FRM Part 2 Book 1_Market Risk Measurement and Management

Welcome to the2019 SchweserNotes™......Page 4
Learning Objectives and Reading Assignments......Page 6
Exam Focus......Page 11
Module 1.1: Historical and Parametric Estimation Approaches......Page 12
Module 1.2: Risk Measures......Page 15
Key Concepts......Page 20
Answer Key for Module Quizzes......Page 21
Module 2.1: Non-Parametric Approaches......Page 22
Key Concepts......Page 28
Answer Key for Module Quiz......Page 30
Module 3.1: Backtesting VaR Models......Page 31
Module 3.2: Conditional Coverage and the Basel Rules......Page 37
Key Concepts......Page 41
Answer Key for Module Quizzes......Page 42
Module 4.1: VaR Mapping......Page 43
Module 4.2: Mapping Fixed-Income Securities......Page 46
Module 4.3: Stress Testing, Performance Benchmarks, and Mapping Derivatives......Page 49
Key Concepts......Page 57
Answer Key for Module Quizzes......Page 58
Module 5.1: Risk Measurement for the Trading Book......Page 59
Key Concepts......Page 65
Answer Key for Module Quiz......Page 66
Module 6.1: Financial Correlation Risk......Page 67
Module 6.2: Correlation Swaps, Risk Management, and the Recent Financial Crisis......Page 73
Module 6.3: The Role of Correlation Risk in Other Types of Risk......Page 78
Key Concepts......Page 84
Answer Key for Module Quizzes......Page 86
Module 7.1: Empirical Properties of Correlation......Page 88
Key Concepts......Page 94
Answer Key for Module Quiz......Page 95
Module 8.1: Limitations of Financial Models......Page 96
Module 8.2: Statistical Correlation Measures......Page 98
Key Concepts......Page 104
Answer Key for Module Quizzes......Page 105
Module 9.1: Financial Correlation Modeling......Page 107
Key Concepts......Page 113
Answer Key for Module Quiz......Page 114
Module 10.1: Empirical Approaches to Risk Metrics and Hedging......Page 115
Key Concepts......Page 121
Answer Key for Module Quiz......Page 122
Module 11.1: Interest Rate Trees and Risk-Neutral Pricing......Page 123
Module 11.2: Binomial Trees......Page 126
Module 11.3: Option-Adjusted Spread......Page 130
Key Concepts......Page 134
Answer Key for Module Quizzes......Page 136
Module 12.1: Interest Rates......Page 137
Module 12.2: Convexity and Risk Premium......Page 141
Key Concepts......Page 147
Answer Key for Module Quizzes......Page 148
Module 13.1: Term Structure Models......Page 150
Module 13.2: Arbitrage-Free Models......Page 155
Key Concepts......Page 161
Answer Key for Module Quizzes......Page 163
Module 14.1: Time-Dependent Volatility Models......Page 164
Module 14.2: Cox-Ingersoll-Ross (CIR) and Lognormal Models......Page 166
Key Concepts......Page 171
Answer Key for Module Quizzes......Page 173
Module 15.1: Implied Volatility......Page 174
Module 15.2: Alternative Methods of Studying Volatility......Page 177
Key Concepts......Page 180
Answer Key for Module Quizzes......Page 181
Topic Assessment: Market Risk Measurement and Management......Page 182
Topic Assessment Answers: Market Risk Measurement and Management......Page 185
Formulas......Page 188
Appendix......Page 191
Copyright......Page 196