FRM Part II Book 3: Operational and integrated risk-management (2015 SchweserNotes)

Description

Kaplan, Inc., 2015. — 372 p.The third in the eight books set designed to prepare for the GARP FRM Exam (2015 year).Contents: Principles for the sound management of operational risk. Enterprise Risk Management: theory and practice. Internal loss data. External loss data. Capital modelling. Operational risk - supervisory guidelines. Estimating liquidity risks. Model risk. Assessing the quality of Risk measures. Liquidity and leverage. Repurchase agreement and financing. Observations and developments in Risk appetite frameworks. Capital allocation and performance measurement. Range of practices and issues in economic capital frameworks. Capital planning at large bank holding companies. Stress testing banks. The failure mechanics of dealer banks. Basel I, Basel II and Solvency II. Basel 2,5, Basel III and Dodd-Frank. Basel II: International convergence of capital measurement and capital standards. Basel III: A global regulatory framework for more resilient banks and Banking systems. Basel III: The liquidity converge ratio and liquidity risk monitoring tools. Revisions to the Basel II Market Risk framework. Self-test. Formulas.