FRM Exam Part II Study Plan (2024)

Here is the 16-lesson plan to be followed in finRGB’s preparation course for FRM® Exam Part II (2024 administrations). The plan aims to cover 6-7 readings in each lesson, with the readings in each lesson sharing the same focus. All readings mentioned below refer to the official FRM Books (MR: Market Risk, CR: Credit Risk, ORR: Operational Risk and Resiliency, LTR: Liquidity and Treasury Risk, IM: Investment Management and CI: Current Issues).

Click any lesson’s name to expand:

Lesson 1: Value at Risk (VaR) (5 Readings)
  1. [MR-1] Kevin Dowd, Chapter 3. Estimating Market Risk Measures: An Introduction and Overview In Measuring Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005).
  2. [MR-2] Kevin Dowd, Chapter 4. Non-parametric Approaches In Measuring Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005).
  3. [MR-4] Philippe Jorion, Chapter 6. Backtesting VaR In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw- Hill, 2007).
  4. [MR-5] Philippe Jorion, Chapter 11. VaR Mapping In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw- Hill, 2007).
  5. [MR-6] Messages from the academic literature on risk measurement for the trading book, Basel Committee on Banking Supervision, Working Paper, No. 19, Jan 2011.
Lesson 2: Correlation Risk, Volatility Smiles (5 Readings)
  1. [MR-7] Gunter Meissner, Chapter 1. Some Correlation Basics: Properties, Motivation, Terminology In Correlation Risk Modeling and Management, (New York: John Wiley & Sons, 2014).
  2. [MR-8] Gunter Meissner, Chapter 2. Empirical Properties of Correlation: How Do Correlations Behave in the Real World? In Correlation Risk Modeling and Management, (New York: John Wiley & Sons, 2014).
  3. [MR-9] Gunter Meissner, Chapter 4. Financial Correlation Modeling—Bottom-Up Approaches (Sections 4.3.0 (intro), 4.3.1, and 4.3.2 only) In Correlation Risk Modeling and Management, (New York: John Wiley & Sons, 2014).
  4. [MR-3] Kevin Dowd, Chapter 7. Parametric Approaches (II): Extreme Value In Measuring Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005).
  5. [MR-15] John C. Hull, Chapter 20. Volatility Smiles In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017).
Lesson 3: Term Structure Models (5 Readings)
  1. [MR-10] Bruce Tuckman and Angel Serrat, Chapter 6. Empirical Approaches to Risk Metrics and Hedging In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
  2. [MR-11] Bruce Tuckman and Angel Serrat, Chapter 7. The Science of Term Structure Models In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
  3. [MR-12] Bruce Tuckman and Angel Serrat, Chapter 8. The Evolution of Short Rates and the Shape of the Term Structure In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
  4. [MR-13] Bruce Tuckman and Angel Serrat, Chapter 9. The Art of Term Structure Models: Drift In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
  5. [MR-14] Bruce Tuckman and Angel Serrat, Chapter 10. The Art of Term Structure Models: Volatility and Distribution In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
Lesson 4: Investment Management (I) (5 Readings)
  1. [IM-1] Andrew Ang, Chapter 6. Factor Theory In Asset Management: A Systematic Approach to Factor Investing, (New York: Oxford University Press, 2014).
  2. [IM-2] Andrew Ang, Chapter 7. Factors In Asset Management: A Systematic Approach to Factor Investing, (New York: Oxford University Press, 2014).
  3. [IM-3] Andrew Ang, Chapter 10. Alpha (and the Low-Risk Anomaly) In Asset Management: A Systematic Approach to Factor Investing, (New York: Oxford University Press, 2014).
  4. [IM-5] Philippe Jorion, Chapter 7. Portfolio Risk: Analytical Methods In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw-Hill, 2007).
  5. [IM-7] Robert Litterman and the Quantitative Resources Group, Chapter 17. Risk Monitoring and Performance Measurement In Modern Investment Management: An Equilibrium Approach, (Hoboken, NJ: John Wiley & Sons, 2003).
Lesson 5: Investment Management (II) (6 Readings)
  1. [IM-6] Philippe Jorion, Chapter 17. VaR and Risk Budgeting in Investment Management In Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, (New York: McGraw-Hill, 2007).
  2. [IM-4] Richard Grinold and Ronald Kahn, Chapter 14. Portfolio Construction In Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd Edition, (New York: McGraw-Hill, 2000).
