WHAT TO REFER FOR OPER RISK SECTION

[[email protected]]

Hi David,

First thanks for all your support through this forum.

I have started with Market Risk & Quant section.
Those are little familier to me also. Readings suggested for those also is in summetry.
One need not refer many sources as Hull,Tuckman,Gujarati covers so much.
In case of more clarity only one would refer other material.

But when I was going thorugh readings for Operational & Credit Risk and Risk-Inv Mgmt I found there are no specific readings which will clear conceptual doubts.

My query is what should one refer to clarify concepts of these 3 sections. Can you suggest any book which will give better insight about these.

That may not be much relevant for exam but what is the point cramming things without making the base sound!
Please suggest how to ahead for these 3 sections!


~Anil

 

[David Harper CFA FRM]

Hi Anil,

Thanks for visiting. I agree with your premise: these three lack a coherent foundation. Investment management, perhaps because it was recently added (?). Operational risk because perhaps none exists? Re credit risk, i can think of no excuse...

My own library is hodge-podge. For credit risk. I've been looking forward to Ed Altman's 2nd Edition , but i've not read it yet. Standard and Poor has a credit risk manual but i've not read. De Servigny's book, which has assigned chapters for the FRM, is the nearest i know of to an introduction. I have some books that are great, but they tend to be about credit derivatives or programming not foundation.

For operational risk, everything on my shelf lacks...i am not buying any operational risk books for the foreseeable future, unless somebody has a good recommendation. Either they are math books (which i have already) or they are checklists and scorecards. I used to do a bit of this sort of consulting to Boards and the literature I find impractical. We've discussed elsewhere in this forum how important cases ought to be...I think cases could play an much bigger role in the exam's future....sorry i don't have a great pointer here.

Re investment risk. Hmmmm. It is such a broad area and the FRM exam is only chipping away a certain edges. So, any broad intro here will not map to the exam. The best resources I have are frankly the CFA Cirriculum (they can be purchases). Simply fantastic. Also, to tell the truth, although a bit long in the tooth, the PRM source books are a good, tight introduction. Also, Noel Amenc's book, IMO, is really great (this year a key chapter was dropped). For investments, the Stulz book could have played this role, but I find Stulz illegible - he makes everything look harder than it needs to be (he is probably just too smart!).

So, it is not what your are looking for. But, please if you find good resources, please report/share them back...David

 

[David Harper CFA FRM]

Anil,

In my blathering above, I forgot to mention Jorion's Value at Risk, third edition (not the 4th Ed handbook). In direct response to your question, it is not broad foundation on these areas (e.g., it gives no intro to credit risk) however, from a pragmatic view of sitting for the exam, this is maybe the one most important book (IMO). Cuts across everything, very dense, I am re-re-acquainting myself with it (for the Credit section notes) and i am really impressed at the high signal-to-noise...David

 

[[email protected]]

Thanks for promt replies.

It is still the status quo for me. I am currently fumbling with Quant & Market Risk.
Will it be wise to touch OR,CR & RIM later when I am once through with these two & clear about concepts.

Because currently I have not gone thorugh AIMS of these 3. So I feel more worried as I don't know ABCD of these. May be after covering some portions one may feel comfortable & can refer some relevant material.

Still before starting these 3 topics I would look for book with basic concepts.

As there was speculation earlier that AIMS could change. Any clue?
And now GARP also have come with Core Readings v2.0.


In between thanks a lot for your videos on youtube.

~Anil

 

[David Harper CFA FRM]

Hi Anil,

"Will it be wise to touch OR,CR & RIM later when I am once through with these two & clear about concepts"

IMO, yes it is helpful to work Quant and Market Risk prior to the others. Because I do think GARP's order is somewhat natural. There are many examples of why this order is natural; e.g., familiarity with Gujarati's distributions makes some of the OpRisk easier; the VaR in Market Risk sets you up for the harder portolio VaR in Investment Risk.

"As there was speculation earlier that AIMS could change. Any clue?"
Not in substance, in substance they are stable. In preparing movies/note I identified many errors in the AIMS, and i spoke with my GARP contact about that yesterday (Friday) so they will receive these. I don't know if that will prompt a re-issue but 98% of the substance is stable.

thanks for liking the youtube, the resolution is lame but oh well

David

 

[sipanivishal]

Hi David,

I just checked that no AIMs have been assigned from BASEL readings.Am I overlooking it ?

Thanks
Sipani

 

[David Harper CFA FRM]

Sipani,

No, you aren't overlooking. GARP omitted them, and they haven't given any guidance (even though i keep trying). It appears the de facto assumption is that last year's AIMs will apply, but i'm still hoping to hear from GARP on this...David