FRMLevelISubjectSchedule2009

Subject SpecificTopic Chapter

PhilippeJorion,ValueatRisk:TheNewBenchmarkforManaging FinancialRisk,3rdEdition(NewYork:McGrawHill,2007). Chapter1:TheNeedforRiskManagement RenStulz,RiskManagement&Derivatives(Florence,KY: ThomsonSouthWestern,2002). Chapter2:InvestorsandRiskManagement Chapter3:CreatingValuewithRiskManagement NoelAmencandVeroniqueLeSourd,PortfolioTheoryand PerformanceAnalysis(WestSussex,England:JohnWiley&Sons, 2003). Chapter4:TheCapitalAssetPricingModelandItsApplicationto PerformanceMeasurement RichardGrinoldandRonaldKahn,ActivePortfolioManagement:A QuantitativeApproachforProducingSuperiorReturnsand ControllingRisk,2ndEdition(NewYork:McGrawHill,1999). Chapter7:ExpectedReturnsandtheArbitragePricingTheory RenStulz,RiskManagementFailures:WhatareTheyandWhen DoTheyHappen?FisherCollegeofBusinessWorkingPaperSeries (October2008). RetoGallati,RiskManagementandCapitalAdequacy(NewYork: McGrawHill,2003). Chapter6:CaseStudies GARPCodeofConduct. http://www.garp.com/about/GARPCodeofConduct.aspx.

Instructor

Creatingvaluewithriskmanagement

YoussefNizam, FRM

Marketefficiency,equilibriumandthe CapitalAssetPricingModel(CAPM) Performancemeasurementand attribution Sharperatioandinformationratio Trackingerror FactormodelsandArbitragePricing Theory

YoussefNizam, FRM YoussefNizam, FRM YoussefNizam, FRM YoussefNizam, FRM YoussefNizam, FRM YoussefNizam, FRM YoussefNizam, FRM YoussefNizam, FRM

Part1: Foundations ofRisk Management

Riskmanagementfailures

Casestudies Ethics

FRM2009ScheduleInstituteForFinancialAnalystsIFA

Subject

SpecificTopic

Chapter

Instructor
GhaziHomsi HayfaaTlaiss,Ph.D., FRM

Part2: Quantitative Analysis

DamodarGujarati,EssentialsofEconometrics,3rdEdition(NewYork: Mean,standarddeviation, McGrawHill,2006). correlation,skewness,andkurtosis Chapter1:TheNatureandScopeofEconometrics DamodarGujarati,EssentialsofEconometrics,3rdEdition(NewYork: McGrawHill,2006). Chapter2:ReviewofStatistics:ProbabilityandProbability Distributions SvetlozarRachev,ChristianMennandFrankFabozzi,FatTailedand Probabilitydistributions SkewedAssetReturnDistributions:ImplicationsforRisk Management,PortfolioSelectionandOptionPricing(Hoboken,NJ: JohnWiley&Sons,2005). Chapter2:DiscreteProbabilityDistributions Chapter3:ContinuousProbabilityDistributions DamodarGujarati,EssentialsofEconometrics,3rdEdition(NewYork: Estimatingparametersof McGrawHill,2006). distributions Chapter3:CharacteristicsofProbabilityDistributions Chapter4:SomeImportantProbabilityDistributions Linearregressionandcorrelation, DamodarGujarati,EssentialsofEconometrics,3rdEdition(NewYork: hypothesistesting McGrawHill,2006). Chapter5:StatisticalInference:EstimationandHypothesisTesting Chapter6:BasicIdeasofLinearRegression:TheTwoVariableModel Statisticalinference Chapter7:TheTwoVariableModel:HypothesisTesting Chapter8:MultipleRegression:EstimationandHypothesisTesting 10.JohnHull,Options,Futures,andOtherDerivatives,7thEdition Estimatingcorrelationand (NewYork:PrenticeHall,2009). volatility Chapter21:EstimatingVolatilitiesandCorrelations EWMA,GARCHmodels Maximumlikelihoodmethods 10.JohnHull,Options,Futures,andOtherDerivatives,7thEdition Volatilitytermstructures (NewYork:PrenticeHall,2009). Chapter21:EstimatingVolatilitiesandCorrelations Jorion,ValueatRisk,3rdEdition. Simulationmethods Chapter12:MonteCarloMethods

