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

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