FRM Part I & II Curriculum

FRM Part I

Foundations of Risk Management

1. The Building Blocks of Risk Management
2. How Do Firms Manage Financial Risk?
3. The Governance of Risk Management
4. Credit Risk Transfer Mechanisms
5. Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM)
6. The Arbitrage Pricing Theory and Multifactor Models of Risk and Return
7. Risk Data Aggregation and Reporting Principles
8. Enterprise Risk Management and Future Trends (Available for AnalystPrep Premium Users; Click Here)
9. Learning From Financial Disasters (Available for AnalystPrep Premium Users; Click Here)
10. Anatomy of the Great Financial Crisis of 2007-2009 (Available for AnalystPrep Premium Users; Click Here)
11. GARP Code of Conduct (Available for AnalystPrep Premium Users; Click Here)

Quantitative Analysis

1. Fundamentals of Probability
2. Random Variables
3. Common Univariate Random Variables
4. Multivariate Random Variables
5. Sample Moments
6. Hypothesis Testing
7. Linear Regression
8. Regression with Multiple Explanatory Variables
9. Regression Diagnostics
10. Stationary Time Series (Available for AnalystPrep Premium Users; Click Here)
11. Nonstationary Time Series (Available for AnalystPrep Premium Users; Click Here)
12. Measuring Return, Volatility, and Correlation (Available for AnalystPrep Premium Users; Click Here)
13. Simulation and Bootstrapping (Available for AnalystPrep Premium Users; Click Here)

Financial Markets and Products

1. Banks
2. Insurance Companies and Pension Plans
3. Fund Management
4. Introduction to Derivatives
5. Exchanges and OTC Markets
6. Central Clearing
7. Futures Markets
8. Using Futures for Hedging
9. Foreign Exchange Markets
10. Pricing Financial Forwards and Futures
11. Commodity Forwards and Futures
12. Options Markets
13. Properties of Options
14. Trading Strategies
15. Exotic Options
16. Properties of Interest Rates
17. Corporate Bonds (Available for AnalystPrep Premium Users; Click Here)
18. Mortgages and Mortgage-backed Securities (Available for AnalystPrep Premium Users; Click Here)
19. Interest Rate Futures (Available for AnalystPrep Premium Users; Click Here)
20. SWAPS (Available for AnalystPrep Premium Users; Click Here)

Valuation and Risk Management

1. Measures of Financial Risk
2. Calculating and Applying VaR
3. Measuring and Monitoring Volatility
4. External and Internal Ratings
5. Country Risk
6. Measuring Credit Risk
7. Operational Risk
8. Stress-Testing
9. Pricing Conventions, Discounting, and Arbitrage
10. Interest Rates
11. Bond Yields and Return Calculations
12. Applying Duration, Convexity, and DV01
13. Modeling and Hedging Non-Parallel Term Structure Shifts (Available for AnalystPrep Premium Users; Click Here)
14. Binomial Trees (Available for AnalystPrep Premium Users; Click Here)
15. The Black-Scholes-Merton Model (Available for AnalystPrep Premium Users; Click Here)
16. Option Sensitivity Measures: The “Greeks” (Available for AnalystPrep Premium Users; Click Here)

FRM Part II

Market Risk Measurement and Management

1. Estimating Market Risk Measures
2. Non-Parametric Approaches
3. Parametric Approaches (II): Extreme Value
4. Backtesting VaR
5. VaR Mapping
6. Messages from the Academic Literature on Risk Management for the Trading Book
7. Some Correlation Basics: Properties, Motivation, Terminology
8. Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
9. Financial Correlation Modeling – Bottom-Up Approaches
10. Empirical Approaches to Risk Metrics and Hedging
11. The Science of Term Structure Models
12. The Evolution of Short Rates and the Shape of the Term Structure
13. The Art of Term Structure Models: Drift (Available for AnalystPrep Premium Users; Click Here)
14. The Art of Term Structure Models: Volatility and Distribution (Available for AnalystPrep Premium Users; Click Here)
15. Volatility Smiles (Available for AnalystPrep Premium Users; Click Here)
16. Fundamental Review of the Trading Book (Available for AnalystPrep Premium Users; Click Here)

