The Building Blocks of Risk Management
After completing this reading, you should be able to: Explain the concept of risk and compare risk management with risk-taking. Evaluate, compare, and apply tools and procedures used to measure and manage risk, including quantitative measures, qualitative risk assessment techniques,…
How Do Firms Manage Financial Risk?
After completing this reading, you should be able to: Compare different strategies a firm can use to manage its risk exposures and explain situations in which a firm would want to use each strategy. Explain the relationship between risk appetite…
Banks
After completing this reading, you should be able to: Identify the major risks faced by a bank and how these risks can arise. Distinguish between economic capital and regulatory capital. Summarize Basel Committee regulations for regulatory capital and their motivations….
Fund Management
After completing this reading, you should be able to: Differentiate among open-end mutual funds, closed-end mutual funds, and exchange-traded funds (ETFs). Calculate the net asset value (NAV) of an open-end mutual fund. Understand the various potential undesirable behaviors in trading…
Estimating Market Risk Measures
After completing this reading, you should be able to: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Estimate the expected shortfall given P/L or return data. Describe coherent…
Risk Data Aggregation and Reporting Principles
After completing this reading, you should be able to: Explain the potential benefits of having effective risk data aggregation and reporting. Explain challenges to the implementation of a strong risk data aggregation and reporting process and the potential impacts of…
The Governance of Risk Management
After completing this reading, you should be able to: Explain changes in regulations and corporate risk governance that occurred as a result of the 2007-2009 financial crisis. Describe best practices for the governance of a firm’s risk management processes. Explain…
Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM)
After completing this reading, you should be able to: Explain modern portfolio theory and interpret the Markowitz efficient frontier. Understand the derivation and components of the CAPM. Describe the assumptions underlying the CAPM. Interpret and compare the capital market line…
GARP Code of Conduct
After completing this reading, you should be able to: Describe the responsibility of each GARP Member concerning professional integrity, ethical conduct, conflicts of interest, the confidentiality of information, and adherence to generally accepted practices in risk management. Describe the potential…
Introduction to Derivatives
After completing this reading, you should be able to: Define derivatives, describe the features and uses of derivatives, and compare linear and non-linear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each….
