FRM Video Course

Variance-covariance approach, portfolio VaR, and component VaR.

Weighted historical simulation, age-weighting, and volatility updating.

Correlated random variables, Cholesky decomposition, and convergence.

Basel 2.5 stressed VaR, the multiplier, and capital requirements.

Internal Models Approach vs. Standardized Approach under FRTB.

Liquidity horizons, partial ES, and the capital formula.

Green, yellow, and red zones — validation methodology.

Delta, vega, and curvature risk charges under the standardized approach.

IRRBB, EVE, NII sensitivity, and regulatory standards.

Comprehensive risk measure for securitization positions.

NMRF, observable prices, and the regulatory data quality test.

Incorporating bid-ask spreads and liquidation horizons into VaR.

JP Morgan Whale, Archegos, and other market risk failures.

Comprehensive Part 2 market risk review and exam strategies.

PD, LGD, EAD, and the expected loss framework.

Internal ratings, external agencies, through-the-cycle vs. point-in-time.

Equity as a call option on assets, distance to default.

Hazard rates, intensity models, and credit curve calibration.

CreditMetrics, CreditRisk+, and portfolio credit VaR.

CDS pricing, the credit triangle, and basis trading.

PFE, EPE, CVA, DVA, and the impact of netting and collateral.

General and specific wrong-way risk — examples and mitigation.

Netting, collateral, guarantees, and credit derivatives.

Foundation and Advanced IRB, risk-weight formulas, and asset correlations.

Tranching, attachment/detachment points, and correlation sensitivity.

Macro stress scenarios, migration matrices under stress.

CLOs, synthetic CDOs, and total return swaps.

Comprehensive credit risk review and Part 2 exam strategies.

Basel definition, 7 loss event types, and 8 business lines.

Risk and Control Self-Assessment methodology and best practices.

Designing, calibrating, and monitoring forward-looking risk metrics.

Internal loss data, external data, and consortium databases.

Frequency-severity modeling and Monte Carlo aggregation.

Expert judgment, structured workshops, and scenario quantification.

Business Indicator Component, ILM, and the new simplified approach.

Cyber threats, NIST framework, and quantifying cyber risk.

Model development, validation, governance, and inventory management.

Vendor assessment, concentration risk, and fourth-party risk.

Impact tolerances, mapping, and recovery from disruption.

Internal and external fraud, controls, and detection methods.

BCP, disaster recovery, and pandemic preparedness.

Société Générale, Knight Capital, and IT failures.

Comprehensive review of operational risk for the FRM exam.

Funding vs. market liquidity risk, and the liquidity spiral.

HQLA composition, net cash outflows, and the 30-day stress test.

Structural funding requirements and ASF/RSF factor assignment.

Real-time gross settlement, queuing, and intraday monitoring.

Allocating liquidity costs to business units for better pricing.

Stress scenarios, action triggers, and emergency funding sources.

Scenario design, behavioral assumptions, and survival horizons.

Gap analysis, duration matching, and cash flow modeling.

Margin requirements, rehypothecation, and collateral optimization.

Discount window, emergency lending, and stigma effects.

Order flow, bid-ask dynamics, and flash crashes.

Repo runs, fire sales, and the 2019 repo market disruption.

Comprehensive liquidity and treasury risk exam review.

Efficient frontier, CML, SML, and beta decomposition.

Fama-French, APT, and multi-factor risk decomposition.

Sharpe, Treynor, Information Ratio, and attribution analysis.

Risk contribution, equal risk, and factor-based risk budgeting.

Strategy risks, leverage, liquidity, and due diligence.

Long/short, global macro, event-driven, and relative value.

Fundamental law, IC, breadth, and the alpha decay problem.

Mean-variance, Black-Litterman, and robust optimization.

PE, real estate, infrastructure — smoothing, J-curve, and IRR.

Tail hedging, protective puts, and portfolio insurance strategies.

ESG scoring, negative screens, and impact on risk-return profiles.

Part 2 investment risk management comprehensive review.

Physical risk, transition risk, TCFD framework, and climate scenarios.

Latest regulatory developments and implementation timeline.

What went wrong, IRRBB lessons, and regulatory response.

Crypto risk management, DeFi protocol risks, and stablecoin risks.

Model risk for ML, explainability, bias, and regulatory guidance.

Ransomware, supply chain attacks, and regulatory expectations.

Sanctions, trade wars, deglobalization, and scenario analysis.

Shadow banking, systemic risk, and regulatory gaps.

Higher-for-longer rates, impact on banks, and IRRBB management.

UK, EU, and Basel operational resilience frameworks compared.

Key current topics, likely exam angles, and preparation strategies.