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2019 Financial Risk Manager (FRM

®
) Learning Objectives Part I
© 2018 Global Association of Risk Professionals garp.org/frm 3
Foundations of Risk Management
PART I EXAM WEIGHT | 20% (FRM)
THE BROAD AREAS OF KNOWLEDGE COVERED IN READINGS RELATED TO
FOUNDATIONS OF RISK MANAGEMENT INCLUDE THE FOLLOWING:
• Basic risk types, measurement and management tools
• Creating value with risk management
• The role of risk management in corporate governance
• Enterprise Risk Management (ERM)
• Financial disasters and risk management failures
• The Capital Asset Pricing Model (CAPM)
• Risk-adjusted performance measurement
• Multifactor models
• Data aggregation and risk reporting
• Ethics and the GARP Code of Conduct
The readings that you should focus on for this section and the specific learning objectives that should be achieved with
each reading are:
Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York, NY:
McGraw-Hill, 2014).
Chapter 1. Risk Management: A Helicopter View (Including Appendix 1.1) [FRM–1]
After completing this reading you should be able to:
• Explain the concept of risk and compare risk management with risk taking.
• Describe the risk management process and identify problems and challenges that can arise in the risk
management process.
• Evaluate and apply tools and procedures used to measure and manage risk, including quantitative measures,
qualitative assessment, and enterprise risk management.
• Distinguish between expected loss and unexpected loss, and provide examples of each.
• Interpret the relationship between risk and reward and explain how conflicts of interest can impact
risk management.
• Describe and differentiate between the key classes of risks, explain how each type of risk can arise, and assess the
potential impact of each type of risk on an organization.
Chapter 2. Corporate Risk Management: A Primer [FRM–2]
After completing this reading you should be able to:
• Evaluate some advantages and disadvantages of hedging risk exposures.
• Apply appropriate methods to hedge operational and financial risks, including pricing, foreign currency, and
interest rate risk.
• Explain how a company can determine whether to hedge specific risk factors, including the role of the board of
directors and the process of mapping risks.
• Assess the impact of risk management instruments.2019 Financial Risk Manager (FRM
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) Learning Objectives Part I
© 2018 Global Association of Risk Professionals garp.org/frm 4
Chapter 4. Corporate Governance and Risk Management [FRM–3]
After completing this reading you should be able to:
• Compare and contrast best practices in corporate governance with those of risk management.
• Assess the role and responsibilities of the board of directors in risk governance.
• Evaluate the relationship between a firm’s risk appetite and its business strategy, including the role of incentives.
• Distinguish the different mechanisms for transmitting risk governance throughout an organization.
• Illustrate the interdependence of functional units within a firm as it relates to risk management.
• Assess the role and responsibilities of a firm’s audit committee.
James Lam, Enterprise Risk Management: From Incentives to Controls, 2nd Edition (Hoboken, NJ: John Wiley &
Sons, 2014).
Chapter 4. What is ERM? [FRM–4]
After completing this reading you should be able to:
• Describe Enterprise Risk Management (ERM) and compare and contrast differing definitions of ERM.
• Compare the benefits and costs of ERM and describe the motivations for a firm to adopt an ERM initiative.
• Describe the role and responsibilities of a Chief Risk Officer (CRO) and assess how the CRO should interact with
other senior management.
• Describe the key components of an ERM program.
René Stulz, “Risk Management, Governance, Culture and Risk Taking in Banks,” FRBNY Economic Policy Review,
(August 2016): 43–59. [FRM–5]
After completing this reading you should be able to:
• Assess methods that banks can use to determine their optimal level of risk exposure, and explain how the optimal
level of risk can differ across banks.
• Describe implications for a bank if it takes too little or too much risk compared to its optimal level.
• Explain ways in which risk management can add or destroy value for a bank.
• Describe structural challenges and limitations to effective risk management, including the use of Value at Risk (VaR)
in setting limits.
• Assess the potential impact of a bank’s governance, incentive structure, and risk culture on its risk profile and
its performance.
Steve Allen, Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd Edition
(New York, NY: John Wiley & Sons, 2013).
