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The "2024 FRM Exam Part II – Market Risk Measurement and Management PDF" by GARP (Global Association of Risk Professionals) is the definitive guide for preparing for the FRM Exam Part II. This resource focuses on advanced market risk concepts, offering insights into measuring, analyzing, and mana...

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  • November 15, 2024
  • 229
  • 2024/2025
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  • 2024 frm exam part ii market risk pdf
  • garp market risk management guide
  • market risk measurement study material frm 2024
  • value at risk models and stress testing pdf
  • frm part ii portfolio risk managemen

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, ®
@GARP
FRM I Financial Risk Manager




2024
®




EXAM PART II
Market Risk
Measurement
and Management




@Pearson

,Excerpts taken from:

Options, Futures, and Other Derivatives, Tenth Edition by John C. Hull
Copyright© 2017, 2015, 2012, 2009, 2006, 2003, 2000 by Pearson Education, Inc.
New York, New York 10013

Copyright© 2024, 2023, 2022, 2021, by Pearson Learning Solutions All rights reserved.

This copyright covers material written expressly for this volume by the editor/s as well as the compilation itself.
It does not cover the individual selections herein that first appeared elsewhere. Permission to reprint these
has been obtained by Pearson Learning Solutions for this edition only. Further reproduction by any means,
electronic or mechanical, including photocopying and recording, or by any information storage or retrieval
system, must be arranged with the individual copyright holders noted.

Grateful acknowledgment is made to the following sources for permission to reprint
material copyrighted or controlled by them:

"Estimating Market Risk Measures," "Non-Parametric Approaches," and "Parametric Approaches (Ill): Extreme
Value" by Kevin Dowd, reprinted from Measuring Market Risk, Second Edition (2005), by permission of John
Wiley & Sons, Inc. All rights reserved. Used under license from John Wiley & Sons, Inc.

"Back Testing VaR" and "VaR Mapping," by Philippe Jorion, reprinted from Value at Risk: The New Benchmark
for Managing Financial Risk, Third Edition (2007), by permission of The McGraw Hill Companies.
"Messages from the Academic Literature on Risk Measurement for the Trading Book," Working Paper No. 19
January 2011, reprinted by permission of the Basel Committee on Banking Supervision.

"Some Correlation Basics: Definitions, Applications, and Terminology," "Empirical Properties of Correlation:
How Do Correlations Behave in the Real World?," and "Financial Correlation Modeling-Bottom Up
Approaches," by Gunter Meissner, reprinted from Correlation Risk Modeling and Management, Second Edition
(2019), by permission of Risk Books/lnfoPro Digital Services, Ltd.

"Empirical Approaches to Risk Metrics and Hedges," "The Science of Term Structure Models," "The Evolution
of Short Rates and the Shape of the Term Structure," "The Art of Term Structure Models: Drift," and "The Art
of Term Structure Models: Volatility and Distribution," by Bruce Tuckman and Angel Serrat, reprinted from Fixed
Income Securities: Tools for Today's Markets, T hird Edition (2012), by permission of John Wiley & Sons, Inc. All
rights reserved. Used under license from John Wiley & Sons, Inc.

"Fundamental Review of the Trading Book," by John C. Hull, reprinted from Risk Management and Financial
Institutions, Fifth Edition (2018), by permission of John Wiley & Sons, Inc. All rights reserved. Used under license
from John Wiley & Sons, Inc.

Learning Objectives provided by the Global Association of Risk Professionals.

All trademarks, service marks, registered trademarks, and registered service marks are the property of their
respective owners and are used herein for identification purposes only.

Pearson Education, Inc., 221 River Street, Hoboken, NJ 07030
A Pearson Education Company
www.pearsoned.com

Printed in the United States of America

ScoutAutomatedPrintCode

00033038-00000005 I A103001321011
EEB/SK




@Pearson ISBN 10: 0-13-829218-3
ISBN 13: 978-0-13-829218-8

, Contents


1.6 The Core Issues: An Overview 13
Chapter 1 Estimating Market
1. 7 Appendix 13
Risk Measures 1
Preliminary Data Analysis 13
Plotting the Data and Evaluating
Summary Statistics 14
1.1 Data 2
QQ Plots 14
Profit/Loss Data 2
Loss/Profit Data 2
Arithmetic Return Data 2 Chapter 2 Non-Parametric
Geometric Return Data 2 Approaches 17
1 .2 Estimating Historical
Simulation VaR 3
2.1 Compiling Historical
1 .3 Estimating Parametric VaR 4 Simulation Data 18
Estimating VaR with Normally Distributed
Profits/Losses 4 2.2 Estimation of Historical
Estimating VaR with Normally Distributed Simulation VaR and ES 19
Arithmetic Returns 5 Basic Historical Simulation 19
Estimating Lognormal VaR 6 Bootstrapped Historical Simulation 19
Historical Simulation Using
1.4 Estimating Coherent Risk Measures 7
Non-parametric Density Estimation 19
Estimating Expected Shortfall 7
Estimating Curves and Surfaces for
Estimating Coherent Risk Measures 8 VaR and ES 21
1 .5 Estimating the Standard Errors 2.3 Estimating Confidence Intervals
of Risk Measure Estimators 10 for Historical Simulation VaR and ES 21
Standard Errors of Quantile Estimators 10 An Order Statistics Approach to the
Standard Errors in Estimators of Estimation of Confidence Intervals for
Coherent Risk Measures 12 HS VaR and ES 22


iii

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