2014 Part II Published Materials

[Nicole Seaman]

The following list shows all of the materials that have been updated in the Study Planner to coincide with the 2014 Part II curriculum. This list will be updated as we publish new materials.

Topic 5: Market Risk Measurement & Management

Reading 31: Dowd, Chapters 3, 4, 5 & 7

• Study Notes

Reading 32: Jorion, Chapters 6 & 11

• Study Notes

Reading 33: Boudoukh, The Best of Both Worlds

• Question Set
• Study Notes

Reading 34: Hull, Incorporating Volatility Updating

• Question Set
• Study Notes

Reading 35: Messages from the Academic Literature

• Question Set
• Study Notes

Reading 36: Hull, LIBOR vs. OIS

• Question Set
• Study Notes

Reading 38: Hull, Chapters 19 & 25

• Question Set

Topic 6: Credit Risk Measurement & Management

Reading 41: Golin, Chapters 1 & 2

• Question Set
• Study Notes

Reading 43: Stulz, Chapter 18

• Question Set

Reading 45: Gregory, Counterparty Credit Risk

• Question Set
• Study Notes

Topic 7: Operational & Integrated Risk Management

Reading 60: Basel II: International Convergence of Capital Measurement and Capital Standards

• Question Set (09/14)

Reading 61: Basel III: A Global Regulatory Framework

• Question Set (09/14)

Reading 62: Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools

• Question Set (09/14)

Reading 63: Revisions to the Basel II Market Risk Framework

• Question Set (09/14)

R64: Operational Risk – Supervisory Guidelines for the Advanced Measurement Approaches

• Question Set (09/14)

R65: Gatzert, A Comparative Assessment of Basel II/III and Solvency II

• Question Set (09/14)

Topic 8: Risk Management & Investment Management

Topic Review:

• Global Topic Review Question Set

Reading 68: Litterman, Chapter 17

• Question Set

Reading 70: Mirabile, Chapter 11 (10/14)

• Question Set

Reading 71: Constantinides, Chapter 17 (10/14)

• Question Set

Topic 9: Current Issues

Reading 73: U.S. House of Representatives Report on MF Global

• Study Notes

Reading 74: JPMorgan Chase Whale Trades

• Study Notes

Reading 75: Towards Better Reference Rate Practices: A Central Bank Perspective

• Study Notes

 

[David Harper CFA FRM]

Here is what I am currently working on (which implies it will soon be updated and "move" to the above list):

Reading 34: Hull, Incorporating Volatility Updating

• Study Note Published. Note: I doubt the study results will be tested (too specific). I think the focus here should be on the metrics. New terminology is introduced for "old" VaR approaches: HW = volatility-adjusted HS; BRW = hybrid or age-weighted VaR. This paper, then, compares three (3) variations of historical simulation, including simple HS. The headline is what you'd expect (and maybe the most testable idea): volatility-adjusted (HW) and age-weighted (BRW) outperform simple HS. MAPE is easier to test than capital utilization ratio (personally, I would not try to memorize CAR).

Reading 35: Messages ... for Trading Book (Basel)

• Study Note Published

Reading 36: Hull and White, LIBOR vs OIS

• Study Note Published

Reading 38: Volatility Smile and Exotic Options

• Question Set: Published This is my third time through these, but I'm glad I decided to spend the time: my older questions are often (too) deep. This recent set is more exam-like such that I think the finished document will be a nice mix of shallow and deep coverage.

Reading 41: Credit Decision and Credit Analyst

• Study Note - Published
  
• Question Set Published

Reading 45: Gregory, Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition

• Question Set Published
• Study Notes Published

T9. Current Issues: Study Notes only

• R73. Subcommittee Report on MF Global Published
  
• R74. JPMorgan Chase Whale Trades Published
  
• R75. "Towards Better Reference Rate Practices: A Central Bank Perspective" Published
• 76. “OTC Derivatives: A Comparative Analysis of Regulation in the United States, European Union, and Singapore.”
• 77. “A New Look at the Role of Sovereign Credit Default Swaps,” IMF
  
• 78. “Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,” Board of Governors of the Federal Reserve System,
  
• 79. Jaime Caruana and Stefan Avdjiev, “Sovereign Creditworthiness and Financial Stability: An International Perspective.” Banque de France Financial Stability Review,

 

[FRMCAND]

Hi BT Team,
concerning Credit Risk Management, GARP has assigned readings on the Gregory - new edition 2012, covering an important part of CR material:
R45 > Jon Gregory, Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition
• Chapter 3.............................Defining Counterparty Credit Risk (NEW AIM)
• Chapter 4.............................Netting, Compression, Resets, and Termination Features (NEW AIM)
• Chapter 5.............................Collateral (NEW AIMs)
• Chapter 8.............................Credit Exposure (NEW AIMs)
• Chapter 10...........................Default Probability, Credit Spreads, and Credit Derivatives (NEW AIMs)
• Chapter 12............................Credit Value Adjustment (NEW AIMs)
• Chapter 15............................Wrong Way Risk (NEW AIMs)

Given that for some chapters we don't have Study Notes, I was thinking if it is possible to develop these chapters as priority after the new assigned readings (Credit Decision and Credit Analyst that David is dealing with) over the existing readings for which we have already notes in the Study Planner.

