Book 1: Foundations of Risk Management
Learning Objective: Explain the Arbitrage Pricing Theory (APT), describe its assumptions, and compare the APT to the CAPM.
Learning Objective: Describe ERM and compare an ERM program with a traditional silo-based risk management program.
Book 2: Quantitative Analysis
Learning Objective: Explain the difference between independent events and conditionally independent events.
Learning Objective: Construct an appropriate null hypothesis and alternative hypothesis, and distinguish between the two.
Learning Objective: Define white noise, and describe independent white noise and normal (Gaussian) white noise.
Book 3: Financial Markets and Products
Learning Objective: Define derivatives, describe the features and uses of derivatives, and compare linear and nonlinear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each.
Learning Objective: Describe and compare different trading order types.
Book 4: Valuation and Risk Models
Learning Objective: Explain and calculate ES and compare and contrast VaR and ES.
Learning Objective: Construct a barbell portfolio to match the cost and duration of a given bullet investment and explain the advantages and disadvantages of bullet versus barbell portfolios.
Learning Objective: Explain how a loss distribution is derived from an appropriate loss frequency distribution and loss severity distribution using Monte Carlo simulation.