Chapter 4. Financial Disasters [FRM–6]
After completing this reading you should be able to:
• Analyze the key factors that led to and derive the lessons learned from the following risk management case studies:
- Chase Manhattan and their involvement with Drysdale Securities
- Kidder Peabody
- Barings
- Allied Irish Bank
- Union Bank of Switzerland (UBS)
- Société Générale
- Long-Term Capital Management (LTCM)
- Metallgesellschaft
- Bankers Trust
- JPMorgan, Citigroup, and Enron2019 Financial Risk Manager (FRM
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) Learning Objectives Part I
© 2018 Global Association of Risk Professionals garp.org/frm 5
Markus K. Brunnermeier, “Deciphering the Liquidity and Credit Crunch 2007–2008,” Journal of Economic
Perspectives (2009): 23(1), 77–100. [FRM–7]
After completing this reading you should be able to:
• Describe the key factors that contributed to the lending boom and housing frenzy.
• Explain the banking industry trends leading up to the financial crisis and assess the triggers for the liquidity crisis.
• Describe how securitized and structured products were used by investor groups and describe the consequences of
their increased use.
• Describe the economic mechanisms through which the mortgage crisis amplified into a financial crisis.
• Distinguish between funding liquidity and market liquidity and explain how the evaporation of liquidity can lead to a
financial crisis.
• Analyze how an increase in counterparty credit risk can generate additional funding needs and possible
systemic risk.
Gary Gorton and Andrew Metrick, “Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader’s Guide,”
Journal of Economic Literature (2012): 50(1), 128–150. [FRM–8]
After completing this reading you should be able to:
• Describe the historical background and provide an overview of the 2007–2009 financial crisis.
• Describe the build-up to the financial crisis and the factors that played an important role.
• Assess the consequences of the Lehman failure on the global financial markets.
• Describe the historical background leading to the recent financial crisis.
• Distinguish between the two main panic periods of the financial crisis and describe the state of the markets during each.
• Assess the governmental policy responses to the financial crisis and review their short-term impact.
• Describe the global effects of the financial crisis on firms and the real sector of the economy.
René Stulz, “Risk Management Failures: What Are They and When Do They Happen?” Journal of Applied Corporate
Finance 20, No. 4 (2008): 39–48. [FRM–9]
After completing this reading you should be able to:
• Explain how a large financial loss may not necessarily be evidence of a risk management failure.
• Analyze and identify instances of risk management failure.
• Explain how risk management failures can arise in the following areas: measurement of known risk exposures,
identification of risk exposures, communication of risks, and monitoring of risks.
• Evaluate the role of risk metrics and analyze the shortcomings of existing risk metrics.
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 [FRM–10]
After completing this reading you should be able to:
• Understand the derivation and components of the CAPM.
• Describe the assumptions underlying the CAPM.
• Interpret the capital market line.
• Apply the CAPM in calculating the expected return on an asset.
• Interpret beta and calculate the beta of a single asset or portfolio.2019 Financial Risk Manager (FRM
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) Learning Objectives Part I
© 2018 Global Association of Risk Professionals garp.org/frm 6
Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex, UK: John Wiley &
Sons, 2003).
Chapter 4. Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators
(Section 4.2 only) [FRM–11]
After completing this reading you should be able to:
• Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen’s alpha.
• Compute and interpret tracking error, the information ratio, and the Sortino ratio.
Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 11th Edition (New York, NY: McGraw-Hill, 2017).
Chapter 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return [FRM–12]
After completing this reading you should be able to:
• Describe the inputs, including factor betas, to a multifactor model.
• Calculate the expected return of an asset using a single-factor and a multifactor model.
• Describe properties of well-diversified portfolios and explain the impact of diversification on the residual risk of
a portfolio.
• Explain how to construct a portfolio to hedge exposure to multiple factors.
• Describe and apply the Fama-French three factor model in estimating asset returns.
“Principles for Effective Data Aggregation and Risk Reporting,” (Basel Committee on Banking Supervision
Publication, January 2013). [FRM–13]
After completing this reading you should be able to:
• Explain the potential benefits of having effective risk data aggregation and reporting.
• Describe key governance principles related to risk data aggregation and risk reporting practices.
• Identify the governance framework, risk data architecture and IT infrastructure features that can contribute to
effective risk data aggregation and risk reporting practices.
• Describe characteristics of a strong risk data aggregation capability and demonstrate how these characteristics
interact with one another.
• Describe characteristics of effective risk reporting practices.
• Describe the role that supervisors play in the monitoring and implementation of the risk data aggregation and
reporting practices.
GARP Code of Conduct.* [FRM–14]
After completing this reading you should be able to:
• Describe the responsibility of each GARP Member with respect to professional integrity, ethical conduct, conflicts
of interest, confidentiality of information, and adherence to generally accepted practices in risk management.
• Describe the potential consequences of violating the GARP Code of Conduct.
*This reading is freely available on the GARP website.2019 Financial Risk Manager (FRM