Curso Control del Riesgo preparatorio para la acreditación FRM™ (Financial Risk Manager) Niveles I y II de IEB

FRM Exam Part I. Topics and Weights

1. Foundations of Risk Management. 20%

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

2. Quantitative Analysis. 20%

Discrete and continuous probability distributions

Estimating the parameters of distributions

Population and sample statistics

 Bayesian analysis

Statistical inference and hypothesis testing

 Estimating correlation and volatility using EWMA and GARCH models

Volatility term structures

Correlations and copulas

Linear regression with single and multiple regressors

Time series analysis and forecasting

Simulation methods

1. Financial Markets and Products. 30%

Structures and functions of financial institutions

Structure and mechanics of OTC and exchange markets

Structure, mechanics, and valuation of forwards, futures, swaps, and options

Hedging with derivatives

Interest rates and measures of interest rate sensitivity

Foreign exchange risk

Corporate bonds

Mortgage-backed securities

1. Valuation and Risk Models. 30%

Value-at-Risk (VaR)

Expected shortfall (ES)

Stress testing and scenario analysis

Option valuation

Fixed income valuation

Hedging

Country and sovereign risk models and management

External and internal credit ratings

Expected and unexpected losses

Operational risk