FRM Part 2 - Book 1 - Market Risk (Part 1/2)




FRM Part 2 - Book 1 - Market Risk (Part 1/2)

James Forjan has taught graduate and post-graduate finance classes for over 25 years and has also co-authored college-level investment books. His resume includes:

  • BS in Accounting

  • Master of Science in Finance

  • PhD in Finance (minor in Economics, two PhD level courses in Econometrics)

  • Completed the CFA Program in 2004 and earned the CFA charter later that year

  • College professor who taught at six institutions since classes such as Corporate Finance, Investments, Derivatives Securities, International Finance

In this course, Prof. James Forgan, PhD, summarizes the first 9 chapters from the Market Risk Measurement and Management book so you can learn or review all of the important concepts for your FRM part 2 exam.

This course includes the following chapters:

1. Estimating Market Risk Measures

2. Non-Parametric Approaches

3. Parametric Approaches (II): Extreme Value

4. Backtesting VaR

5. VaR Mapping

6. Messages from the Academic Literature on Risk Management for the Trading Book

7. Some Correlation Basics: Properties, Motivation, Terminology

8. Empirical Properties of Correlation: How Do Correlations Behave in the Real World?

9. Financial Correlation Modeling – Bottom-Up Approaches

FRM Course by Prof. James Forjan, PhD

Url: View Details

What you will learn
  • FRM Part 2 - Book 1 - Market Risk (Part 1/2)

Rating: 4.25

Level: All Levels

Duration: 5 hours

Instructor: Analyst Prep


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