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Do you have confusion regarding CFA vs FRM? Download our App. Part 1 exam must be cleared by candidate in order to have Part 2 graded. Fees Structure (CFA vs. Pass the CFA, CAIA, and FRM exams with confidence using Kaplan Schweser study materials. Find out what makes us the global industry leader in CFA exam prep now.
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May 11, 2018 Hi guys, I've signed up for FRM Part 1 in Nov 2017. 2 from schweser and 1 from GARP should be enough provided you understand the material very well. Best FRM part 1 and FRM part 2 question bank available on the. FRM Study Materials and Question Bank. Our FRM Question Bank contains more than 3,000 exam-style. Take advantage of these free study materials for the FRM exam from Kaplan Schweser. Get a competitive edge in your studies with our free resources. CFA 2017 Level 1 Schweser Notes Book 1.pdf. View Download: CFA Level 1 Mock Exam 2 Solution. FRM part 1 Qbank-20100Z-001.zip.
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Kaplan Schweser FRM Part 1 (Kaplan Schweser FRM. 2018 FRM Exam Answer Set FRM Part 1 Financial Risk manager. Audible Download Audiobooks.
Frm Level 1
FRM 12012 Part I I Book 1
~APLA!y SCHWESER
FRM PART I BOOK 1: FOUNDATIONS OF RISK MANAGEMENT
INTRODUCTION TO THE 2012 KAPLAN SCHWESER STUDY NOTES 3
GARP 2012 FRM PART I STUDY GUIDE 5
FOUNDATIONS OF RISK MANAGEMENT
1: The Need for Risk Management 10
2: Delineating Efficient Portfolios 22
3: The Standard Capital Asset Pricing Model 41
4: Nonstandard Forms of Capital Asset Pricing Models 53
5: The Arbitrage Pricing Model APT -A New Approach to Explaining Asset Prices 62
6; Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators 72
7: Overview of Enterprise Risk Management 84
8: Creating Value with Risk Management 94
9; Financial Disasters 102
10: Risk Management Failures: What Are They and When Do They Happen? 117
11: GARP Code of Conduct 125
CHALLENGE PROBLEMS
CHALLENGE PROBLEM ANSWERS 134
GARP FRM PRACTICE EXAM QUESTIONS
GARP FRM PRACTICE EXAM ANSWER6 143
FORMULAS '.
ApP-ENDIX 152
INDEX 155
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FRM PART I BOOK I: FOUNDATIONS OF RISK MANAGEMENT
INTRODUCTION TO THE 2012 KAPLAN SCHWESER STUDY NOTES FRM EXAM PART I
Thank you for trusting Kaplan Schweser to help you reach your career and education goals. We are very pleased to be able to help you prepare for the 2012 FRM Exam. In this introduction, I want to explain what is included in the Study Notes, suggest how you can best use Kaplan Schweser materials to prepare for the exam, and direct you toward other educational resources you will find helpful as you study for the exam.
Study Notes-A 4-book set that includes complete coverage of all risk-related topic ' areas and AIM statements, as well as Concept Checkers (multiple-choice questions for every assigned reading) and Challenge Problems (exam-like questions). In addition, the Study Notes include background material for a number of key FRM-related concepts (these background readings supplement the curriculum). At the end of each book, we have included relevant questions from past GARP FRM practice exams. These old exam questions are a great tool for understanding the format and difficulty of actual exam questions.
To help you master the FRM material and be well prepared for the exam, we offer several additional educational resources, including:
8-Week Online Class-Live online program (eight 3-hour sessions) that is offered each week, beginning in March for the May exam and September for the November exam. The online class brings the personal attention of a classroom into your home or office with 24 hours of real-time instruction led by either Dr. John Paul Broussard, CFA, FRM, PRM or Dr. Greg Filbeck, CFA, FRM, CAIA. The class offers in-depth coverage of difficul~ conc;epts, instant feedback during lecture and Q&A sessiohs, and discusjs>n of past FRM exam questions. Archived classes are availablp for viewing at any time throughout the study season. Candidates enrolled in the Online Class also have access to downloadable slide files and Instructor E-mail Access, where they can send questions to the instructor at any time.
If you have purchased the Schweser Study Notes as part of the Essential, Premium, or PremiumPlus Solution.. you will also receive aCKess to Instructor-led Office Hours. Office Hours allow you to your FRM-related questions answered in.real time and view questions from other candidates. (and faculty answers) as well. Office Hours is a text-based, live, interactive, online chat withhe weekly online class instructor. Archives of previous Instructor-led Office HoUTs sessions are sorted by topic and are posted shortly after each seSSIOn. ~
Practice Exams-The Practice Exam Book contains two full-length, 100-question (4-hour) exams. These exams are .important tools fo(gaining the speed and confidence you will need to pass the exam. Each exam contains answer explanations for self-grading. Also, by entering your answers at Schweser.com, you can use our Performance Tracker to find Out how you have performed compared to other Kaplan Schweser FRM candidates.
