Financial Risk Manager Handbook is the definitive book for risk management worldwide. This book is recommended by GARP as the textbook for study for the Financial Risk Manager (FRM) exam. This guide summarizes the core body of knowledge for financial risk managers. The book covers important ground with respect to Risk Management that includes the […]
FRM Exam
FRM Pass Rate and Grading
What’s the FRM Exam Pass Rate and how are you graded? In May 2014, the FRM Exam pass rates were as follows: Part I – 42.5% Part II – 58.1% The following table provides the historical pass rates for FRM exam. Year FRM Part I Exam FRM Part II Exam 2009 55.2 May-10 52.5 54 Nov-10 […]
ERP vs. FRM Exam
Question: I know ERP and FRM are two different certifications, but I would like to know which one is more beneficial from a career perspective? Should I do FRM or ERP if I want to be in the risk management field? Answer: Here are some details and comparison points about these two exams: 1. Both […]
CFA Vs. FRM: Which Designation is Right for You?
This is one of the most commonly debated questions among students who have made up their mind about furthering their career and adding a designation such as CFA, FRM, or CAIA to their name. Making the right choice can be crucial for a couple of reasons: 1) Each of these certifications are expensive, for example, […]
FRM Exam Study Plan in Excel
FRM is a difficult exam with a huge list of readings prescribed by GARP. FRM Part 1 alone has 52 readings for teh current syllabus. Along with a job and With limited time to study it is important that you keep track of your studies and have a study plan to ensure that you finish […]
Key Dimensions that Characterize Acceptable Data
Organizing the rules of data quality into dimensions not only improves the specification and measurement of the data quality, it also provides the framework under which quality can be measured and reported. This in turn enables better governance of data quality. Tools can then be built around this to determine the minimum levels required to […]
Risk Taking: A Corporate Governance Perspective
This reading is a part of the syllabus for FRM Part 1 Exam in the section ‘Foundations of Risk Management’. In the first two sections the book lays out the scope of risk management by defining risk and exploring risk governance. The next few sections look at measuring and dealing with risk and the different tools used to […]
Standard Error in Linear Regression
A simple (two-variable) regression has three standard errors: one for each coefficient (slope, intercept) and one for the predicted Y (standard error of regression). While the population regression function (PRF) is singular, sample regression functions (SRF) are plural. Each sample produces a different SRF. So, the coefficients exhibit dispersion (sampling distribution). The standard error is […]
Type I and Type II Errors
When drawing an inference (from a sample statistic, about a population parameter), there can be two types of errors: Type I and Type II. Type I error, also known as error of the first kind, occurs when the null hypothesis is true, but is rejected. Type II error, also known as the error of the […]
Bootstrapping Value at Risk (VaR)
This is an illustration, using a simple portfolio of four stocks over one week, of the bootstrap method. Like the Monte Carlo, we want to simulate each stock (in the portfolio) forward in time. If today is time t, then we want to simulate the stock on t+1, t+2, t+3, etc. The key difference is: […]