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FRM Study Modules

As you prepare for the FRM Exam, GARP will be highlighting topics that appear on the Exam to help candidates pace themselves through the Exam material. These topics directly correspond to the FRM Study GuideFRM Learning Objectives and to the related readings in the official FRM books.

FRM Exam Part I Study Modules

textbooks-part1

(p 1-20)
Chapter 1: The Building Blocks of Risk Management

(p 21-38)
Chapter 2: How Do Firms Manage Financial Risk?

(p 39-60)
Chapter 3: The Governance of Risk Management

(p 93-102)
Chapter 7: Risk Data Aggregation and Reporting Principles

(p 103-122)
Chapter 8: Enterprise Risk Management and Future Trends


(p 61-72)
Chapter 4. Credit Risk Transfer Mechanisms

(p 73-82)
Chapter 5: Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM)

(p 84-92)
Chapter 6: The Arbitrage Pricing Theory and Multifactor Models of Risk and Return


(p 141-152)
Chapter 10: Anatomy of the Great Financial Crisis of 2007-2009

(p 153-156)
GARP Code of Conduct*

(p 123-140)
Chapter 9: Learning from Financial Disasters


(p 1-10)
Chapter 1: Fundamentals of Probability

(p 11-26)
Chapter 2: Random Variables

(p 27-46)
Chapter 3: Common Univariate Random Variables

(p 47-62)
Chapter 4: Multivariate Random Variables

(p 63-82)
Chapter 5: Sample Moments


(p 83-100)
Chapter 6: Hypothesis Testing

(p 101-120)
Chapter 7: Linear Regression

(p 121-140)
Chapter 8: Regression with Multiple Explanatory Variables

(p 141-160)
Chapter 9: Regression Diagnostics


(p 161-188)
Chapter 10: Stationary Time Series

(p 189-212)
Chapter 11: Non-Stationary Time Series

(p 213-224)
Chapter 12: Measuring Returns, Volatility, and Correlation

(p 225-240)
Chapter 13: Simulation and Bootstrapping

(p 241-256)
Chapter 14: Machine-Learning Methods

(p 257-279)
Chapter 15: Machine Learning and Prediction


(p 1-14)
Chapter 1: Banks

(p 15-30)
Chapter 2: Insurance Companies and Pension Plans

(p 31-44)
Chapter 3: Fund Management

(p 57-70)
Chapter 5: Exchanges and OTC Markets

(p 71-82)
Chapter 6: Central Clearing


(p 123-134)
Chapter 10: Pricing Financial Forwards and Futures

(p 135-146)
Chapter 11: Commodity Forwards and Futures

(p 45-56)
Chapter 4. Introduction to Derivatives

(p 83-94)
Chapter 7: Futures Markets

(p 95-108)
Chapter 8: Using Futures for Hedging

(p 109-122)
Chapter 9: Foreign Exchange Markets


(p 147-158)
Chapter 12: Options Markets

(p 159-170)
Chapter 13: Properties of Options

(p 171-182)
Chapter 14: Trading Strategies

(p 183-194)
Chapter 15: Exotic Options


(p 195-212)
Chapter 16: Properties of Interest Rates

(p 213-224)
Chapter 17: Corporate Bonds

(p 225-240)
Chapter 18: Mortgages and Mortgage-Backed Securities

(p 241-254)
Chapter 19: Interest Rate Futures

(p 255-270)
Chapter 20: Swaps


(p 1-14)
Chapter 1: Measures of Financial Risk

(p 15-26)
Chapter 2: Calculating and Applying VaR

(p 27-40)
Chapter 3: Measuring and Monitoring Volatility


(p 41-54)
Chapter 4. External and Internal Ratings

(p 69-84)
Chapter 6: Measuring Credit Risk


(p 55-68)
Chapter 5: Country Risk: Determinants, Measures, and Implications

(p 85-98)
Chapter 7: Operational Risk

(p 99-114)
Chapter 8: Stress Testing


(p 127-138)
Chapter 10: Interest Rates

(p 139-150)
Chapter 11: Bond Yields and Return Calculations

(p 151-164)
Chapter 12: Applying Duration, Convexity, and DV01

(p 165-176)
Chapter 13: Modeling Non-Parallel Term Structure Shifts and Hedging

(p 115-126)
Chapter 9: Pricing Conventions, Discounting, and Arbitrage


(p 177-188)
Chapter 14: Binomial Trees

(p 189-202)
Chapter 15: The Black-Scholes-Merton Model

(p 203-218)
Chapter 16: Option Sensitivity Measures: The “Greeks”