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Introduction to the 2012 Kaplan Schweser Study Notes
Page 4
Interactive Study Calendar-Use your Online Access to tell us when you will start and what days of the week you can study. The Interactive Study Calendar will create a study plan just for you, breaking each topic area into daily and weekly tasks to keep you on track and help you monitor your progress through the FRM curriculum.
Online Question Database-In order to retain what you learn,iflslmportant that you quiz yourself often. We offer download and online versions of our FRM SchweserPro Qbank, which contains over 1,000 practice questions and explanations for Part I of the FRM Program.
In addition to these study products, there are many educational resources available at Schweser.com, including the FRM Video Library and the FRM Exam-tips Blog. Just log into your account using the individual username and password that you received when you purchased the Schweser Study Notes.
How to Succeed
The FRM exam is a formidable challenge, and you must devote considerable time and effort to be properly prepared. You must learn the material, know the terminology and techniques, understand the concepts, and be able to answer at least 70% of the questions quickly and correctly. 250 hours is a good estimate of the study time required on average, but some candidates will need more or less time depending on their individual backgrounds and experience. To provide you with an overview of the FRM Part I curriculum, we have included a list of all GARP assigned readings in the order they appear in our Study Notes. Every topic in our Notes is cross-referenced to an FRM assigned reading, so should you require additional clarification with certain concepts, you can consult the appropriate assigned reading.
There are no shortcuts to studying for this exam. Expect GARP to test you in a way that will reveal how well you know the FRM curriculum. You should begin studying early and stick to your study plan. You should first read the Study Notes and complete the Concept Checkers for each topic. A~ the end of each book,-you-s-pould answer the provided Ch~llenge Problems and practice exam que9(ions~understand how concepts have been tested in the past. Youican also attend our 8-Week Oniine Class to assist with retention of the exam concepts. Yo~ should finish the overall curriculum at least two weeks before the FRM exam. This will allow sufficient time for Practice Exams and further review of those topics that you have not yet mastered.
Best wishes for your studies and your continued success,
&ueS~ '. ,
-- Eric Smith, CFA, FRM .. Senior Project Manager Kaplan Schweser
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GARP 2012 FRM PART I STUDY GUIDE
FOUNDATIONS OF RISK MANAGEMENT Part I Exam Weight: 20%
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk 3rd Edition (New York: McGraw-Hill, 2007). 1: Chapter 1 - The Need for Risk Management
Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, 8th Edition (Hoboken, NJ: John Wiley & Sons, 2009). 2: Chapter 5 Delineating Efficient Portfolios 3: Chapter 13 The Standard Capital Asset Pricing Model 4: Chapter 14 Nonstandard Forms of Capital Asset Pricing Models 5: Chapter 16 - The Arbitrage Pricing Model APT - A New Approach to Explaining Asset
Prices
Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex, England: John Wiley & Sons, 2003). 6:
7:
Chapter 4 - Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators
Casualty Actuarial Society, Enterprise Risk Management Committee, 'Overview of Enterprise Risk Management,' May 2003.
Rene M. Stulz, Risk Mf1:nagement 6- Derivative/.- (Florence, KY: Thomson South-Western, 2002).
8: Chapter 3 - geating Value 'rith Risk Management
2012 Kaplan, Inc. Page 5
Introduction to the 2012 Kaplan Schweser Study Notes
Page 6
Steve Allen, Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk (New York: John Wiley & Sons, 2003). 9: ChapterA - Financial Disasters
10: Rene M. Stulz, 'Risk Management Failures: What Are They andWhen Do They Happen?' Fisher College of Business Working Paper Series (Oct. 2008).
11: GARP Code of Conduct (available on GARP website)
QUANTITATIVE ANALYSIS Part I Exam Weight: 20%
James Stock and Mark Watson, Introduction to Econometrics, Brkf Edition (Boston: Pearson Education, 2008). 12: Chapter 2 - Review of Probability 13: Chapter 3 - Review of Statistics 14: Chapter 4 - Linear Regression with One Regressor 15: Chapter 5 - Regression with a Single Regressor: Hypothesis
Intervals
16: Chapter 6 - Linear Regression with Multiple Regressors
and Confidence
17: Chapter 7 - Hypothesis Tests and Confidence Intervals in Multiple Regression
Svetlozar Rachev, Christian Menn, and Frank Fabozzi, Fat- Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection and Option Pricing (Hoboken, NJ: John Wiley & Sons, 2005). 18: Chapter 2 - Discrete ProbabilitY Distri~utions..... 19: Chapter 3 - Con9nuous Probability Distributions
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition. 20: Chapter 12 Monte Carlo Methods
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John Hull~.pptions, Futures, and Other Derivatives, 8th Edition (New York: Pearson Prentice '. Hall, 2012)'.
21: Chapter 22 - Estimating Volatilities and Correlations
Linda Allen, Jacob BO!Jdoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: Th;Yalue at Risk Approach (Oxford: Blackwell Publishing, 2004). 22: Chapter 2 QuantifYing Volatility in VaR Models
2012 Kaplan, Inc.
Introduction to the2012 Kapla~chweser Study Notes
FINANCIAL MARKETS AND PRODUCTS Part I Exam Weight: 30%
John Hull, Options, Futures, and Other Derivatives, 8th Edition.