Thank you very much in advance for your attention,

 

[David Harper CFA FRM]

Hi @FRMCAND Yes, Nicole and I discussed this yesterday, we agree with you. We've "escalated" the new Gregory; i.e., we're starting its revision now. Thanks,

 

[Mehdi Abouelfath]

Hi

Sorry to chase you on this, but I've finished working on all available chapters on credit topics.

Would you have an idea on the timing you'd be able to deliver Gregory, Golin and Stulz study notes?
I know it's quite a workload and I'm sure they will be of excellent quality as usual.

Up to you, shall I consider moving forward to investment management or operational risk topics?

Many thanks

Mehdi

 

[Alex_1]

Hi David, sorry if this type of questions bothers you, but I was wondering about the following.

Your post above states:
Reading 36: Hull and White, LIBOR vs OIS

• Study Note

Does the fact that the text "Study Note" is striked through mean that the Study Note has been published or won't be published? I would have assumed the first option, but if I look at the Study Planner for this reading I don't see a Study Note.

Hope this question does not annoy you, just wanted to get an understanding regarding the updates.

Thanks.

 

[David Harper CFA FRM]

Hi @Alex_1 No problem with the question. It means that it's ready for publish and @Nicole Manley will be adding it to the Study Planner soon (probably today I'd expect). Thanks!

 

[Nicole Seaman]

Hi @Alex_1,

Sorry for the confusion. It is actually a very good question. When David strikes out the Study Note, it means that he has completed it. Now that he has finished it, it is my job to proofread and publish it. I will have that up on the website as soon as possible today.

Nicole

 

[Success2014]

Oh, this is a great section of the website. So, is market risk basically complete? Meaning I won't have to download and redownload, etc before May 2014...also, I second the Gregory content. The material is 150 pages of the Credit Risk section - definitely priority.

 

[David Harper CFA FRM]

Yes, @Success2014 we understand and agree

 

[Pflik]

are the readings that are available for the topics:
Operational & Integrated Risk Management
Risk Management & Investment Management
Current Issues in Financial Markets

all that are going to be published? It seems a bit thin compared to credit and market risk, which might be legit. Just want to check if i need to take a lack of readings into account (and need to start reading the books more).

hmm... found it... guess i need to start my rereading of previous topics before starting the last book.
https://forum.bionicturtle.com/threads/2014-frm-publishing-calendar.7475/

 

[Nicole Seaman]

@Pflik,

There will be updated materials published for all of the topics in Part II that will coincide with the 2014 curriculum. We publish materials from January to April, and we are working very hard to get the new materials published. Thank you for your patience during this time.

Nicole

 

[Pflik]

No problem. Not doubting your effort. Just trying to plan my study a bit more efficiently. (i.e. trying not to be caught off guard by a lot of new readings)

 

[Basu]

Hi Nicole/David,

Are there any plans to update videos for Part 2 for May 2014 exam especially for the new readings?

Thanks,
Basu

 

[mali_shailesh]

Nicole/David,

Even I have same question as Basu about videos. Good to add release schedule of videos in calendar as well.

Regards
Shailesh

 

[Nicole Seaman]

@Basu and @mali_shailesh,

We understand that it would be helpful to have a calendar of each piece of material that we will be updating. Unfortunately, because there is so much material that needs to be updated and added to the Study Planner, it is very difficult for us to give estimated dates for publishing. We are working very hard every day (including weekends) on updating the materials to coincide with the 2014 GARP curriculum. As soon as we have an idea of when and if specific videos will be published we will be sure to let you know. Thank you so much for your patience during this busy time.

Nicole

 

[Basu]

Thanks Nicole. Really appreciate the efforts by the BT team to update the materials.

I just wanted to understand if videos, especially for new readings, would be made available before the May exam so that i could plan my studies accordingly. But I understand the difficulty in updating materials for May exam given there are a lot of changes in Part2 curriculum.

Thanks
Basu

 

[David Harper CFA FRM]

Hi Basu - We will try to record some new videos before the May exam, we always do. We want to get the revised notes and PQ updates published, then we'll post some updates. (This is a typical tension for us candidly, but I long ago decided to prioritize new questions, forum support and updates over the other resources. Basically, we prioritize depth and support over superficial breadth). Thanks for your support, it's really appreciated!

 

[Mehdi Abouelfath]

Hi Nicole & David

Many thanks for having published the Gregory study notes online today !

Kind Regards,

Mehdi

 

[Nicole Seaman]

@Mehdi Abouelfath

You are very welcome!

Nicole