structured Credit…

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