FRM Part 2 - STUDY PLAN 2024

Overview
Instructor's Notes
Video Explanation

Overview
Instructor's
Notes
Video
Explanation

The FRM Part 2 study plan is designed to build upon the foundational knowledge gained in Part 1, diving deeper into specialized areas such as market risk, credit risk, operational risk, liquidity risk, investment management, and current issues in financial markets. This comprehensive plan aims to provide a thorough understanding of each topic, ensuring a balanced and in-depth preparation for the exam.
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KEY used to represent the five modules:

MR

Market Risk Measurement and Management

CR

Credit Risk Measurement and Management

OR

Operational Risk and Resiliency

LR

Liquidity and Treasury Risk Management

IM

Risk Management & Investment Management

CI

Current Issues in Financial Markets

Schedule

WEEK

01

Estimating Market Risk Measure – An Introduction and Overview [MR‑1]
Non-Parametric Approaches [MR‑2]
Parametric Approaches (II): Extreme Value [MR‑3]
Backtesting VaR [MR‑4]
VaR Mapping [MR‑5]

WEEK

02

Portfolio Risk - Analytical Methods [IM‑5]
VaR and Risk Budgeting in Investment Management [IM‑6]
Risk Monitoring and Performance Measurement [IM‑7]
Portfolio Performance Evaluation [IM‑8]

WEEK

03

Some Correlation Basics - Properties, Motivation, Terminology [MR‑7]
Empirical Properties of Correlation [MR‑8]
Financial Correlation Modeling—Bottom-Up Approaches [MR‑9]
Volatility Smiles [MR‑15]

WEEK

04

Empirical Approaches to Risk Metrics & Hedging [MR‑10]
The Science of Term Structure Models [MR‑11]
The Evolution of Short Rates & the Shape of the Term Structure [MR‑12]
The Art of Term Structure Models – Drift [MR‑13]
The Art of Term Structure Models – Volatility and Distribution [MR‑14]

WEEK

01

Estimating Market Risk Measure – An Introduction and Overview [MR‑1]
Non-Parametric Approaches [MR‑2]
Parametric Approaches (II): Extreme Value [MR‑3]
Backtesting VaR [MR‑4]
VaR Mapping [MR‑5]

WEEK

02

Portfolio Risk - Analytical Methods [IM‑5]
VaR and Risk Budgeting in Investment Management [IM‑6]
Risk Monitoring and Performance Measurement [IM‑7]
Portfolio Performance Evaluation [IM‑8]

WEEK

03

Some Correlation Basics - Properties, Motivation, Terminology [MR‑7]
Empirical Properties of Correlation [MR‑8]
Financial Correlation Modeling—Bottom-Up Approaches [MR‑9]
Volatility Smiles [MR‑15]

WEEK

04

Empirical Approaches to Risk Metrics & Hedging [MR‑10]
The Science of Term Structure Models [MR‑11]
The Evolution of Short Rates & the Shape of the Term Structure [MR‑12]
The Art of Term Structure Models – Drift [MR‑13]
The Art of Term Structure Models – Volatility and Distribution [MR‑14]

WEEK

05

Factor Theory [IM‑1]
Factors [IM‑2]
Alpha (and the low-risk Anomaly) [IM‑3]
Portfolio Construction [IM‑4]
Hedge Funds [IM‑9]

WEEK

06

Fundamentals of Credit Risk [CR‑1]
Governance [CR‑2]
Credit Risk Management [CR‑3]
Credit Scoring and Rating [CR‑6]
Credit Scoring and Retail Credit Risk Management [CR‑7]

WEEK

07

Capital Structure in Banks [CR‑4]
Introduction to Credit Risk Modeling and Assessment [CR‑5]
Estimating Default Probabilities [CR‑9]
Credit Value at Risk [CR‑10]
Portfolio Credit Risk [CR‑11]

WEEK

08

Credit Risk [CR‑12]
Credit Derivatives [CR‑13]
Derivatives [CR‑14]
Counterparty Risk and Beyond [CR‑15]
CVA [CR‑20]

WEEK

09

Netting, Close-out and Related Aspects [CR‑16]
Margin (Collateral) and Settlement [CR‑17]
Central Clearing [CR‑18]
Future Value and Exposure [CR‑19]
The Evolution of Stress Testing Counterparty Exposures [CR‑21]

