GARP Code of Conduct

Candidate’s objectives: After completing this reading, you should be able to: Describe the responsibility of each GARP Member with respect to professional integrity, ethical conduct, conflicts of interest, confidentiality of information, and adherence to generally accepted practices in risk management….

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Principles for Effective Risk Data Aggregation and Risk Reporting

Candidate’s objectives: After completing this reading, you should be able to: Explain the potential benefits of having effective risk data aggregation and reporting. Describe key governance principles related to risk data aggregation and risk reporting practices. Identify the data architecture…

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Arbitrage Pricing Theory and Multifactor Models of Risk and Return

Candidate’s objectives After completing this reading, you should be able to: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Describe properties of well-diversified portfolios…

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Applying the CAPM to Performance Measurement

Single-Index Performance Measurement Indicators The Treynor Measure The Treynor measure of a (1965) portfolio is explained by the expression below. $$ { T }_{ P }=\frac { E\left( { R }_{ p } \right) -{ R }_{ f } }{…

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The Capital Asset Pricing Model

After completing this reading, you should be able to: Understand the derivation and components of the CAPM. Describe the assumptions underlying the CAPM. Interpret the capital market line. Apply the CAPM in calculating the expected return on an asset. Interpret…

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Risk Management Failures – What Are They and When Do They Happen?

Why a Large Financial Loss May Not Necessarily Be Evidence of a Risk Management Failure Risk management entails three key steps: Identifying and assessing the impact of all risks facing a firm Communicating these risks to decision makers Continuous monitoring…

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Getting up to Speed on the Financial Crisis

Overview and Timeline of the Crisis The start of the 2007-09 financial crisis was marked by runs in several short-term markets previously considered safe. Challenges in the subprime marked became increasingly evident during the first half of 2007. According to…

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Deciphering the Liquidity and Credit Crunch 2007-2008

The Trends of Banking Industry Leading up to the Liquidity Squeeze The lending boom and the housing frenzy that marked the beginning of the crisis were significant as a result of two trends in the banking industry: An originate and…

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Financial Disasters

After completing this reading, you should be able to: Analyze the key factors that led to and derive the lessons learned from the following risk management case studies: Chase Manhattan and their involvement with Drysdale Securities Kidder Peabody Barings Allied…

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Risk Management, Governance, Culture, and Risk taking in Banks

After completing this reading, you should be able to: Assess methods that banks can use to determine their optimal level of risk exposure, and explain how the optimal level of risk can differ across banks. Describe implications for a bank…

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