GhaziHomsi HayfaaTlaiss,Ph.D., FRM

GhaziHomsi HayfaaTlaiss,Ph.D., FRM GhaziHomsi HayfaaTlaiss,Ph.D., FRM GhaziHomsi HayfaaTlaiss,Ph.D., FRM GhaziHomsi HayfaaTlaiss,Ph.D., FRM

FRM2009ScheduleInstituteForFinancialAnalystsIFA

Subject

SpecificTopic
Clearinghousemechanisms, structuralhubs,exchanges Netting,collateralanddowngrade triggers

Chapter

Instructor

Futures,forwards,swaps,and options

JohnCaouette,EdwardAltman,PaulNarayananandRobert Nimmo,ManagingCreditRisk:TheGreatChallengeforthe AssemSafieddine, GlobalFinancialMarkets,2ndEdition(JohnWiley&Sons,2008). Ph.D.,FRM Chapter5:StructuralHubs:Clearinghouses,DerivativeProduct Companies,andExchanges AssemSafieddine, Ph.D.,FRM Hull,Options,Futures,andOtherDerivatives,7thEdition. Chapter1:Introduction AssemSafieddine, Chapter2:MechanicsofFuturesMarkets Ph.D.,FRM Chapter3:HedgingStrategiesUsingFutures Chapter4:InterestRates Chapter5:DeterminationofForwardandFuturesPrices Hull,Options,Futures,andOtherDerivatives,7thEdition. Chapter6:InterestRateFutures Hull,Options,Futures,andOtherDerivatives,7thEdition. Chapter9:PropertiesofStockOptions Hull,Options,Futures,andOtherDerivatives,7thEdition. Chapter10:TradingStrategiesInvolvingOptions RobertMcDonald,DerivativesMarkets(AddisonWesley,2003). Chapter6:CommodityForwardsandFutures HelyetteGeman,CommoditiesandCommodityDerivatives: ModelingandPricingforAgriculturals,Metalsand Energy(WestSussex,England:JohnWiley&Sons,2005). Chapter1:FundamentalsofCommoditySpotandFutures Markets:Instruments,ExchangesandStrategies AssemSafieddine, Ph.D.,FRM AssemSafieddine, Ph.D.,FRM AssemSafieddine, Ph.D.,FRM AssemSafieddine, Ph.D.,FRM AssemSafieddine, Ph.D.,FRM

Part3:Financial Marketsand Products

Derivativesonfixedincome securities,interestrates,foreign exchange,equities,and commodities Measuringportfolioexposures Americanoptions,effectsof dividends,earlyexercise Tradingstrategieswithderivatives Minimumvariancehedgeratio Cheapesttodeliverbond, conversionfactors

Commodityderivatives,costof carry,leaserate,convenienceyield

AssemSafieddine, Ph.D.,FRM

FRM2009ScheduleInstituteForFinancialAnalystsIFA

Subject

Basisrisk SpecificTopic

Foreignexchangerisk

Corporatebonds Debtequityswaps,loansales,Brady bonds

Chapter AnthonySaundersandMarciaMillonCornett,Financial InstitutionsManagement:ARiskManagement Approach,6thEdition(NewYork:McGrawHill,2008). Chapter14:ForeignExchangeRisk Appendix15A:MechanismsforDealingwithSovereignRisk Exposure FrankFabozzi,TheHandbookofFixedIncomeSecurities,7th Edition(NewYork:McGrawHill,2005). Chapter13:CorporateBonds Hull,Options,Futures,andOtherDerivatives,7thEdition. Chapter7:Swaps

