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FRM EXAM TRAINING
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(2008) Module 2: Market Risk Measurement & Management (30%) |
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Interest rates and bond pricing; interest rate, FX, equity, and commodity risks
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Valuation and risk analysis of: futures, forwards, swaps, and options; derivatives on fixed income securities, interest rates, FX, equities and commodities
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Emerging market risks, including currency crises
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Identifying, measuring and stress testing risk exposures
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Value at Risk: Definition, delta-normal, historical simulation, Monte Carlo, implementation, limitations and alternative risk measures, e.g. conditional VaR
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Measuring and managing corporate exposures, including Cash-Flow-at-Risk and Earnings-at-Risk
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Module 3: Credit Risk Measurement & Management |
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