Wiley FRM Exam Review Study Guide 2016 Part I Volume 1: Foundations of Risk Management, Quantitative Analysis

Table of Contents:
How to Study for the Exam ix About the Instructor x Foundations of Risk Management (FRM) Lesson: Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York: McGraw-Hill, 2014). Chapter 1. Risk Management: A Helicopter View (Including Appendix 1.1) 3 Lesson: Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York: McGraw-Hill, 2014). Chapter 2. Corporate Risk Management: A Primer 9 Lesson: Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York: McGraw-Hill, 2014). Chapter 4. Corporate Governance and Risk Management 11 Lesson: James Lam, Enterprise Risk Management: From Incentives to Controls, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2014). Chapter 4. What Is ERM? 13 Lesson: “Governance, Risk Management and Risk-Taking in Banks,” René Stulz, Finance Working Paper 427/2014 (June 2014). 15 Lesson: Steve Allen, Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd Edition (New York: John Wiley & Sons, 2013). Chapter 4. Financial Disasters 19 Lesson: John Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015). Chapter 6. The Credit Crisis of 2007 23 Lesson: René Stulz, “Risk Management Failures: What Are They and When Do They Happen?” Fisher College of Business Working Paper Series, October 2008. 25 Lesson: Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, 9th Edition (Hoboken, NJ: John Wiley & Sons, 2014). Chapter 13. The Standard Capital Asset Pricing Model 29 Lesson: Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex, England: John Wiley & Sons, 2003). Chapter 4. Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators (Section 4.2 only) 33 Lesson: Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 10th Edition (New York: McGraw-Hill, 2013). Chapter 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return 37 Lesson: Anthony Tarantino and Deborah Cernauskas, Risk Management in Finance: Six Sigma and Other Next Generation Techniques (Hoboken, NJ: John Wiley & Sons, 2009). Chapter 3. Information Risk and Data Quality Management 43 Lesson: “Principles for Effective Data Aggregation and Risk Reporting” (Basel Committee on Banking Supervision Publication, January 2013). 45 Lesson: GARP Code of Conduct 49 Quantitative Analysis (QA) Lesson: Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition. (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 2. Probabilities 55 Lesson: Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition. (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 3. Basic Statistics 61 Lesson: Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition. (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 4. Distributions 69 Lesson: Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition. (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 6. Bayesian Analysis (pp. 113-124 only) 77 Lesson: Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition. (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 7. Hypothesis Testing and Confidence Intervals 81 Lesson: John Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015). Chapter 11. Correlations and Copulas 93 Lesson: James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston: Pearson, 2008). Chapter 4. Linear Regression with One Regressor 97 Lesson: James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston: Pearson, 2008). Chapter 5. Regression with a Single Regressor 111 Lesson: James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston: Pearson, 2008). Chapter 6. Linear Regression with Multiple Regressors 117 Lesson: James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston: Pearson, 2008). Chapter 7. Hypothesis Tests and Confidence Intervals in Multiple Regression 125 Lesson: Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006). Chapter 5. Modeling and Forecasting Trend (Section 5.4 only—Selecting Forecasting Models Using the Akaike and Schwarz Criteria) 133 Lesson: Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006). Chapter 7. Characterizing Cycles 137 Lesson: Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006). Chapter 8. Modeling Cycles: MA, AR, and ARMA Models 143 Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 23. Estimating Volatilities and Correlations for Risk Management 147 Lesson: Chris Brooks, Introductory Econometrics for Finance, 3rd Edition (Cambridge, UK: Cambridge University Press, 2014). Chapter 13. Simulation Methods 153 Appendix: Probability Table 157