  3. [IM-8] Zvi Bodie, Alex Kane, and Alan J. Marcus, Chapter 24. Portfolio Performance Evaluation In Investments, 11th Edition, (New York: McGraw-Hill, 2017).
  4. [IM-9] G. Constantinides, M. Harris and R. Stulz, eds, Chapter 17. Hedge Funds In Handbook of the Economics of Finance, Volume 2B, (Oxford, UK: Elsevier, 2013).
  5. [IM-10] Kevin R. Mirabile, Chapter 12. Performing Due Diligence on Specific Managers and Funds In Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance 2nd Edition, (Hoboken, NJ: Wiley Finance, 2016).
  6. [IM-11] Stephen G. Dimmock and William C. Gerken, Predicting Fraud by Investment Managers In Journal of Financial Economics,(105(1), 153-173, 2011).
Lesson 6: Introduction to Credit Risk (7 Readings)
  1. [CR-1] Sylvain Bouteille and Diane Coogan-Pushner, Chapter 1. Fundamentals of Credit Risk In The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2022).
  2. [CR-2] Sylvain Bouteille and Diane Coogan-Pushner, Chapter 2. Governance In The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2022).
  3. [CR-3] Hennie van Greuning and Sonja Brajovic Bratanovic, Chapter 7. Credit Risk Management In Analyzing Banking Risk, Fourth Edition, (World Bank Group, 2020).
  4. [CR-8] Aswath Damodaran, Country Risk: Determinants, Measures, and Implications – The 2022 Edition.
  5. [CR-6] Michalis Doumpos, Christos Lemonakis, Dimitrios Niklis, and Constantin Zopounidis, Chapter 2. Credit Scoring and Rating In Analytical Techniques in the Assessment of Credit Risk: An Overview of Methodologies and Applications, (Springer, 2019).
  6. [CR-7] Michel Crouhy, Dan Galai and Robert Mark, Chapter 9. Credit Scoring and Retail Credit Risk Management In The Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014).
  7. [CR-23] Moorad Choudhry, Chapter 12. An Introduction to Securitisation In Structured Credit Products: Credit Derivatives & Synthetic Securitisation, 2nd Edition, (New York: McGraw-Hill, 2014).
Lesson 7: Credit Risk Modeling (8 Readings)
  1. [CR-5] Michalis Doumpos, Christos Lemonakis, Dimitrios Niklis, and Constantin Zopounidis, Chapter 1. Introduction to Credit Risk Modeling and Assessment In Analytical Techniques in the Assessment of Credit Risk: An Overview of Methodologies and Applications, (Springer, 2019).
  2. [CR-4] Gerhard Schroeck, Chapter 5. Capital Structure in Banks (pages 170-186 only) In Risk Management and Value Creation in Financial Institutions, (New York, NY: John Wiley & Sons, 2002).
  3. [CR-9] John C. Hull, Chapter 17. Estimating Default Probabilities In Risk Management and Financial Institutions, Sixth Edition, (John Wiley & Sons, 2023).
  4. [CR-11] Allan Malz, Chapter 8. Portfolio Credit Risk (Sections 8.1, 8.2, 8.3 only) In Financial Risk Management: Models, History, and Institutions, (Hoboken, NJ: John Wiley & Sons, 2011).
  5. [CR-12] John C. Hull, Chapter 24. Credit Risk In Options, Futures, and Other Derivatives, 11th Edition (Pearson, 2022).
  6. [CR-10] John C. Hull, Chapter 19. Credit Value at Risk In Risk Management and Financial Institutions, Sixth Edition, (John Wiley & Sons, 2023).
  7. [CR-13] John C. Hull, Chapter 25. Credit Derivatives In Options, Futures, and Other Derivatives, 11th Edition (Pearson, 2022).
  8. [CR-22] Allan Malz, Chapter 9. Structured Credit Risk In Financial Risk Management: Models, History, and Institutions, (Hoboken, NJ: John Wiley & Sons, 2011).
Lesson 8: Counterparty Credit Risk (8 Readings)
  1. [CR-14] Jon Gregory, Chapter 2. Derivatives In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  2. [CR-15] Jon Gregory, Chapter 3. Counterparty Risk and Beyond In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  3. [CR-16] Jon Gregory, Chapter 6. Netting, Close-out and Related Aspects In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  4. [CR-17] Jon Gregory, Chapter 7. Margin (Collateral) and Settlement In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  5. [CR-18] Jon Gregory, Chapter 8. Central Clearing In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  6. [CR-19] Jon Gregory, Chapter 11. Future Value and Exposure In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  7. [CR-20] Jon Gregory, Chapter 17. CVA In The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition, (West Sussex, UK: John Wiley & Sons, 2020).
