2022 FRM Exam Part 2 - Market Risk Measurement and Management

Contents
Preface
Chapter 1 Estimating Market Risk Measures
Chapter 2 Non-Parametric Approaches
Chapter 3 Parametric Approaches (II): Extreme Value
Chapter 4 Backtesting VaR
Chapter 5 VaR Mapping
Chapter 6 Messages from the Academic Literature on Risk Management for the Trading Book
Chapter 7 Correlation Basics: Definitions, Applications, and Terminology
Chapter 8 Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
Chapter 9 Financial Correlation Modeling—Bottom-Up Approaches
Chapter 10 Empirical Approaches to Risk Metrics and Hedging
Chapter 11 The Science of Term Structure Models
Chapter 12 The Evolution of Short Rates and the Shape of the Term Structure
Chapter 13 The Art of Term Structure Models: Drift
Chapter 14 The Art of Term Structure Models: Volatility and Distribution
Chapter 15 Volatility Smiles
Chapter 16 Fundamental Review of the Trading Book
Index