This thread is to give our members a quick reference to the new and updated Part 2 materials that we publish throughout the 2019 exam period. We include the date that the materials were updated or published so you know that you are using the most up-to-date materials.
Please make sure to read our publishing process thread here before asking questions about if and when specific materials will be published: https://forum.bionicturtle.com/threads/important-please-read-publishing-process-for-2019.22026/. Thank you
Market Risk Measurement & Management
Please make sure to read our publishing process thread here before asking questions about if and when specific materials will be published: https://forum.bionicturtle.com/threads/important-please-read-publishing-process-for-2019.22026/. Thank you
Market Risk Measurement & Management
- Global Topic Review Question Set updated 10/08/19 to v9
- The practice questions regarding Extreme Value Theory (EVT) (213) were moved to T7 in the syllabus so these have been removed from the T5 review PQ.
- Reading 44, Malz: Study Notes Updated 03/22/19 to v9
- Chapter 7 Addition to LO: Calculate the unconditional default probability and the conditional default probability given the hazard rate.
- Chapter 8 LO Added: Define and calculate Credit VaR.
- Chapter 8 LO Added: Assess the effect of granularity on Credit VaR.
- Chapter 8 Addition to LO: Define and calculate default correlation for credit portfolios.
- Reading 52, Observations on Developments: Study Notes updated 03/27/19
- Addition to LO: Explain the role of an RAF in managing the risk of individual business lines within a firm, and describe best practices
- LO Removed: Describe the classes of risk metrics to be communicated to managers within the firm.
- Reading 59, Range of Practices: Study Notes Updated 03/12/19 to v7
- Addition to LO: Defining and calculating risk measures
- Addition to LO: Describe the BIS recommendations that supervisors should consider to make effective use of internal risk measures, such as economic capital, not designed for regulatory purposes.
- New LO: Explain benefits and impacts of using an economic capital framework within the following areas
- New LO: Describe best practices and assess key concerns for the governance of an economic capital framework.
- Reading 67, Hull Ch.15, 16, 17& 18: Study Notes Updated 03/28/19
- Ch 15 LO Added: Summarize the impact of netting on credit exposure and calculate the net replacement ratio.
- Ch 15 LO Added: Apply and calculate the worst-case default rate (WCDR) in the context of Basel II.
- Chapter 15 LO Removed: Define in the context of Basel II and calculate where appropriate: Probability of default (PD), Loss given default (LGD), Exposure at default (EAD) and Worst-case probability of default
- Chapter 16 LO Added: Describe regulations for global systemically important banks (G-SIBs), including incremental capital requirements and total loss-absorbing capacity (TLAC).
- Chapter 16 LO Changed: Explain the major changes to the U.S. financial market regulations as a result of Dodd-Frank and compare Dodd-Frank regulations to regulations in other countries.
- All of Chapter 17 Added
- Chapter 18 LO Removed: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method.
- Chapter 18 LO Removed: Explain the FRTB revisions to Basel regulations in the following areas: Treatment of credit spread and jump-to-default risk, including the incremental default risk charge
- Chapter 18 LO Added: Describe the changes to the Basel framework for calculating market risk capital under the Fundamental Review of the Trading Book (FRTB), and the motivations for these changes.
- Chapter 18 LO Added: Explain the FRTB revisions to Basel regulations in the following areas: Backtesting, profit and loss attribution, credit risk, and securitizations
- Reading 68, “High-level summary of Basel III reforms”
- New study notes published 03/15/19
- Reading 69, "Basel III: Finalising post-crisis reforms”
- New study notes published 03/21/19
- Global Topic Review Question Set updated 10/08/19 to v9
- The practice questions regarding Extreme Value Theory (EVT) (213) were moved to T7 in the syllabus so these have been moved to the T7 PDF
- Reading 75, Bodie
- Updated PQ set to fix errors 05/15/19
- Reading 78, Kopp
- New PQ set published 01/10/19
- New Study Notes published 03/13/19
- Reading 79, Varian
- Updated current PQ set with new PQs 01/16/19
- Reading 80, van Liebergen
- Updated current PQ set with new PQs 02/07/19
- Reading 81, Artificial Intelligence and Machine Learning
- New PQ set published 02/07/19
- New Study Notes published 03/13/19
- Reading 82, Gomber,Fintech
- New PQ set published 02/22/19
- New Study Notes published 03/13/19
- Reading 84, What is SOFR
- New PQ set published 02/27/19
- New Study notes published 03/13/19
- NEW Full Interactive Mock Exam 2 Published 05/09/19
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