Frm Part 2 - Book 1 - Market Risk (Part 1/2)

FRM Course by Prof. James Forjan, PhD

What you'll learn
FRM Part 2 - Book 1 - Market Risk (Part 1/2)
Requirements
No requirement
Description
James Forjan has taught graduate and post-graduate finance classes for over 25 years and has also co-authored college-level investment books. His resume includes:BS in AccountingMaster of Science in FinancePhD in Finance (minor in Economics, two PhD level courses in Econometrics)Completed the CFA Program in 2004 and earned the CFA charter later that yearCollege professor who taught at six institutions since classes such as Corporate Finance, Investments, Derivatives Securities, International FinanceIn this course, Prof. James Forgan, PhD, summarizes the first 9 chapters from the Market Risk Measurement and Management book so you can learn or review all of the important concepts for your FRM part 2 exam.This course includes the following chapters:1. Estimating Market Risk Measures2. Non-Parametric Approaches3. Parametric Approaches (II): Extreme Value4. Backtesting VaR5. VaR Mapping6. Messages from the Academic Literature on Risk Management for the Trading Book7. Some Correlation Basics: Properties, Motivation, Terminology8. Empirical Properties of Correlation: How Do Correlations Behave in the Real World?9. Financial Correlation Modeling – Bottom-Up Approaches

Overview

Section 1: Market Risk Measurement and Management

Lecture 1 Estimating Market Risk Measures

Lecture 2 Non-Parametric Approaches

Lecture 3 Parametric Approaches (II): Extreme Value

Lecture 4 Backtesting VaR

Lecture 5 VaR Mapping

Lecture 6 Messages from the Academic Literature on Risk Management for the Trading Book

Lecture 7 Some Correlation Basics: Properties, Motivation, Terminology

Lecture 8 Empirical Properties of Correlation-How Do Correlations Behave in the Real World

Lecture 9 Financial Correlation Modeling – Bottom-Up Approaches

FRM Part 2 candidates and risk management enthusiasts