WEEK

10

Structured Credit Risk [CR‑22]
An Introduction to Securitization [CR‑23]
Country Risk: Determinants, Measures, and Implications [CR‑8]
Performing Due Diligence on Specific Managers and Funds [IM‑10]
Predicting Fraud by Investment Managers [IM‑11]

WEEK

11

Liquidity Risk [LR‑1]
Liquidity and Leverage [LR‑2]
Illiquid Assets [LR‑19]
Liquidity and Reserves Management: Strategies and Policies [LR‑5]
Monitoring Liquidity [LR‑7]

WEEK

12

Early Warning Indicators [LR‑3]
Intraday Liquidity RiskManagement [LR‑6]
Liquidity Stress Testing [LR‑9]
Liquidity Risk Reporting and Stress Testing [LR‑10]
Contingency Funding Planning [LR‑11]

WEEK

13

Managing and Pricing Deposit Services [LR‑12]
Managing Nondeposit Liabilities [LR‑13]
Repurchase Agreements and Financing [LR‑14]
The Failure Mechanics of Dealer Banks [LR‑8]
Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques [LR‑18]

WEEK

14

Liquidity Transfer Pricing: A Guide to Better Practice [LR‑15]
The Investment Function in Financial-Services Management [LR‑4]
The US Dollar Shortage in Global Banking and the International Policy Response [LR‑16]
Covered Interest Parity Lost: Understanding the Cross-Currency Basis [LR‑17]

WEEK

15

Introduction to Operational Risk and Resilience [OR‑1]
Risk Governance [OR‑2]
Risk Identification [OR‑3]
Risk Measurement and Assessment [OR‑4]
Risk Mitigation [OR‑5]

WEEK

16

Risk Reporting [OR‑6]
Integrated Risk Management [OR‑7]
Supervisory Guidance on Model Risk Management [OR‑15]
Case Study: Model Risk and Model Validation [OR‑16]
Risk Capital Attribution and Risk-Adjusted Performance Measurement [OR‑18]

WEEK

17

Cyber-Resilience: Range and Practices [OR‑8]
Case Study: Cyber Threats and Information Security Risks [OR‑9]
Sound Management of Risks Related to Money Laundering and Financing of Terrorism [OR‑10]
Case Study: Financial Crime and Fraud [OR‑11]
Guidance on Managing Outsourcing Risk [OR‑12]
Case Study: Third-Party Risk Management [OR‑13]
Case Study: Investor Protection and Compliance Risks in Investment Activities [OR‑14]

WEEK

18

Capital Regulation Before the Global Financial Crisis [OR‑21]
Solvency, Liquidity, and Other Regulation After the Global Financial Crisis [OR‑22]
High-Level Summary of Basel III Reforms [OR‑23]
Basel III: Finalizing Post-Crisis Reforms [OR‑24]
Fundamental Review of the Trading Book (FRTB) [MR‑16]

WEEK

19

Range of practices and issues in economic capital frameworks [OR‑19]
Capital Planning at Large Bank Holding Companies: Supervisory Expectationsand Range of Current Practice [OR‑20]
Stress Testing Banks [OR‑17]
Messages from the Academic Literature on Risk Measurement for the TradingBook [MR‑6]

WEEK

20

Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank [CI‑1]
The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation [CI‑2]
Artificial Intelligence and Bank Supervision [CI‑3]
Financial Risk Management and Explainable, Trustworthy, Responsible AI [CI‑4]
Artificial Intelligence Risk Management Framework [CI‑5]
Climate-related risk drivers and their transmission channels [CI‑6]
Climate-related financial risks – measurement methodologies [CI‑7]
Principles for the effective management and supervision of climate-related financial risks [CI‑8]
The Crypto Ecosystem: Key Elements and Risks [CI‑9]
Digital Resilience and Financial Stability. The Quest for Policy Tools in The Financial Sector [CI‑10]

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FRM Part 2 - STUDY PLAN 2024

Overview

Instructor's Notes

Video Explanation

Overview

Instructor's Notes

Video Explanation

KEY used to represent the five modules:

MR

CR

OR

LR

IM

CI

Schedule

WEEK

01

WEEK

02

WEEK

03

WEEK

04

WEEK

05

WEEK

06

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07

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08

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09

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10

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11

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12

Instructor's
Notes

Video
Explanation