Frm Aim Statements 2011

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2011 FRM® Examination AIM Statements

2011 Financial Risk Manager (FRM®) Examination AIM Statements

Topic Outline, Readings, Test Weightings The Study Guide sets forth primary topics and subtopics under the five risk-related disciplines covered in the FRM exam. The topics were selected by the FRM Committee as topics that risk managers who work in practice today have to master. The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant.

Readings Questions for the FRM examination are derived from the readings listed under each topic outline. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam.

FRM Examination Approach The FRM exam is a practice-oriented examination. Its questions are derived from a combination of theory, as set forth in the readings, and “real-world” work experience. Candidates are expected to understand risk management The FRM exam is a practice-oriented examination. Its questions are derived from a combination of theory, as set forth in the readings, and “real-world” work experience. The FRM examination is also a comprehensive examination, testing a risk professional on a number of risk management concepts and approaches. concepts and approaches and how they would apply to a risk manager’s day-today activities.

The Financial Risk Manager Handbook, 6th Edition, by Philippe Jorion (New York: John Wiley & Sons, 2011), covers most of the FRM examination topics at the appropriate level. However, please note that the FRM Handbook was designed to help candidates review the material and is not a textbook. Alone, the FRM Handbook is not sufficient to prepare a candidate to pass the examination. The FRM Handbook includes an interactive eLearning platform with questions and answers from previous FRM exams to assist candidates with their exam preparation.

FRM Course Providers Some candidates may want to more formally review the materials with FRM

It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. In the real world, a risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively.

Course Providers. Course Providers are listed on the GARP website. GARP does not endorse any Course Provider but merely lists them as a service to FRM candidates.

© 2011 Global Association of Risk Professionals. All rights reserved.

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2011 FRM Examination

Part I AIM Statements

Table of Contents

Foundations of Risk Management .............................................................3 Quantitative Analysis ......................................................................................7 Financial Markets and Products ................................................................12 Valuation and Risk Models ..........................................................................18

2011 Financial Risk Manager (FRM®) Examination AIM Statements

FRM PART I—TOPICS AND READINGS FOUNDATIONS OF RISK MANAGEMENT—Part I Exam Weight | 20% • • • • • • • • • • • The role of risk management Basic risk types, measurement and management tools Creating value with risk management Modern Portfolio Theory (MPT) Standard and non-standard forms of the Capital Asset Pricing Model (CAPM) Single and multi-index models and the Arbitrage Pricing Theory (APT) Risk-adjusted performance measurement Enterprise Risk Management Financial disasters and risk management failures Case studies Ethics and the GARP Code of Conduct

Readings for Foundations of Risk Management
1. Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw-Hill, 2007). • 2. Chapter 1 ..............................The Need for Risk Management

René Stulz, Risk Management & Derivatives...
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