Paper I
1. The Building Blocks of Risk Management
2. How Do Firms Manage Financial Risk?
3. The Governance of Risk Management
4. Credit Risk Transfer Mechanisms
5. Modern Portfolio Theory and the Capital Asset Pricing Model
6. The Arbitrage Pricing Theory and Multifactor Models of Risk and Return
7. Principles for Effective Data Aggregation and Risk Reporting
8. Enterprise Risk Management and Future Trends
9. Learning from Financial Disasters
10. Anatomy of the Great Financial Crisis of 2007-2009
11. GARP Code of Conduct
1. Fundamentals of Probability
2. Random Variables
3. Common Univariate Random Variables
4. Multivariate Random Variables
5. Sample Moments
6. Hypothesis Testing
7. Linear Regression
8. Regression With Multiple Explanatory Variables
9. Regression Diagnostics
10. Stationary Time Series
11. Non-Stationary Time Series
12. Measuring Returns, Volatility, and Correlation
13. Simulation and Bootstrapping
14. Machine-Learning Methods
*Note: 1 Learning Objective (LO) modified, 1 LO added*
15. Machine Learning and Prediction*Note: 1 Learning Objective (LO) split into 2, 1 LO modified*
1. Banks
2. Insurance Companies and Pension Plans
3. Fund Management
4. Introduction to Derivatives
5. Exchanges and OTC Markets
6. Central Clearing
7. Futures Markets
8. Using Futures for Hedging
9. Foreign Exchange Markets
10. Pricing Financial Forwards and Futures
11. Commodity Forwards and Futures
12. Options Markets
*Note: 1 Learning Objective (LO) deleted*
13. Properties of Options 14. Trading Strategies 15. Exotic Options 16. Properties of Interest Rates 17. Corporate Bonds 18. Mortgages and Mortgage-Backed Securities 19. Interest Rate Futures 20. Swaps*Note: 1 Learning Objective (LO) deleted*
1. Measures of Financial Risk
2. Calculating and Applying VaR
*Note: 2 Learning Objectives (LOs) modified*
3. Measuring and Monitoring Volatility 4. External and Internal Credit Ratings 5. Country Risk: Determinants, Measures, and Implications 6. Measuring Credit Risk 7. Operational Risk 8. Stress Testing*Note: 1 new Learning Objective (LO) added*
9. Pricing Conventions, Discounting, and Arbitrage 10. Interest Rates*Note: 1 Learning Objective (LO) deleted*
11. Bond Yields and Return Calculations*Note: 1 Learning Objective (LO) updated*
12. Applying Duration, Convexity, and DV01*Note: 2 Learning Objectives (LOs) updated*
13. Modeling Non-Parallel Term Structure Shifts and Hedging*Note: 2 Learning Objectives (LOs) merged, 3 LOs updated*
14. Binomial Trees 15. The Black-Scholes-Merton Model 16. Option Sensitivity Measures: The “Greeks”*Note: 2 Learning Objectives (LOs) merged and updated*
Paper II -Coming Soon
1. Estimating Market Risk Measures: An Introduction and Overview
2. Non-Parametric Approaches
3. Parametric Approaches (II): Extreme Value
4. Backtesting VaR
5. VaR Mapping
6. Messages from the Academic Literature on Risk Measurement for the Trading Book
7. Correlation Basics: Definitions, Applications, and Terminology
*Note: 1 new Learning Objective (LO) added*
8. Empirical Properties of Correlation: How Do Correlations Behave in the Real World? 9. Financial Correlation Modeling — Bottom-Up Approaches 10. Empirical Approaches to Risk Metrics and Hedging 11. The Science of Term Structure Models 12. The Evolution of Short Rates and the Shape of the Term Structure 13. The Art of Term Structure Models: Drift 14. The Art of Term Structure Models: Volatility and Distribution 15. Volatility Smiles 16. Fundamental Review of the Trading Book
1. Fundamentals of Credit Risk
2. Governance
3. Credit Risk Management
4. Capital Structure in Banks
5. Introduction to Credit Risk Modeling and Assessment
6. Credit Scoring and Rating
7. Credit Scoring and Retail Credit Risk Management
8. Country Risk: Determinants, Measures, and Implications
9. Estimating Default Probabilities
10. Credit Value at Risk
11. Portfolio Credit Risk
12. Credit Risk
13. Credit Derivatives
14. Derivatives
15. Counterparty Risk and Beyond
16. Netting, Close-out, and Related Aspects
17. Margin (Collateral) and Settlement
18. Central Clearing
19. Future Value and Exposure
20. CVA
21. The Evolution of Stress Testing Counterparty Exposures
22. Structured Credit Risk
23. An Introduction to Securitization
1. Introduction to Operational Risk and Resilience
2. Risk Governance
3. Risk Identification
4. Risk Measurement and Assessment
5. Risk Mitigation
6. Risk Reporting
7. Integrated Risk Management
8. Cyber-resilience: Range of Practices
9. Case Study: Cyberthreats and Information Security Risks
10. Sound Management of Risks Related to Money Laundering and Financing of Terrorism
11. Case Study: Financial Crime and Fraud
12. Guidance on Managing Outsourcing Risk
13. Case Study: Third-Party Risk Management
14. Case Study: Investor Protection and Compliance Risks in Investment Activities
15. Supervisory Guidance on Model Risk Management
16. Case Study: Model Risk and Model Validation
17. Stress Testing Banks
18. Risk Capital Attribution and Risk-Adjusted Performance Measurement
19. Range of Practices and Issues in Economic Capital Frameworks
20. Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice
21. Capital Regulation Before the Global Financial Crisis
22. Solvency, Liquidity, and Other Regulation After the Global Financial Crisis
23. High-Level Summary of Basel III Reforms
24. Basel III: Finalizing Post-Crisis Reforms
1. Liquidity Risk
2. Liquidity and Leverage
3. Early Warning Indicators
4. The Investment Function in Financial-Services Management
5. Liquidity and Reserves Management: Strategies and Policies
6. Intraday Liquidity Risk Management
7. Monitoring Liquidity
8. The Failure Mechanics of Dealer Banks
9. Liquidity Stress Testing
10. Liquidity Risk Reporting and Stress Testing
11. Contingency Funding Planning
12. Managing and Pricing Deposit Services
13. Managing Non-Deposit Liabilities
14. Repurchase Agreements and Financing
15. Liquidity Transfer Pricing: A Guide to Better Practice
16. The US Dollar Shortage in Global Banking and the International Policy Response
17. Covered Interest Parity Lost: Understanding the Cross-Currency Basis
18. Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques
19. Illiquid Assets
1. Factor Theory
2. Factors
3. Alpha (and the Low-Risk Anomaly)
4. Portfolio Construction
5. Portfolio Risk: Analytical Methods
6. VaR and Risk Budgeting in Investment Management
7. Risk Monitoring and Performance Measurement
8. Portfolio Performance Evaluation
9. Hedge Funds
10. Performing Due Diligence on Specific Managers and Funds
11. Predicting Fraud by Investment Managers
1. Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank
2. The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation
3. Artificial Intelligence and Bank Supervision
4. Financial Risk Management and Explainable, Trustworthy, Responsible AI
5. Artificial Intelligence Risk Management Framework
6. Climate-related Risk Drivers and Their Transmission Channels
7. Climate-related Financial Risks – Measurement Methodologies
8. Principles for the Effective Management and Supervision of Climate-related Financial Risks
9. The Crypto Ecosystem: Key Elements and Risks
10. Digital Resilience and Financial Stability: The Quest for Policy Tools in the Financial Sector