FRM Exam Part II Study Modules

textbooks-part2

(p 1-16)
Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005). Chapter 3. Estimating Market Risk Measures: An Introduction and Overview

(p 17-34)
Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005). Chapter 4. Non-parametric Approaches

(p 35-48)
Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005). Chapter 7. Parametric Approaches (II): Extreme Value

(p 49-58)
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw-Hill, 2007). Chapter 6. Backtesting VaR

(p 59-72)
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw-Hill, 2007). Chapter 11. VaR Mapping

(p 73-104)
“Messages from the academic literature on risk measurement for the trading book,” Basel Committee on Banking Supervision, Working Paper, No. 19, Jan 2011.

(p 105-124)
Gunter Meissner, Correlation Risk Modeling and Management, 2nd Edition (London: Risk Books, 2019). Chapter 1. Correlation Basics: Definitions, Applications, and Terminology

(p 125-132)
Gunter Meissner, Correlation Risk Modeling and Management, 2nd Edition (London: Risk Books, 2019). Chapter 2. Empirical Properties of Correlation: How Do Correlations Behave in the Real World?

(p 133-138)
Gunter Meissner, Correlation Risk Modeling and Management, 2nd Edition (London: Risk Books, 2019). Chapter 5. Financial Correlation Modelling – Bottom-up Approaches


(p 139-154)
Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today's Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 6. Empirical Approaches to Risk Metrics and Hedges

(p 155-166)
Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today's Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 7. The Science of Term Structure Models

(p 167-174)
Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today's Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 8. The Evolution of Short Rates and the Shape of the Term Structure

(p 175-186)
Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today's Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 9. The Art of Term Structure Models: Drift

(p 187-192)
Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today's Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 10. The Art of Term Structure Models: Volatility and Distribution

(p 193-202)
John C. Hull, Options, Futures, and Other Derivatives, 10th Edition (New York: Pearson, 2017). Chapter 20. Volatility Smiles

(p 203-210)
John C. Hull, Risk Management and Financial Institutions, 5th Edition (Hoboken, NJ: John Wiley & Sons, 2018). Chapter 18. Fundamental Review of the Trading Book


(p 1-24)
Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 1. The Credit Decision

(p 25-56)
Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2013). Chapter 2 . The Credit Analyst

(p 57-66)
Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York, NY: John Wiley & Sons, 2002). Chapter 5. Capital Structure in Banks (pages 170-186 only)

(p 67-112)
Giacomo De Laurentis, Renato Maino, and Luca Molteni, Developing, Validating and Using Internal Ratings (West Sussex, United Kingdom: John Wiley & Sons, 2010). Chapter 3. Rating Assignment Methodologies


(p 113-130)
René Stulz, Risk Management & Derivatives (Florence, KY: Thomson South-Western, 2002). Chapter 18. Credit Risks and Credit Derivatives

(p 131-146)
Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 7. Spread Risk and Default Intensity Models

(p 147-158)
Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 8. Portfolio Credit Risk (Sections 8.1, 8.2, 8.3 only)

(p 159-184)
Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 9. Structured Credit Risk


(p 199-216)
Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). Chapter 6. Netting, Close-out, and Related Aspects

(p 217-246)
Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). Chapter 7. Margin (Collateral) and Settlement

(p 247-268)
Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). Chapter 11. Future Value and Exposure

(p 269-296)
Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). Chapter 17. CVA

(p 297-306)
Akhtar Siddique and Iftekhar Hasan (eds.), Stress Testing: Approaches, Methods, and Applications, (London, UK: Risk Books, 2013). Chapter 4. The Evolution of Stress Testing Counterparty Exposures

(p 185-198)
Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020). Chapter 3. Counterparty Risk and Beyond


(p 307-320)
Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York: McGraw-Hill, 2014). Chapter 9. Credit Scoring and Retail Credit Risk Management

(p 321-348)
Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York: McGraw-Hill, 2014). Chapter 12. The Credit Transfer Markets—and Their Implications

(p 349-368)
Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Securitization, 2nd Edition (New York: John Wiley & Sons, 2010). Chapter 12. An Introduction to Securitization

(p 369-424)
Adam Ashcraft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit,” Federal Reserve Bank of New York Staff Reports, No. 318 (March 2008).


