Book 1: Market Risk Measurement and Management
Learning Objective: Estimate VaR using a historical simulation approach.
Learning Objective: Describe how equity correlations and correlation volatilities behave throughout various economic states.
Book 2: Credit Risk Measurement and Management
Learning Objective: Describe wrong-way risk and contrast it with right-way risk. Identify examples of wrong-way risk and examples of right-way risk.
Learning Objective: Describe and calculate the following metrics for credit exposure: expected mark-to-market, expected exposure, potential future exposure, expected positive exposure and negative exposure, effective expected positive exposure, and maximum exposure. Identify typical credit exposure profiles for various derivative contracts and combination profiles.
Book 3: Operational Risk and Resiliency
Learning Objective: Describe model risk and explain how it can arise in the implementation of a model.
Learning Objective: Explain the motivations for introducing the Basel regulations, including key risk exposures addressed, and explain the reasons for revisions to Basel regulations over time.
Book 4: Liquidity and Treasury Risk Measurement and Management
Learning Objective: Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR).
Learning Objective: Compare and Interpret different types of liquidity risk reports.
Book 5: Risk Management and Investment Management
Learning Objective: Define, calculate, and distinguish between the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR.
Learning Objective: Define, calculate, and distinguish between the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR.