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Preparing To The Financial Risk Manager FRM Certification Part Ii of Garp

FRM

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87 views

Preparing To The Financial Risk Manager FRM Certification Part Ii of Garp

FRM

Uploaded by

DALHI2014
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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PREPARING TO THE FINANCIAL RISK MANAGER

FRM CERTIFICATION PART II OF GARP


ORGANISATION SHEET
Objectives

The seminar is fully consistent with the technical contents and

objectives of the FRM Part II examination administered in May and


November, and provide a suitable preparation for this certification. Only
the non-technical exam topics are not covered in the seminar.

Language

English without translation

Target group

Persons with a good knowledge of English and with more than three
years of experience in the field of Finance and/or Risk Management:
risk managers ;
treasurers and traders ;
risk analysts ;
portfolio managers.
Priority will be given to candidates who already passed the FRM Part I
certification.

Prerequisite

Participants in the seminar should have had prior exposure to


quantitative methods. At a minimum, they should have taken the
equivalent of an investment class in a conventional MBA program.

Participants

20 participants selected among candidates from the following invited


countries : Armenia, Azerbaijan, Bosnia & Herzegovina, Bulgaria, China,
Croatia, Czech Republic, Egypt, El Salvador, Estonia, Georgia, Hungary,
Kazakhstan, Kosovo, Latvia, Lebanon, Lithuania, Macedonia, Moldova,
Mongolia, Montenegro, Poland, Romania, Russia, Serbia, Slovakia,
Slovenia, Tunisia, Turkey, Ukraine and Vietnam, and from the West
African Economic and Monetary Union.

Dates

From Monday 13 to Friday 17 October 2014


Arrival on Saturday 11 October 2014
Departure on Saturday 18 October 2014

Material

ATTF will provide the participants with the book Financial Risk
Manager Handbook (6th edition), Wiley, by Philippe Jorion.
Participants will also receive a complete syllabus during the course.
These materials will be paid by ATTF.
Participants planning to take the FRM Part II exam should complement
their knowledge with the help of the 2014 FRM Part II books. A list of
free readings may also be found on:
http://www.garpdigitallibrary.org/display/frm_course_pack.asp

Lecturer

Prof. Philippe Jorion is Chancellor's Professor of Finance at the Paul


Merage School of Business at the University of California at Irvine. He
holds an M.B.A. and a Ph.D. from the University of Chicago, and a
degree in engineering from the Universit Libre de Bruxelles. He also
received a professorship honoris causa from the Universit de Lige.
Prof. Jorion has authored more than 100 publications on the topic of
risk management and international finance. Some of his most notable
work includes Value at Risk: The New Benchmark for Managing
Financial Risk (2006), the first definitive book on VAR, and the
Financial Risk Manager Handbook (2010), which provides the core
body of quantitative methods and tools for financial risk managers.
He is also a Managing Director at Pacific Alternative Management
Company (PAAMCO), a global fund of hedge funds, where he is head of
risk management.

PREPARING TO THE FINANCIAL RISK MANAGER


FRM CERTIFICATION PART II OF GARP
CONTENT
MARKET RISK
Introduction to market risk
Risk measurement methods, Value at Risk (VAR), stress tests, liquidity risk
Advanced risk models: Univariate
VAR methods (Delta-normal, historical simulation, Monte Carlo simulation), mapping,
copulas
Advanced option models
Implied volatility, volatility swaps, convertible bonds
Mortgage-backed securities
Prepayment risk, option adjusted spreads, securitization, tranching, collateralized
mortgage obligations
INVESTMENT RISK
Portfolio risk management
Risk and performance management, risk budgeting, VAR tools (marginal, incremental and
component VAR)
Hedge Fund risk management
Hedge Fund strategies, issues with transparency, liquidity risk
CREDIT RISK
Introduction to credit risk
Drivers of credit risk
Measuring actuarial credit risk
Measuring default risk from default rates and recovery rates
Measuring credit risk from market prices
Using bond prices and stock prices, structural (Merton) models
Credit Exposure
Assessing current and potential credit exposure on bonds and derivatives
Credit Derivatives and Structured Products
Credit default swaps, collateralized debt obligations, tranching
Portfolio credit risk model
Pricing credit risk, measuring portfolio credit risk, measuring expected and unexpected
credit risk, commercial models (e.g. CreditMetrics)

OPERATIONAL and INTEGRATED RISK


Operational risk
Approaches, assessment and management
Integrated risk management
Measuring economic capital, benefits of enterprise-wide risk management
The Basel risk charges
Basel I, II, and III charges against credit, market and operational risks Standardised
approach, Internal Models Approach (IMA)

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