FRM Part II Changes
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1 Market Risk Measurement and Management (25%) John C. Hull, Options, Futures, and Other Derivatives, 9th Edition (New York, NY: Pearson, 2014). Chapter 9. OIS Discounting, Credit Issues, and Funding Costs Chapter 20. Volatility Smiles John C. Hull, Options, Futures, and Other Derivatives, 10th Edition (New York, NY: Pearson, 2017). Chapter 20. Volatility Smiles
2 Credit Risk Measurement and Management (25%) Jon Gregory, Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition (West Sussex, UK: John Wiley & Sons, 2012) Chapter 3. Defining Counterparty Credit Risk Chapter 4. Netting, Compression, Resets, and Termination Features Chapter 5. Collateral Chapter 7. Central Counterparties Chapter 8. Credit Exposure Chapter 10. Default Probability, Credit Spreads, and Credit Derivatives Chapter 12. Credit Value Adjustment Chapter 15. Wrong-Way Risk Jon Gregory, The xva Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 3rd Edition (West Sussex, UK: John Wiley & Sons, 2015) Chapter 4. Counterparty Risk Chapter 5. Netting, Close-out and Related Aspects Chapter 6. Collateral Chapter 7. Credit Exposure and Funding Chapter 9. Counterparty Risk Intermediation Chapter 12. Default Probabilities, Credit Spreads, and Funding Costs Chapter 14. Credit and Debt Value Adjustments Chapter 17. Wrong-way Risk
3 Operational and Integrated Risk Management (25%) Sound management of risks related to money laundering and financing of terrorism, (Basel Committee on Banking Supervision, June 2017). (Pages 1 32 only)
4 Risk Management and Investment Management (15%) Kevin R. Mirabile, Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance (Hoboken, NJ: Wiley Finance, 2013) Chapter 11. Performing Due Diligence on Specific Managers and Funds Kevin R. Mirabile, Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance, 2nd Edition (Hoboken, NJ: Wiley Finance, 2016) Chapter 12. Performing Due Diligence on Specific Managers and Funds
5 Current Issues in Financial Markets (10%) 1. Cohen, Benjamin H. and Gerald A. Edwards, Jr., The new era of expected credit loss provisioning, BIS Quarterly Review, March 20, Varian, Hal, Big Data: New Tricks for Econometrics, Journal of Economic Perspectives 28:2 (Spring 2014), van Liebergen, Bart, Machine Learning: A Revolution in Risk Management and Compliance? Institute of International Finance, April Cont, Rama, Central clearing and risk transformation, Norges Bank Research, March Song Shin, Hyun, The bank/capital markets nexus goes global, BIS Quarterly Review, November FinTech credit: Market structure, business models and financial stability implications. BIS Committee on Global Financial Systems, May Lo, Andrew W., The Gordon Gekko Effect: The Role of Culture in the Financial Industry, Federal Reserve Bank of New York Economic Policy Review, 22:1 (August 2016). All previous readings
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