FRM_II_Book 3_Operational and Integrated Risk Management

Learning Objectives and Reading Assignments......Page 6
Module 37.1: Operational Risk......Page 16
Module 37.2: Guidelines for Strong Governance of Operational Risk......Page 18
Module 37.3: Identifying and Assessing Operational Risk......Page 22
Key Concepts......Page 26
Answer Key for Module Quizzes......Page 28
Module 38.1: Enterprise Risk Management......Page 29
Key Concepts......Page 35
Answer Key for Module Quiz......Page 36
Module 39.1: Risk Appetite Frameworks and IT Infrastructure......Page 37
Key Concepts......Page 44
Answer Key for Module Quiz......Page 45
Module 40.1: Information Risk and Data Quality Management......Page 46
Key Concepts......Page 52
Answer Key for Module Quiz......Page 53
Module 41.1: Event-Driven Risk Categories and Internal Operational Loss Data......Page 54
Module 41.2: Operational Risk Exposures and Scenario Analysis......Page 59
Module 41.3: Operational Risk Profiles......Page 64
Key Concepts......Page 70
Answer Key for Module Quizzes......Page 71
Module 42.1: Collecting External Loss Data......Page 72
Module 42.2: External Data and Société Générale......Page 76
Key Concepts......Page 81
Answer Key for Module Quizzes......Page 82
Module 43.1: Operational Risk Capital Requirements......Page 83
Module 43.2: Modeling Operational Risk Losses......Page 88
Key Concepts......Page 93
Answer Key for Module Quizzes......Page 94
Module 44.1: Extreme Values......Page 95
Key Concepts......Page 101
Answer Key for Module Quiz......Page 102
Module 45.1: Rating Model Validation......Page 103
Module 45.2: Rating Model Validation Processes......Page 106
Key Concepts......Page 112
Answer Key for Module Quizzes......Page 114
Module 46.1: Model Risk......Page 116
Module 46.2: Case Studies Related to Model Risk......Page 120
Key Concepts......Page 124
Answer Key for Module Quizzes......Page 126
Module 47.1: Risk-Adjusted Return on Capital......Page 127
Module 47.2: RAROC, Hurdle Rate, and Adjusted RAROC......Page 132
Module 47.3: Diversification Benefits and RAROC Best Practices......Page 135
Key Concepts......Page 140
Answer Key for Module Quizzes......Page 143
Module 48.1: Risk Measures and Risk Aggregation......Page 145
Module 48.2: Validation, Dependency, Counterparty Credit Risk, and Interest Rate Risk......Page 148
Module 48.3: BIS Recommendations, Constraints and Opportunities, and Best Practices and Concerns......Page 155
Key Concepts......Page 160
Answer Key for Module Quizzes......Page 161
Module 49.1: The Federal Reserve’s Capital Plan Rule......Page 162
Module 49.2: Capital Adequacy Process......Page 163
Module 49.3: Assessing the Impact of Capital Adequacy......Page 168
Key Concepts......Page 173
Answer Key for Module Quizzes......Page 174
Module 50.1: Mechanics of Repos, Repo Motivations, and Counterparty and Liquidity Risk......Page 175
Module 50.2: The Credit Crisis, Collateral, and Special Spreads......Page 179
Key Concepts......Page 184
Answer Key for Module Quizzes......Page 186
Module 51.1: Liquidity Risk and Liquidity-Adjusted VaR (LVaR)......Page 187
Module 51.2: Endogenous Price Approaches, Liquidity at Risk, and Crisis Situations......Page 191
Key Concepts......Page 196
Answer Key for Module Quizzes......Page 198
Module 52.1: Model Risk and Variability......Page 199
Module 52.2: Historical Case Studies......Page 202
Key Concepts......Page 206
Answer Key for Module Quizzes......Page 207
Module 53.1: Sources of Liquidity Risk, Liquidity Transformation, and Systematic Funding......Page 208
Module 53.2: The Collateral Market and Leverage......Page 212
Module 53.3: Explicit and Implicit Leverage......Page 216
Module 53.4: Funding and Transactions, Liquidity Risk, and Transactions Cost......Page 220
Key Concepts......Page 225
Answer Key for Module Quizzes......Page 227
Module 54.1: Functions of Dealer Banks......Page 229
Module 54.2: Liquidity Concerns for Dealer Banks and Risk Policy Measures......Page 233
Key Concepts......Page 237
Answer Key for Module Quizzes......Page 238
Module 55.1: Stress Testing......Page 239
Module 55.2: Challenges in Modeling Losses and Revenues......Page 241
Key Concepts......Page 246
Answer Key for Module Quizzes......Page 247
Module 56.1: Managing Outsourcing Risk......Page 248
Key Concepts......Page 254
Answer Key for Module Quiz......Page 255
Module 57.1: The Basel Regulations......Page 257
Module 57.2: Market Risk Capital and VaR......Page 262
Module 57.3: Credit Risk Capital and the Worst-Case Default Rate......Page 264
Module 57.4: Operational Risk Capital, Basel II, and Solvency II......Page 269
Key Concepts......Page 274
Answer Key for Module Quizzes......Page 277
Module 58.1: Stressed VaR, Incremental Risk Capital Charge, and Comprehensive Risk Measure......Page 279
Module 58.2: Basel III Capital Requirements, Buffers, and Liquidity Risk Management......Page 283
Module 58.3: Contingent Convertible Bonds and Dodd-Frank Reform......Page 289
Key Concepts......Page 292
Answer Key for Module Quizzes......Page 295
Module 59.1: Regulation of the Over-the-Counter (OTC) Derivatives Market......Page 297
Key Concepts......Page 301
Answer Key for Module Quiz......Page 302
Module 60.1: Fundamental Review of the Trading Book......Page 303
Key Concepts......Page 311
Answer Key for Module Quiz......Page 312
Module 61.1: High-Level Summary of Basel III Reforms......Page 313
Key Concepts......Page 317
Answer Key for Module Quiz......Page 318
Module 62.1: Basel III: Finalizing Post-Crisis Reforms......Page 319
Key Concepts......Page 327
Answer Key for Module Quiz......Page 328
Module 63.1: Management of Money Laundering and Financial Terrorism Risks......Page 329
Module 63.2: Due Diligence and Correspondent Banking Using a Third Party......Page 335
Key Concepts......Page 340
Answer Key for Module Quizzes......Page 342
Topic Assessment: Operational and Integrated Risk Management......Page 343
Topic Assessment Answers: Operational and Integrated Risk Management......Page 346
Formulas......Page 349
Copyright......Page 354