Market Risk - Tuckman Chapter 21

[Manish Vij]

I was looking at the Market Risk practice questions, and saw that there are practice questions for Tuckman chapter 21 (along with Tuckman chapters 6, 7 and 9), which are tagged as Essential. However, I don't see Tuckman Chapter 21 in the Study Notes for Market Risk. Wasn't sure if Tuckman chapter 21 was still included for 2012, or if this has been dropped from the material.

 

[David Harper CFA FRM]

Hi Manish,

Good observation. When we refreshed the Tuckman PQ PDF (see P2.T5. Tuckman, Chapters 6, 7, 9 & 21; I assume you are using the Study Planner?), I included this note above the TOC:

"Please note: Tuckman’s Chapter 21 (Mortgage-backed Securities) was discontinued in the current FRM. However, we retained the questions (i.e., Questions 47 to 56 below) because the topic (mortgages and MBS) are still assigned and the questions remain relevant."

GARP's exam methodology is not 100% rigorous to the current AIMs, in truth, as the questions are sourced from a practitioner standpoint then validated against the AIMs (not the reverse!). This is greatly misunderstood, but the FRM is a test primarily of concepts and concepts in practice, not primarily of the assigned authors. This is why, for example, Gujarati's econometrics remains useful (if not better) prep for econometrics: the concepts (AIM) did not change, although the author did!

Similarly, with respect to mortgages and MBS:

• Although Veronesi is the definitive must-read for advanced mortgage and MBS concepts (it filled a gap from last year),
• I retained Tuckman 21 questions because, from a predictive standpoint, they are just as relevant as the new Fabozzi to the mortgage/MBS introduction (the FRM has largely quizzed the negative convexity and GARP did not assign Fabozzi Chapter 11, so arguably Tuckman 21 is necessary!)
• So: yes Tuckman Chapter 21 has been dropped from the AIMs; but, also, yes, those associated questions are a good use of your time.