Instructor/Week
AssemSafieddine, Ph.D.,FRM

AssemSafieddine, Ph.D.,FRM AssemSafieddine, Ph.D.,FRM

FRM2009ScheduleInstituteForFinancialAnalystsIFA

Subject

SpecificTopic
ValueatRisk(VaR) Definitionandmethods Deltanormalvaluation,full revaluation,historicalsimulation, MonteCarlosimulationmethods ApplicationsofVaRformarket, creditandoperationalrisk VaRoflinearandnonlinear derivatives VaRforfixedincomesecuritieswith embeddedoptions StructuredMonteCarlo

Chapter

Instructor/Week
KhaledAbdelSamad, FRM KhaledAbdelSamad, FRM KhaledAbdelSamad, FRM KhaledAbdelSamad, FRM KhaledAbdelSamad, FRM KhaledAbdelSamad, FRM KhaledAbdelSamad, FRM

LindaAllen,JacobBoudoukhandAnthonySaunders, UnderstandingMarket,CreditandOperationalRisk:TheValueat RiskApproach(Oxford:BlackwellPublishing,2004). Chapter2:QuantifyingVolatilityinVaRModels Chapter3:PuttingVaRtoWork Chapter5:ExtendingtheVaRApproachtoOperationalRisks

BruceTuckman,FixedIncomeSecurities,2ndEdition(Hoboken, NJ:JohnWiley&Sons,2002). Chapter1:BondPrices,DiscountFactors,andArbitrage BruceTuckman,FixedIncomeSecurities,2ndEdition(Hoboken, NJ:JohnWiley&Sons,2002). Chapter2:BondPrices,SpotRates,andForwardRates Chapter3:YieldtoMaturity BruceTuckman,FixedIncomeSecurities,2ndEdition(Hoboken, NJ:JohnWiley&Sons,2002). Chapter5:OneFactorMeasuresofPriceSensitivity MichaelOng,InternalCreditRiskModels:CapitalAllocationand PerformanceMeasurement(London:RiskBooks,2003). Chapter4:LoanPortfoliosandExpectedLoss Chapter5:UnexpectedLoss

Part4:Valuation andRiskModels

Termstructureofinterestrates Discountfactors,arbitrage,yield curves Bondprices,spotrates,forward rates

KhaledAbdelSamad, FRM

DV01,durationandconvexity, durationbasedhedging

FRM2009ScheduleInstituteForFinancialAnalystsIFA

Subject

SpecificTopic

Chapter

Instructor/Week

Creditratingagencies,creditratings

Credittransitionmatrices

Sovereignriskandcountryrisk evaluation

Binomialtrees BlackScholesMertonmodel Greeks

Stresstestingandscenarioanalysis

Caouette,Altman,NarayananandNimmo,ManagingCreditRisk, KhaledAbdelSamad, FRM 2ndEdition. Chapter6:TheRatingAgencies ArnauddeServignyandOlivierRenault,MeasuringandManaging CreditRisk(NewYork:McGrawHill,2004). Chapter2:ExternalandInternalRatings KhaledAbdelSamad, FRM Caouette,Altman,NarayananandNimmo,ManagingCreditRisk, KhaledAbdelSamad, FRM 2ndEdition. Chapter23:CountryRiskModels SaundersandCornett,FinancialInstitutionsManagement,6th Edition. Chapter15:SovereignRisk(excludingAppendix15A) Hull,Options,Futures,andOtherDerivatives,7thEdition. KhaledAbdelSamad, Chapter11:BinomialTrees FRM Hull,Options,Futures,andOtherDerivatives,7thEdition. KhaledAbdelSamad, Chapter13:TheBlackScholesMertonModel FRM Hull,Options,Futures,andOtherDerivatives,7thEdition. KhaledAbdelSamad, Chapter17:TheGreekLetters FRM KhaledAbdelSamad, Jorion,ValueatRisk,3rdEdition. FRM Chapter14:StressTesting PrinciplesforSoundStressTestingPracticesandSupervision (BaselCommitteeonBankingSupervision Publication,January2009).http://www.bis.org/publ/bcbs147.pdf.

FRM2009ScheduleInstituteForFinancialAnalystsIFA