  8. [CR-21] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 4. The Evolution of Stress Testing Counterparty Exposures In Stress Testing: Approaches, Methods, and Applications, (London: Risk Books, 2013).
Lesson 9: Liquidity and Treasury Risk (I) (6 Readings)
  1. [LTR-1] John C. Hull, Chapter 24. Liquidity Risk In Risk Management and Financial Institutions, 5th Edition, (Hoboken, NJ: John Wiley & Sons, 2018).
  2. [LTR-2] Allan Malz, Chapter 12. Liquidity and Leverage In Financial Risk Management: Models, History, and Institutions, (Hoboken, NJ: John Wiley & Sons, 2011).
  3. [LTR-19] Andrew Ang, Chapter 13. Illiquid Assets In Asset Management: A Systematic Approach to Factor Investing, (New York: Oxford University Press, 2014).
  4. [LTR-12] Peter Rose, Sylvia Hudgins, Chapter 12. Managing and Pricing Deposit Services In Bank Management & Financial Services, 9th Edition, (New York, NY: McGraw- Hill, 2013).
  5. [LTR-13] Peter Rose, Sylvia Hudgins, Chapter 13. Managing Nondeposit Liabilities In Bank Management & Financial Services, 9th Edition, (New York, NY: McGraw- Hill, 2013).
  6. [LTR-14] Bruce Tuckman, Angel Serrat, Chapter 12. Repurchase Agreements and Financing In Fixed Income Securities: Tools for Today’s Markets, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).
Lesson 10: Liquidity and Treasury Risk (II) (6 Readings)
  1. [LTR-4] Peter Rose, Sylvia Hudgins, Chapter 10. The Investment Function in Financial-Services Management In Bank Management & Financial Services, 9th Edition, (New York, NY: McGraw-Hill, 2013).
  2. [LTR-18] Peter Rose, Sylvia Hudgins, Chapter 7. Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques In Bank Management & Financial Services, 9th Edition, (New York, NY: McGraw-Hill, 2013).
  3. [LTR-5] Peter Rose, Sylvia Hudgins, Chapter 11. Liquidity and Reserves Management: Strategies and Policies In Bank Management & Financial Services, 9th Edition, (New York, NY: McGraw-Hill, 2013).
  4. [LTR-7] Antonio Castagna, Francesco Fede, Chapter 11. Monitoring Liquidity In Measuring and Managing Liquidity Risk, (United Kindom, John Wiley & Sons, 2013).
  5. [LTR-3] Shyam Venkat, Stephen Baird, Chapter 6. Early Warning Indicators In Liquidity Risk Management, (Hoboken, NJ: John Wiley & Sons, 2016).
  6. [LTR-9] Shyam Venkat, Stephen Baird, Chapter 3. Liquidity Stress Testing In Liquidity Risk Management, (Hoboken, NJ: John Wiley & Sons, 2016).
Lesson 11: Liquidity and Treasury Risk (III) (7 Readings)
  1. [LTR-10] Moorad Choudhry, Chapter 14. Liquidity Risk Reporting and Stress Testing In The Principles of Banking, (Singapore: John Wiley & Sons, 2012).
  2. [LTR-11] Shyam Venkat, Stephen Baird, Chapter 7. Contingency Funding Planning In Liquidity Risk Management, (Hoboken, NJ: John Wiley & Sons, 2016).
  3. [LTR-6] Shyam Venkat, Stephen Baird, Chapter 4. Intraday Liquidity Risk Management In Liquidity Risk Management, (Hoboken, NJ: John Wiley & Sons, 2016).
  4. [LTR-8] Darrell Duffie, The Failure Mechanics of Dealer Banks, Journal of Economic Perspectives 24:1, 51-72.
  5. [LTR-17] Claudio Borio, Robert McCauley, Patrick McGuire, Vladyslav Sushko, Covered Interest Rate Parity Lost: Understanding the Cross-Currency Basis, BIS Quarterly Review, 2016.
  6. [LTR-16] Patrick McGuire, Gotz von Peter, The US Dollar Shortage in Global Banking and the International Policy Response,, BIS Working Papers, Bank for International Settlements, 2009.
  7. [LTR-15] Joel Grant, Liquidity Transfer Pricing: A Guide to Better Practice, Occasional Paper, Financial Stability Board, Bank for International Settlements, 2011.
