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Condensed Note Of Frm Part 1 - Valuation & Risk Models 2022

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Alpha and Omega
Jan 21, 2021
Reaction score
2 years of service

Published 9/2022
MP4 | Video: h264, 1280x720 | Audio: AAC, 44.1 KHz
Language: English | Size: 624.49 MB | Duration: 2h 54m
A quick understanding and review of all important concepts for FRM part 1 exam.

What you'll learn
Understand what are included in the VRM section of FRM Part 1
Have a condensed summary of key concepts
Act as a chance for candidates to find out any knowledge missing
Reinforce the concepts by using examples
No requirement
In this course, we have condensed the content from the Valuation and Risk Models (VRM) book of FRM Part 1 exam. It is our target to let those candidates who have not started studying can pick up all necessary concepts needed for the exam within a short time frame (and a reasonable price), with the subsequent aid of exam bank. Candidates who have a brief understanding are also welcomed to check if there is anything missing from your previous study.Note that we currently do not have intention to provide videos for explaining the concepts since we believe practices are more efficient in reinforcing your knowledge. Having said that, if there are large demands on videos for certain topics, we would like to create. The course includes the following topics for VRM section of FRM Part 1 exam (2022):1. Measures of Financial Risk2. Calculating and Applying VaR3. Measuring and Monitoring Volatility4. External and Internal Credit Ratings5. Country Risk: Determinants, Measures, and Implications6. Measuring Credit Risk7. Operational Risk8. Stress Testing9. Pricing Conventions, Discounting, and Arbitrage10. Interest Rates11. Bond Yields and Return Calculations12. Applying Duration, Convexity, and DV0113. Modeling Non-Parallel Term Structure Shifts and Hedging14. Binomial Trees15. The Black-Scholes-Merton Model16. Option Sensitivity Measures: The "Greeks"
Section 1: Introduction
Lecture 1 Introduction
Section 2:[VRM-1] Measures of Financial Risk
Lecture 2 The Mean-Variance Framework and Efficient Framework
Lecture 3 Typical Distribution of Returns
Lecture 4 Value at Risk (VaR)
Lecture 5 Expected Shortfall (ES)
Lecture 6 Coherent Risk Measures
Lecture 7 VaR is Not Coherent
Section 3:[VRM-2] Calculating and Applying VaR
Lecture 8 Linear and Non-Linear Portfolios
Lecture 9 Historical Simulation Approach for VaR and ES
Lecture 10 Delta-Normal Approach for VaR and ES
Lecture 11 Limitation of Delta-Normal Approach
Lecture 12 Monte Carlo Method for VaR and ES
Lecture 13 Scenario Analysis
Lecture 14 Worst-Case Scenario (WCS) Analysis
Section 4:[VRM-3] Measuring and Monitoring Volatility
Lecture 15 Characteristics of Asset Return Distribution
Lecture 16 Conditional VS Unconditional
Lecture 17 Estimating Conditional Volatility
Lecture 18 EWMA Model
Lecture 19 GARCH(1,1) Model
Lecture 20 Implied Volatility
Lecture 21 Correlation Estimates
Section 5:[VRM-4] External and Internal Credit Ratings
Lecture 22 External Ratings
Lecture 23 Factors Affecting External Ratings
Lecture 24 Hazard Rate
Lecture 25 Recovery Rate
Lecture 26 Rating Process: Through-the-Cycle VS Point-in-Time
Lecture 27 Alternative to Ratings
Lecture 28 Internal Ratings
Lecture 29 Rating Transition Matrix
Lecture 30 Relationship between Credit Rating Changes and Market Price Changes
Lecture 31 Failures and Challenges to Credit Ratings
Section 6:[VRM-5] Country Risk: Determinants, Measures, and Implications
Lecture 32 Factors of Country Risk
Lecture 33 Measures of Country Risk
Lecture 34 Foreign VS Local Currency Debt Default
Lecture 35 Consequences of Sovereign Default
Lecture 36 Sovereign Credit Ratings
Lecture 37 Sovereign Credit Spreads
Section 7:[VRM-6] Measuring Credit Risk
Lecture 38 Economic VS Regulatory Capital
Lecture 39 Dependence among Loan Defaults
Lecture 40 Expected and Unexpected Loss
Lecture 41 Credit Losses under Binomial Distribution
Lecture 42 Gaussian Copula Model
Lecture 43 Vasicek Model for Default Rate
Lecture 44 CreditMetrics Model
