Title: Financial Risk Manager (FRM) Certification Organization: Global Association of Risk Professionals (GARP) Price: Starting at $1600 USD **Requirements** The Financial Risk Manager (FRM) certification requires the passing of two exams and two years of relevant work experience. Both exams are multiple choice, with the first consisting of 100 questions, and the second consisting of 80 questions. They are administered via computer based testing (CBT). **Key Documents** - [Syllabus 2024](https://www.garp.org/hubfs/Website/FRM/PDF/Study%20Materials/2024/Learning-Objectives-FRM24.pdf) - [Study Guide 2024](https://www.garp.org/hubfs/Website/FRM/PDF/Study%20Materials/2024/Study-Guide-FRM24.pdf) ## Syllabus ### Part 1 | Topic | Readings | | ------------------------------ | ------------------ | | Foundations of Risk Management | GARP Book - Part 1 | | Quantitative Analysis | GARP Book - Part 1 | | Financial Markets and Products | GARP Book - Part 1 | | Valuation and Risk Models | GARP Book - Part 1 | ### Part 2 | Topics | Readings | | ------------------------------------------------------ | -------- | | Market Risk Measurement and Management | See list | | Credit Risk Measurement and Management | See list | | Operational Risk and Resilience | See list | | Liquidity and Treasury Risk Measurement and Management | See list | | Risk Management and Investment Management | See list | | Current Issues in Financial Markets | See list | ## Sources **Market Risk Measurement and Management** - Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, UK: John Wiley & Sons, 2005) - Chapters 3,4, 7 - Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York, NY: McGraw-Hill, 2007) - Chapters 6, 11 - “Messages from the academic literature on risk measurement for the trading book,” Basel Committee on Banking Supervision, Working Paper No. 19, January 2011. - Gunter Meissner, Correlation Risk Modeling and Management, 2nd Edition (Risk Books, 2019). - Chapters 1, 2, 5 - Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today’s Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). - Chapters 6, 7, 8, 9, 10 - John C. Hull, Options, Futures, and Other Derivatives, 10th Edition (New York, NY: Pearson, 2017). - Chapter 20 - John C. Hull, Risk Management and Financial Institutions, 5th Edition (Hoboken, NJ: John Wiley & Sons, 2018). - Chapter 18 **Credit Risk Measurement and Management** - Sylvain Bouteille and Diane Coogan-Pushner, The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2022). - Chapter 1, 2 - Hennie van Greuning and Sonja Brajovic Bratanovic, Analyzing Banking Risk, Fourth Edition (World Bank Group, 2020). - Chapter 7 - Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York, NY: John Wiley & Sons, 2002). - Chapter 5 - Michalis Doumpos, Christos Lemonakis, Dimitrios Niklis, and Constantin Zopounidis, Analytical Techniques in the Assessment of Credit Risk: An Overview of Methodologies and Applications (Springer, 2019). - Chapters 1, 2 - Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York, NY: McGraw-Hill, 2014). - Chapter 9 - Aswath Damodaran, Country Risk: Determinants, Measures, and Implications – The 2022 Edition (2022) - John C. Hull, Risk Management and Financial Institutions, Sixth Edition (John Wiley & Sons, 2023). - Chapter 17, 19 - Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). - Chapter 8, 9 - John C. Hull, Options, Futures, and Other Derivatives, 11th Edition (Pearson, 2022). - Chapter 24, 25 - Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital (West Sussex, UK: John Wiley & Sons, 2020). - Chapters 2, 3, 6, 7, 8, 11, 17 - Stress Testing: Approaches, Methods, and Applications, edited by Akhtar Siddique and Iftekhar Hasan (London, UK: Risk Books, 2013). - Chapter 4 - Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Securitisation, 2nd Edition (New York, NY: John Wiley & Sons, 2010). - Chapter 12 - ### Additional Readings **Bank Failures** - “[Review of the Federal Reserve's Supervision and Regulation of Silicon Valley Bank](https://www.federalreserve.gov/publications/files/svb-review-20230428.pdf)”, Board of Governors of the Federal Reserve System (2023) - "[The Credit Suisse CoCo Wipeout: Facts. Misperceptions, and Lessons for Financial Regulation](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4450098)", Swiss Finance Institute Number 23-32 (2023) **Artificial Intelligence** - “Artificial Intelligence and Bank Supervision”, Federal Reserve Bank of Richmond, Second Quarter (2023) - “Financial Risk Management and Explainable, Trustworthy, Responsible AI”, Fritz-Morgenthal S, Hein B and Papenbrock J (2022) Frontiers in Artificial Intelligence - “Artificial Intelligence Risk Management Framework”, National Institute of Standards and Technology **Climate** - “Climate-related risk drivers and their transmission channels,” Basel Committee on Banking Supervision Publication, April 2021 - “Climate- related financial risks – measurement methodologies,” Basel Committee on Banking Supervision Publication, April 2021 - “Principles for the effective management and supervision of climate-related financial risks,” Basel Committee on Banking Supervision Publication, June 2022 **Blockchain, Cyptocurrency, and Decentralized Finance** - “The Crypto Ecosystem: Key Elements and Risks,” Basel Committee on Banking Supervision Publication, July 2023 **Digital Resilience** - “Digital Resilience And Financial Stability. The Quest For Policy Tools In The Financial Sector” (April 13, 2023). Jose Ramon Martinez, Banco de Espana