23: Chapter 1 - Introduction 24: Chapter 2 - Mechanics of Futures Markets 25: Chapter 3 Hedging Strategies using Futures 26: Chapter 4 Interest Rates 27: Chapter 5 - Determination of Forward and Futures Prices 28: Chapter 6 - Interest Rate Futures 29: Chapter 7 Swaps 30: Chapter 10 Properties of Stock Options 31: Chapter 11 - Trading Strategies Involving Options
Helyette Geman, Commodities and Commodity Derivatives: Modeling and Pricingfor Agriculturals, Metals and Energy (West Sussex, England: John Wiley & Sons, 2005). 32: Chapter 1 - Fundamentals of Commodity Spot and Futures Markets: Instruments,
Exchanges and Strategies
Robert L. McDonald, Derivatives Markets, 2nd Edition (Boston: Addison-Wesley, 2006). 33: Chapter 6 - Commodity Forwards and Futures
Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk ManagementApproach, 7th Edition (New York: McGraw-Hill, 2010). 34: Chapter 14 - Foreign Exchange Risk
Frank Fabozzi, The Handbook of Fixed Income Securities, 7th Edition (New York: McGraw-Hill,2005). 35: Chapter 13 - Corporate Bonds
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2012 Kaplan, Inc. Pagel
Introduction to the 2012 Kaplan Schweser Study Notes
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VALUATION AND RISK MODELS Part I Exam Weight: 30%
Bruce Tuckman, Fixed Income Securities, 2ndEdition (Hoboken, N1John Wiley & Sons, 2002). 36: Chapter 1 Bond Prices, Discount Factors, and Arbitrage 37: Chapter 2 - Bond Prices, Spot Rates, and Forward Rates 38: Chapter 3 Yield to Maturity 39: Chapter 5 One-Factor Measures of Price Sensitivity
John Hull, Options, Futures, and Other Derivatives, 8th Edition.
40: Chapter 12 - Binomial Trees 41: Chapter 14 The Black-Scholes-Merton Model 42: Chapter 18 - The Greek Letters
Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005). 43: Chapter 2 - Measures of Financial Risk
Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach.
44: Chapter 3 - Putting VaR to Work
John Hull, Risk Management and Financial Institutions, 2nc{ Edition (Boston: Pearson Prentice Hall, 2010). -:
.... ---...-
Chapter 18 - Operational Risk
Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach.
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46: Chapter 5 - Ext~nding the VaR Appto.ach to Operational Risk
'' Philippe Jotion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition. --'.'
Chapter 14 - Stress;. Testing
48: 'Principles for Ss>,und Stress Testing Practices and Supervision' (Basel Committee on Banking Supervision Publication, Jan 2009).
20 12 Kaplan, Inc.
Introduction to the 2012 Kapla~chweser Study Notes
John Caouette, Edward Altman, Paul Narayanan and Robert Nimmo, Managing Credit Risk: The Great Challenge for the Global Financial Markets, 2nd Edition (New York: John Wiley & Sons, 2008), 49: Chapter 6 - The Rating Agencies
Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw-HiIl,2004). 50: Chapter 2 - External and Internal Ratings, including the Appendix
J. Caouette, E. Altman, P. Narayanan, R. Nimmo, Managing Credit Risk, 2nd Edition. 51: Chapter 23 - Country Risk Models
Michael Ong, Internal Credit Risk Models: Capital Allocation and Performance Measurer;unt, (London: Risk Books, 2003). 52: Chapter 4 - Loan Portfolios and Expected Loss
53: Chapter 5 - Unexpected Loss
BACKGROUND READINGS
In addition to the assigned material, we have included background topics that will assist you in understanding the assigned concepts. For more information on these background topics, see the following readings:
Time Value of Money Quantitative Methods for Investment Analysis, 2nd Edition, Richard A. DeFusco, Dennis W. Me Leavey, Jerald E. Pinto, and David E. Runkle, 'The Time Value of Money,' Chapter 1. '-'.
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VaR Methods - Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, Chapter 10, '
Interest Rate Derivative Instruments Derivatives and Portfolio Management, CFA Program Curriculum, Volume 6, Level 2 (CFA Institute, 2010).
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The following is a review of the Foundations of Risk Management principles designed to address the AIM statements set forth by GARp. This topic is also covered in:
THE NEED FOR RISK MANAGEMENT
Topic 1
EXAM Focus
In this topic, we present an overview of core risk management concepts which will be discussed throughout the FRM curriculum. A majority of these concepts will be discussed in much more detail in later topics in the Schweser Study Notes. This material examines the types of risk faced by financial institutions and important tools that can be used to manage these risks.
Corporations need to apply risk management techniques in order to combat increases in financial risk. Financial risks must be managed carefully because they have the potential to cause large losses. The derivatives market has played a role in assisting busines...