Lecture 45 Euler's Theorem and Risk Contribution
Lecture 46 Credit Risk Exposure for Derivatives
Lecture 47 Challenges to Quantifying Credit Risk
Section 8:[VRM-7] Operational Risk
Lecture 48 Categories of Operational Risk
Lecture 49 BIA, SA and AMA under Basel
Lecture 50 SMA under Basel
Lecture 51 Loss Frequency, Severity & Monte Carlo
Lecture 52 Data Issues of Loss Estimation
Lecture 53 Scenario Analysis
Lecture 54 Risk and Control Self-Assessment, KRI and Education
Lecture 55 Allocation of Operational Risk Capital
Lecture 56 Power Law
Lecture 57 Moral Hazard and Adverse Selection
Section 9:[VRM-8] Stress Testing
Lecture 58 Rationale of Using Stress Testing
Lecture 59 Key Considerations of Stress Testing
Lecture 60 Traditional VaR/ES, Stressed VaR/ES and Stress Testing
Lecture 61 BoD, Senior Management & Internal Audit
Lecture 62 Policies/Procedures & Validation
Lecture 63 Basel Stress Testing Principles
Section 10:[VRM-9] Pricing Conventions, Discounting, and Arbitrage
Lecture 64 Discount Factor and Clean/Dirty Price
Lecture 65 Law of One Price and Arbitrage
Lecture 67 Replicating Portfolio
Lecture 68 Day-Count Convention
Section 11:[VRM-10] Interest Rates
Lecture 69 Compounding Frequency
Lecture 70 Spot Rate and Discount Factor
Lecture 71 Forward Rate
Lecture 72 Par Rate
Lecture 73 Relationship between Spot, Forward & Par Rates
Lecture 74 Impact of Maturity on Bond Price
Lecture 75 Flattening/Steepening of Rate Curve
Lecture 76 Swap and LIBOR
Lecture 77 Overnight Indexed Swap (OIS)
Section 12:[VRM-11] Bond Yields and Return Calculations
Lecture 78 Gross & Net Realized Return
Lecture 79 Spread of a Bond
Lecture 80 Yield-to-Maturity (YTM) of a Bond
Lecture 81 Price of Annuity & Perpetuity
Lecture 82 Spot Rate, YTM, Coupon Rate & Bond Price
Lecture 83 Carry Roll-Down
Lecture 84 Decomposition of Bond Return
Section 13:[VRM-12] Applying Duration, Convexity, and DV01
Lecture 85 One-Factor Interest Rate Model
Lecture 86 DV01
Lecture 87 Hedging using DV01
Lecture 88 Effective Duration
Lecture 89 DV01 vs Effective Duration
Lecture 90 Convexity
Lecture 91 Duration & Convexity of Portfolio
Lecture 92 Hedging using Duration & Convexity
Lecture 93 Bullet VS Barbell Portfolio
Section 14:[VRM-13] Modelling Non-Parallel Term Structure Shifts and Hedging
Lecture 94 Principal Components Analysis (PCA)
Lecture 95 Key Rate Exposures & KR01
Lecture 96 KR01, Key Rate Duration & Hedging
Lecture 97 Forward-Bucket 01
Lecture 98 Key Rate and Portfolio Volatility
Section 15:[VRM-14] Binomial Trees
Lecture 99 Binomial Tree and Option Price (Part 1)
Lecture 100 Binomial Tree and Option Price (Part 2)
Lecture 101 Delta of Option
Lecture 102 Options on Dividend-Paying Stocks, Currencies & Futures
Section 16:[VRM-15] The Black-Scholes-Merton Model
Lecture 103 Lognormal Property of Stock Prices
Lecture 104 Black-Scholes-Merton (BSM) Model
Lecture 105 Assumptions of BSM Model
Lecture 106 Implied Volatility used in BSM Model
Lecture 107 BSM Model on Various Options
Lecture 108 Early Exercise of American Options
Lecture 109 Warrant & Dilution Cost
Section 17:[VRM-16] Option Sensitivity Measures: The "Greeks"
Lecture 110 Naked VS Covered Option Positions
Lecture 111 Stop-Loss Hedging Strategy
Lecture 112 Delta of Options, Futures & Forwards
Lecture 113 Delta of Portfolio
Lecture 114 Theta, Gamma, Vega & Rho
Lecture 115 Delta-Neutral & Gamma-Neutral
Lecture 116 Relationship between Delta, Theta, Gamma & Vega
Lecture 117 Portfolio Insurance
Section 18:[Optional] Learning Objectives of FRM Part 1
Lecture 118[Optional] Foundations of Risk Management (20%) (Slide)
Lecture 119[Optional] Quantitative Analysis (20%) (Slide)
Lecture 120[Optional] Financial Markets and Products (30%) (slide)
Lecture 121[Optional] Valuations and Risk Models (30%) (Slide)
Section 19: Bonus Section
Lecture 122 Bonus Lecture
Candidates who want to understand or review the section Valuation and Risk Models (VRM) of FRM Part 1

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KatzSec DevOps

Alpha and Omega
Jan 17, 2022
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1 years of service
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