(p 163-176)
"Sound Management of Risks related to Money Laundering and Financing of Terrorism," Basel Committee on Banking Supervision, revised July 2020. (through p.16, para. 83)

(p 3-14)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 1. Introduction to Operational Risk and Resilience

(p 177-184)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 11. Case Study: Financial Crime and Fraud

(p 185-192)
“Guidance on Managing Outsourcing Risk,” Board of Governors of the Federal Reserve System, December 2013.

(p 193-198)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 13. Case Study: Third-party Risk Management

(p 199-202)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities

(p 203-216)
“Supervisory Guidance on Model Risk Management,” Federal Deposit Insurance Corporation, June 7, 2017

(p 217-222)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 16. Case Study: Model Risk and Model Validation

(p 15-32)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 2. Risk Governance

(p 33-52)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 3. Risk Identification

(p 53-76)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 4. Risk Measurement and Assessment

(p 77-94)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 5. Risk Mitigation

(p 95-112)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 6. Risk Reporting

(p 113-132)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 7. Integrated Risk Management

(p 133-154)
“Cyber-resilience: Range of practices,” Basel Committee on Banking Supervision Publication, December 2018

(p 155-162)
Global Association of Risk Professionals, Operational Risk and Resilience (New York, NY: Pearson, 2022). Chapter 9. Case Study: Cyberthreats and Information Security Risks


(p 183-194)
Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York: McGraw-Hill, 2014). Chapter 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement

(p 195-236)
“Range of practices and issues in economic capital frameworks,” (Basel Committee on Banking Supervision Publication, March 2009).

(p 267-282)
“Stress Testing Banks,” Til Schuermann, reprinted from the International Journal of Forecasting 30, no. 3, (2014) pp. 717–728.


(p 237-266)
“Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,” Board of Governors of the Federal Reserve System, August 2013.

(p 323-336)
Mark Carey, “Capital Regulation Before the Global Financial Crisis,” GARP Risk Institute, April 2019.

(p 337-346)
Mark Carey, “Solvency, Liquidity and Other Regulation After the Global Financial Crisis,” GARP Risk Institute, April 2019.

(p 347-356)
“High-level summary of Basel III reforms,” Basel Committee   on Banking Supervision Publication, December 2017.

(p 357-365)
“Basel III: Finalising post-crisis reforms,” Basel Committee on Banking Supervision Publication, December 2017, pp. 128-136


(p 1-16)
John C. Hull, Risk Management and Financial Institutions, 5th Edition (Hoboken, NJ: John Wiley & Sons, 2018). Chapter 24. Liquidity Risk

(p 381-400)
Andrew Ang, Asset Management: A Systematic Approach to Factor Investing (New York, NY: Oxford University Press, 2014). Chapter 13. Illiquid Assets

(p 17-44)
Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 12. Liquidity and Leverage

(p 45-54)
Shyam Venkat, Stephen Baird, Liquidity Risk Management (Hoboken, NJ: John Wiley & Sons, 2016). Chapter 6. Early Warning Indicators

(p 55-86)
Peter Rose, Sylvia Hudgins, Bank Management & Financial Services, Ninth Edition (New York, NY: McGraw-Hill, 2013). Chapter 10. The Investment Function in Financial Services Management

(p 87-118)
Peter Rose, Sylvia Hudgins, Bank Management & Financial Services, Ninth Edition (New York, NY: McGraw-Hill, 2013). Chapter 11. Liquidity and Reserves Management: Strategies and Policies

(p 119-132)
Shyam Venkat, Stephen Baird, Liquidity Risk Management (Hoboken, NJ: John Wiley & Sons, 2016). Chapter 4. Intraday Liquidity Risk Management

(p 133-154)
Antonio Castagna, Francesco Fede, Measuring and Managing Liquidity Risk (United Kindom, John Wiley & Sons, 2013). Chapter 6. Monitoring Liquidity


(p 187-208)
Moorad Choudhry, The Principles of Banking Institutions (Singapore: John Wiley & Sons, 2012). Chapter 14. Liquidity Risk Reporting and Stress Testing

(p 209-220)
Shyam Venkat, Stephen Baird, Liquidity Risk Management (Hoboken, NJ: John Wiley & Sons, 2016). Chapter 7. Contingency Funding Planning

(p 221-246)
Peter Rose, Sylvia Hudgins, Bank Management & Financial Services, 9th Edition (New York, NY: McGraw-Hill, 2013). Chapter 12. Managing and Pricing Deposit Services

(p 247-272)
Peter Rose, Sylvia Hudgins, Bank Management & Financial Services, 9th Edition (New York, NY: McGraw-Hill, 2013). Chapter 13. Managing Nondeposit Liabilities

(p 155-170)
Darrell Duffie, 2010. “The Failure Mechanics of Dealer Banks,” Journal of Economic Perspectives 24:1, 51-72.