Lesson 12: Overview of Operational Risk and Resilience (7 Readings)
  1. [OR-1] Chapter 1. Introduction to Operational Risk and Resilience In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  2. [OR-2] Chapter 2. Risk Governance In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  3. [OR-3] Chapter 3. Risk Identification In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  4. [OR-4] Chapter 4. Risk Measurement and Assessment In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  5. [OR-5] Chapter 5. Risk Mitigation In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  6. [OR-6] Chapter 6. Risk Reporting In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  7. [OR-7] Chapter 7. Integrated Risk Management In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
Lesson 13: Regulatory and Economic Capital (7 Readings)
  1. [OR-21] Mark Carey, “Capital Regulation Before the Global Financial Crisis”, (GARP Risk Institute, April 2019).
  2. [OR-22] Mark Carey, “Solvency, Liquidity and Other Regulation After the Global Financial Crisis”, (GARP Risk Institute, April 2019).
  3. [OR-23] High-level summary of Basel III reforms, (Basel Committee on Banking Supervision Publication, December 2017).
  4. [OR-24] Basel III: Finalising post-crisis reforms, (Basel Committee on Banking Supervision Publication, December 2017): 128–136.
  5. [MR-16] John C. Hull, Chapter 17. Fundamental Review of the Trading Book In Risk Management and Financial Institutions, 5th Edition, (Hoboken, NJ: John Wiley & Sons, 2018).
  6. [OR-18] Michel Crouhy, Dan Galai and Robert Mark, Chapter 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement In The Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014).
  7. [OR-19] Range of practices and issues in economic capital frameworks, (Basel Committee on Banking Supervision Publication, March 2009).
Lesson 14: Operational Risk: Focus Areas (I) (5 Readings)
  1. [OR-17] Stress Testing Banks, Til Schuermann, prepared for the Committee on Capital Market Regulation, Wharton Financial Institutions Center (April 2012).
  2. [OR-8] Cyber-resilience: Range of practices (Basel Committee on Banking Supervision Publication, December 2018).
  3. [OR-9] Case Study: Cyberthreats and Information Security Risks In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  4. [OR-10] Sound Management of Risks related to Money Laundering and Financing of Terrorism, (Basel Committee on Banking Supervision, January 2014, revised July 2020).
  5. [OR-11] Chapter 11. Case Study: Financial Crime and Fraud In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
Lesson 15: Operational Risk: Focus Areas (II) (6 Readings)
  1. [OR-12] Guidance on Managing Outsourcing Risk, Board of Governors of the Federal Reserve System, December 2013.
  2. [OR-13] Chapter 13. Case Study: Third-Party Risk Management In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  3. [OR-14] Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  4. [OR-15] “Supervisory Guidance on Model Risk Management”, Federal Deposit Insurance Corporation, (June 7, 2017).
  5. [OR-16] Chapter 16. Case Study: Model Risk and Model Validation In Operational Risk and Resilience, (Global Association of Risk Professionals, New York, NY: Pearson, 2022).
  6. [OR-20] Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice, Board of Governors of the Federal Reserve System, August 2013.
Lesson 16: Current Readings (10 Readings)
  1. [CI-1] Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank (through page 66, Board of Governors of the Federal Reserve System).
  2. [CI-2] The Credit Suisse CoCo Wipeout: Facts, Misperceptions, and Lessons for Financial Regulation (Journal of Applied Corporate Finance, June 2023).
  3. [CI-3] Artificial Intelligence and Bank Supervision (Federal Reserve Bank of Richmond, Second Quarter 2023).
  4. [CI-4] Financial Risk Management and Explainable, Trustworthy, Responsible AI, Fritz-Morgenthal S, Hein B and Papenbrock J, (Frontiers in Artificial Intelligence)
  5. [CI-5] Artificial Intelligence Risk Management Framework (National Institute of Standards and Technology)
  6. [CI-6] Climate-related risk drivers and their transmission channels, BIS, April 2021.
  7. [CI-7] Climate-related financial risks – measurement methodologies, Basel Committee on Banking Supervision Publication, April 2021.
  8. [CI-8] Principles for the effective management and supervision of climate-related financial risks, Basel Committee on Banking Supervision Publication, June 2022.
  9. [CI-9] The Crypto Ecosystem: Key Elements and Risks (Basel Committee on Banking Supervision Publication, July 2023).
  10. [CI-10] Jose Ramon Martinez, Banco de Espana, Digital Resilience and Financial Stability. The Quest for Policy Tools in The Financial Sector (April 13, 2023).

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