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
9. Learning From Financial Disasters
10. Anatomy of the Great Financial Crisis of 2007-2009
11. GARP Code of Conduct

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
. Regression Diagnostics
10. Stationary Time Series
11. Nonstationary Time Series
12. Measuring Return, Volatility, and Correlation
13. Simulation and Bootstrapping

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
7. Corporate Bonds
Mortgages and Mortgage-backed Securities
Interest Rate Futures

Valuation and Risk Management

1. Measures of Financial Risk
2. Calculating and Applying VaR
3. Measuring and Monitoring Volatility
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
Bond Yields and Return Calculations
12. Applying Duration, Convexity, and DV01
13. Modeling and Hedging Non-Parallel Term Structure Shifts
14. Binomial Trees
15. The Black-Scholes-Merton Model
16. Option Sensitivity Measures: The “Greeks”


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
14. The Art of Term Structure Models: Volatility and Distribution
15. Volatility Smiles
16. Fundamental Review of the Trading Book

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 Credit Risk
10. Netting, Compression, Resets, and Termination Features
11. Collateral
12. Credit Exposure and Funding
13. Counterparty Risk Intermediation
14. Credit and Debt Value Adjustment
15. Wrong-Way Risk
16. The Evolution of Stress Testing Counterparty Exposures
17. Credit Scoring and Retail Credit Risk Management
18. The Credit Transfer Markets – And Their Implications
19. An Introduction to Securitisation
20. Understanding the Securitization of Subprime Mortgage Credit

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
Range of Practices and Issues in Economic Capital Frameworks
14. Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice
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
24. Cyber-resilience: Range of practices
25. Building the UK Financial Sector’s Operational Resilience
26. Striving for Operational Resilience

Past (from 2019)
Observations on Developments in Risk Appetite Frameworks and IT Infrastructure
External Loss Data
Capital Modeling
Model Risk
Basel I, Basel II, and Solvency II
Basel II.5, Basel III, and Other Post-Crisis Changes

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
17. Covered Interest Rate Parity Lost: Understanding the Cross-Currency Basis
18. Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques
19. Illiquid Assets

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
8. Portfolio Performance Evaluation
9. Hedge Funds
10. Performing Due Diligence on Specific Managers and Funds

Current Issues in Financial Markets

1. The Impact of Blockchain Technology on Finance: A Catalyst for Change
2. FinTech and market structure in financial services: Market developments and potential financial stability implications
3. Fintech credit markets around the world: size, drivers and policy issues
4. Sound Practices: Implications of fintech developments for banks and bank supervisors
5. The Rise of Digital Money
6. Big Data: New Tricks for Econometrics
7. Machine Learning: A Revolution in Risk Management and Compliance?
8. Artificial intelligence and machine learning in financial services
9. Climate Change and Financial Risk (Coming Soon)
10. Beyond LIBOR: a primer on the new benchmark rates (Coming Soon)