Credit Risk Measurement and Management

1. The Credit Decision
2. The Credit Analyst
3. Capital Structure in Banks
4. Rating Assignment Methodologies
5. Credit Risks and Credit Derivatives
6. Spread Risk and Default Intensity Models
7. Portfolio Credit Risk
8. Structured Credit Risk
9. Counterparty Risk and Beyond
10. Netting, Close-out and Related Aspects
11. Margin (Collateral) and Settlement
12. Future Value and Exposure
13. Counterparty Risk Intermediation
14. CVA (Part A)
15. CVA (Part B – Wrong-way Risk)
16. The Evolution of Stress Testing Counterparty Exposures
17. Credit Scoring and Retail Credit Risk Management (Available for AnalystPrep Premium Users; Click Here)
18. The Credit Transfer Markets – And Their Implications (Available for AnalystPrep Premium Users; Click Here)
19. An Introduction to Securitisation (Available for AnalystPrep Premium Users; Click Here)
20. Understanding the Securitization of Subprime Mortgage Credit (Available for AnalystPrep Premium Users; Click Here)

Operational and Integrated Risk Management

1. Principles for the Sound Management of Operational Risk
2. Enterprise Risk Management: Theory and Practice
3. What is ERM
4. Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions
5. Banking Conduct and Culture: A Permanent Mindset Change
6. Risk Culture
7. OpRisk Data and Governance
8. Supervisory Guidance on Model Risk Management
9. Information Risk and Data Quality Management
10. Validating Rating Models
11. Assessing the Quality of Risk Measures
12. Risk Capital Attribution and Risk-Adjusted Performance Measurement
13. Range of Practices and Issues in Economic Capital Frameworks
14. Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice
15. Stress Testing Banks
16. Guidance on Managing Outsourcing Risk
17. Management of Risks related to Money Laundering and Financing of Terrorism
18. Regulation of the OTC Derivatives Market
19. Capital Regulation Before the Global Financial Crisis
20. Solvency, Liquidity and Other Regulation After the Global Financial Crisis
21. High-level Summary of Basel III Reforms
22. Basel III: Finalising Post-Crisis Reforms
23. The Cyber-Resilient Organization (Available for AnalystPrep Premium Users; Click Here)
24. Cyber-resilience: Range of Practices (Available for AnalystPrep Premium Users; Click Here)
25. Building the UK Financial Sector’s Operational Resilience (Available for AnalystPrep Premium Users; Click Here)
26. Striving for Operational Resilience (Available for AnalystPrep Premium Users; Click Here)

Liquidity and Treasury Risk Measurement and Management

1. Liquidity Risk
2. Liquidity and Leverage
3. Early Warning Indicators
4. The Investment Function in Financial Services Management
5. Liquidity and Reserves Management: Strategies and Policies
6. Intraday Liquidity Risk Management
7. Monitoring Liquidity
8. The Failure Mechanics of Dealer Banks
9. Liquidity Stress Testing 
10. Liquidity Risk Reporting and Stress Testing
11. Contingency Funding Planning
12. Managing and Pricing Deposit Services
13. Managing Nondeposit Liabilities
14. Repurchase Agreements and Financing
15. Liquidity Transfer Pricing: A Guide to Better Practice
16. The US Dollar Shortage in Global Banking and the International Policy Response (Available for AnalystPrep Premium Users; Click Here)
17. Covered Interest Rate Parity Lost: Understanding the Cross-Currency Basis (Available for AnalystPrep Premium Users; Click Here)
18. Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques (Available for AnalystPrep Premium Users; Click Here)
19. Illiquid Assets (Available for AnalystPrep Premium Users; Click Here)

Risk Management and Investment Management

1. Factor Theory
2. Factors
3. Alpha (and the Low-Risk Anomaly)
4. Portfolio Construction
5. Portfolio Risk: Analytical Methods
6. VaR and Risk Budgeting in Investment Management
7. Risk Monitoring and Performance Measurement (Available for AnalystPrep Premium Users; Click Here)
8. Portfolio Performance Evaluation (Available for AnalystPrep Premium Users; Click Here)
9. Hedge Funds (Available for AnalystPrep Premium Users; Click Here)
10. Performing Due Diligence on Specific Managers and Funds (Available for AnalystPrep Premium Users; Click Here)
11. Finding Bernie Madoff: Detecting Fraud by Investment Managers (Coming soon)

Current Issues in Financial Markets

1. Beyond LIBOR: A Primer on the New Benchmark Rates
2. Machine Learning: A Revolution in Risk Management and Compliance?
3. Artificial Intelligence and Machine Learning in Financial Services
4. Climate Change: Physical Risk and Equity
5. The Green Swan – Central Banking and Financial Stability in the Age of Climate Change
6. When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (Coming soon)
7. Financial Crime in Times of COVID-19 – AML and Cyber Resilience Measures (Coming soon)
8. Global Financial Stability Report: Markets in the Time of COVID-19 (Coming soon)
9. Replacing LIBOR (Coming soon)
10. Cyber Risk and the U.S. Financial System: A Pre-Mortem Analysis (Coming soon)