(p 171-186)
Shyam Venkat, Stephen Baird, Liquidity Risk Management (Hoboken, NJ: John Wiley & Sons, 2016). Chapter 3. Liquidity Stress Testing


(p 273-286)
Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today’s Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 12. Repurchase Agreements and Financing

(p 287-308)
Joel Grant, 2011. “Liquidity Transfer Pricing: A Guide to Better Practice,” Occasional Paper, Financial Stability Board, Bank for International Settlements.

(p 309-332)
Patrick McGuire, Gotz von Peter, 2009. “The US Dollar Shortage in Global Banking and the International Policy Response,” BIS Working Papers, Bank for International Settlements.

(p 333-348)
Claudio Borio, Robert McCauley, Patrick McGuire, Vladyslav Sushko, 2016. “Covered Interest Rate Parity Lost: Understanding the Cross-Currency Basis,” BIS Quarterly Review.

(p 349-380)
Peter Rose, Sylvia Hudgins, Bank Management & Financial Services, Ninth Edition (New York, NY: McGraw-Hill, 2013). Chapter 7. Risk management for Changing Interest Rates: Asset-Liability Management and Duration Techniques


(p 1-12)
Andrew Ang, Asset Management: A Systematic Approach to Factor Investing (New York: Oxford University Press, 2014). Chapter 6. Factor Theory

(p 13-28)
Andrew Ang, Asset Management: A Systematic Approach to Factor Investing (New York: Oxford University Press, 2014). Chapter 7. Factors

(p 29-52)
Andrew Ang, Asset Management: A Systematic Approach to Factor Investing (New York: Oxford University Press, 2014). Chapter 10. Alpha (and the Low-Risk Anomaly)

(p 53-68)
Richard Grinold and Ronald Kahn, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd Edition (New York: McGraw-Hill, 2000). Chapter 14. Portfolio Construction

(p 69-82)
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: Analytical Methods


(p 187-200)
Kevin R. Mirabile, Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance (Hoboken, NJ: Wiley Finance, 2016). Chapter 12. Performance Due Diligence on Specific Managers and Funds

(p 201-228)
Stephen G. Dimmock and William C. Gerken: Detecting Fraud by Investment Managers, Jounal of Financial Economics (2012).

(p 83-94)
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw-Hill, 2007). Chapter 17. VaR and Risk Budgeting in Investment Management

(p 95-116)
Robert Litterman and the Quantitative Resources Group, An Equilibrium Approach (Hoboken, N.J. : John Wiley, 2003). Chapter 17. Risk Monitoring and Performance Management

(p 117-146)
Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 12th Edition (New York: McGraw-Hill, 2020). Chapter 24. Portfolio Performance Evaluation

(p 147-186)
G. Constantinides, M. Harris and R. Stulz, eds., Handbook of the Economics of Finance, Volume 2B (Oxford, UK: Elsevier, 2013). Chapter 17. Hedge Funds


(p 0-0)
Aziz, S. and M. Dowling (2019). “Machine Learning and AI for Risk Management”, in T. Lynn, G. Mooney, P. Rosati, and M. Cummins (eds.), Disrupting Finance: FinTech and Strategy in the 21st Century, Palgrave, 2019).

(p 0-0)
“Artificial Intelligence Risk & Governance,” Artificial Intelligence/Machine Learning Risk & Security Working Group (AIRS).

(p 0-0)
“Climate-related risk drivers and their transmission channels,” Basel Committee on Banking Supervision Publication, April 2021.

(p 0-0)
“Climate- related financial risks – measurement methodologies,” Basel Committee on Banking Supervision Publication, April 2021.

(p 0-0)
“Principles for the effective management and supervision of climate-related financial risks,” Basel Committee on Banking Supervision Publication, June 2022.

(p 0-0)
“Inflation: a look under the hood,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 41-64.

(p 0-0)
David Andolfatto and Fernando M. Martin, “The Blockchain Revolution: Decoding Digital Currencies,” Federal Reserve Bank of St. Louis Review, Third Quarter 2022, pp. 149-65.

(p 0-0)
“The future monetary system,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 75-103.

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