FRM® Exam Part I Prep Course with Christian Cooper - Review

Since its introduction in 1997, the FRM® designation has become the defacto standard for risk managers globally. There are now over 24,000 FRMs globally. As of late 2009, the Global Association of Risk Professionals (GARP®), which administers the exam, transitioned the program to a multi-year process from a single exam. The topics covered in the FRM® Part I exam range from Quantitative Analysis, Foundations of Risk Management, Financial Markets & Products and Valuation & Risk Models. The FRM® is a very demanding exam drawing questions from a wide array of topics. NYIF has developed this course to supplement your studies and help prepare you for the Part I exam.

This intensive 8-evening course will cover the key topics and focus on the areas you need to know in order to pass the exam. You will receive a FREE set of comprehensive handbooks written by our expert course instructor.

By making NYIF your partner in preparing for the exam, you are taking an important step in achieving this valued designation.

03-Apr-2012 -- 26-Apr-2012New YorkUSD$750
NY Institute of Finance - Midtown6:00pm - 8:30pm Instructional Method:
Group-Live
Tue Thu Level: Intermediate

Any FRM® exam candidate who is looking for a comprehensive supplement to their preparation for the 2010 FRM® Part I Exam. From individual job titles (i.e. Accountant, Analyst, Chief Executive Officer, Chief Financial Officer, Chief Investment Officer, Credit Analyst, Derivatives Trader, Compliance, Risk Management, Portfolio, Research, Trader, etc) to industry sector (i.e. Academic, Asset Management, Brokerage, Commercial Bank, Consultant, Corporation, Government Agency, Insurance, Investment Bank, Law firm, Media, Professional Association, Regulatory Body, Retail Bank, Securities firm, Software vendor, Technology, etc), the work experience of certified FRM-holders is very diverse. To ensure your current and/or past work experience meets this qualification, GARP® provides a sample list of qualifying job titles in various industries, including financial risk management. See www.garp.com/frmexam in LEARN section for the full list.
1.) GARP does not endorse, promote, review or warrant the accuracy of the products or services offered by the New York Institute of Finance of GARP Exam related information, nor does it endorse any pass rates claimed by the provider. Further, GARP is not responsible for any fees or costs paid by the user to the New York Institute of Finance, nor is GARP responsible for any fees or costs of any person or entity providing any services to the New York Institute of Finance. ERP™, FRM®, GARP® and Global Association of Risk Professionals™ are trademarks owned by the Global Association of Risk Professionals, Inc. 2.) To take the FRM® Exam, you must be enrolled with GARP®, the global association that administers the Financial Risk Manager® exam program worldwide. You must also have active Fellow Membership of GARP® and a minimum of two years experience in the area of financial risk management or another related field including, but not limited to, trading, portfolio management, academic or industry research, economics, auditing, risk consulting, and/or risk technology. For more information about the exam or how to enroll, call 1-201-719-7210 or visit wwww.garp.com/frmexam. 3.) NYIF's FRM Prep Courses reference the FRM Core Readings Course Pack. Candidates are responsible for purchasing these required readings as they will NOT be supplied by NYIF. Please visit GARP's website (http://www.garp.com/frmexam/prepare.aspx) for details and purchase information.
FRM® candidates must purchase an approved calculator for use in class. Candidates should view the GARP calculator policy (http://www.garp.org/frm/overview/policies/calculator.aspx) to ensure that they are using an approved model. There will be no exceptions to this policy. Should you use a non-authorized calculator at any time during the exam, your answer sheets will not be graded.
"The instructor was knowledgeable in all areas and was able to apply the theories to the real world."
"Christian was knowledgeable and passionate about the subject matter."
"The course materials were focused - we were able to cover a large volume of material in sufficient depth."
"The instructor is very competent and explained the material in a way that was easy to understand."
"The course presented a practical focus on test preparation. The materials boiled down the readings very effectively, and the instructor was knowledgeable on a wide range of topics."
Dates for each session are: April 3,5,10,12,17,19,24,26
Scheduling Note
Whenever possible, New York Institute of Finance avoids scheduling courses on holidays and religious observances. However, due to the demanding nature of FRM® exam preparation, review sessions will be held as scheduled. We regret that sessions cannot be rescheduled to accommodate individual delegates.
Session 1: Foundations of Risk Management
Questions of Market Efficiency
  • CAPM in the real world
  • Expectations of return: foundation of pricing

Value at Risk

  • Is the VaR model dead?
  • Key assumptions in VaR: simplicity obscures complexity

Creating Value with Risk Management

  • Cost of capital and its implications for returns
  • Price variation as risk

Session 2: Foundations of Risk Management
Producing Superior Returns with Risk Management
  • Performance measurement and attribution
  • - Tracking error
  • Key ratios: Sharpe
  • CAPM: the foundations

Beyond CAPM: APT

  • Factor models

Case Studies

  • Risk failures
  • Capital adequacy
  • Ethics in risk management and the GARP code of conduct

Session 3: Quantitative Analysis
Probability and Probability Distributions
  • Estimations of mean
  • Standard deviation and its implications for risk management
  • Estimation of distributions (sampling)
  • Discrete probability distributions
  • Continuous probability distributions

Linear Regression

  • Two variable model
  • Hypothesis testing
  • Multiple regression models

Session 4: Quantitative Analysis
Monte Carlo Methods and VaR

    Volatility and Correlation: The Most Important, Overlooked Topic in Risk Management

    • Estimations of correlation
    • Estimations of volatility
    • - Stochastic volatility models
    • - Lognormal volatility
    • - Normal volatility

    GARCH Models

      Term Structure of Volatility

Session 5: Financial Markets and Products
John Hull’s Options, Futures and Other Derivatives
  • The ''Bible'' of the derivatives markets
  • Futures
  • - Collateral
  • - Clearing house operations
  • Interest rates
  • Forward interest rates
  • Swaps
  • Options
  • - European, American, Bermudan options
  • Trading strategies
  • - Cheapest to deliver
  • FX derivatives
  • Equity derivatives
  • Commodity derivatives

Session 6: Financial Markets and Products -November 10, 2011
Measuring Portfolio Exposures

    Credit Risk

    • Loan portfolios and expected losses

    Trading Risks

    • Basis risk
    • Forex risk
    • - Managing sovereign risk exposures
    • Corporate bond risks
    • Hedging risks / minimum variance

Session 7: Valuation and Risk Models
VaR: In Depth Treatment
  • 'What is VaR exactly?'
  • Types of VaR
  • - Delta normal
  • - Historical simulation of VaR
  • - Monte Carlo simulation methods to determine VaR
  • VaR for linear and non-linear instruments
  • - Callable bonds
  • - Mortgage backed instruments
  • - Convexity in MBS
  • VaR for credit, operational, and credit risk
  • - Rating agencies
  • - Country risk models

Term Structure of Interest Rates

  • Discount factors
  • Arbitrage enforced
  • Yield curves

Fixed Income Risk

    DV01

    • Duration (first derivative)
    • Convexity (second derivative)
    • 'Pay/receive, short/long, which way am I going?'

Session 8: Valuation and Risk Models
Introduction to Option Valuation
  • Binomial tree models
  • - Risk neutral pricing
  • Black-Scholes-Merton model
  • - 'What is wrong with this model?' – assumes normality
  • - Why is assumption of normality a fatal flaw?
  • - Do markets follow normal probability distributions?
  • Option Greeks
  • - Delta
  • - Vega
  • - Theta
  • - Gamma

Stress Testing and Scenario Analysis

Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

Lunch is included for all students taking day classes.