FRM Part 1 Foundations of Risk Management
“Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series (Oct. 2008)
Fisher College of Business Working Paper No. 2008-03-017. GARP Code of Conduct Valuation and Risk Models “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication, May 2009)
FRM Part II Credit Risk Measurement and Management
Adam Ashcroft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit”, Federal Reserve Bank of New York Staff Reports, no. 318 (March 2008).
Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003).
Darrell Duffie, “Innovations in Credit Risk Transfer: Implications for Financial Stability” (July 2008)
Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project” (Basel Committee on Banking Supervision Publication, November 2006).
Operational and Integrated Risk Management
Andrew Kuritzkes, Til Schuermann and Scott M. Weiner. “Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates”, in Brookings-Wharton Papers on Financial Services Robert E. Litan and Richard Herring (eds) (Brookings Institutional Press, Washington, DC: 2003)
Brian Nocco and Ren Stulz, “Enterprise Risk Management: Theory and Practice”, Journal of Applied Corporate Finance 18, No. 4 (2006): 8-20
Falko Aue and Michael Kalkbrener, “LDA at Work” Deutsche Bank White Paper, 2007.
Til Schuermann and Andrew Kuritzkes, “What We Know, Don’t Know and Can’t Know About Bank Risk: A View from the Trenches”, (March 2008)
“Principles for Sound Liquidity Risk Management and Supervision” (Basel Committee on Banking Supervision Publication, September 2008)
“Range of practices and issues in economic capital modeling” (Basel Committee on Banking Supervision Publication, March 2009)
Readings for Basel Reference
“Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework-Comprehensive Version” (Basel Committee on Banking Supervision Publication, June 2006)
“Supervisory guidance for assessing banks’ financial instrument fair value practices” (Basel Committee on Banking Supervision Publication, April 2009)
“Guidelines for computing capital for incremental risk in the trading book -final version” (Basel Committee on Banking Supervision Publication, July 2009).
“Revisions to the Basel II market risk framework -final version” (Basel Committee on Banking Supervision Publication, July 2009).
Risk Management and Investment Management Ren Stulz, “Hedge Funds: Past, Present and Future.” Fisher College of Business Working Paper No. 2007-03-003; Charles A Dice Center WP No. 2007-3.
Manmohan Singh and James Aitken, “Deleveraging after Lehman — Evidence from Reduced Rehypothecation”, (March 2009).
Stephen Dimmock and William Gerken, “Finding Bernie Madoff: Detecting Fraud by Investment Managers”, (December 2009).
Current Issues in Financial Markets
Gary Gorton, “The Panic of 2007”, (August 2008).
Raghuram Rajan, “Has Financial Development Made The World Riskier?” (September 2005).
Senior Supervisory Group, “Observations on Risk Management Practices during the Recent Market Turbulence,” (March 2008).
UBS, “Shareholder Report on UBSs Write-Downs”, (April 2008).
Martin Hellwig, “Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis” , (November 2008).
MPI Collective Goods Preprint, No. 2008/43. Carmen Reinhart and Kenneth Rogoff, “This Time is Different: A Panoramic View of Eight Centuries of Financial Crises” , (April 2008).
Darrell Duffie, “The Failure Mechanics of Dealer Banks”, (June 2009).
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