2024年FRM考試大綱發(fā)布，附考綱變動對比

Reading 8 includes two chapters that introduce the key themes of credit risk management. The first chapter discusses the components of credit risk, types of credit risk analysis, and credit risk measurements. The second chapter describes the tools and methods of credit analysis.

Jonathan Golin and Philippe Delhaise, The Bank Credit Analysis Handbook, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2013).

? Chapter 1. The Credit Decision

? Chapter 2. The Credit Analyst

Reading 8 includes two chapters that introduce the key themes of credit risk management. The first chapter discusses the components of credit risk, types of credit risk analysis, and credit risk measurements. The second chapter describes governance and explains the responsibilities of risk management in an organization.

Sylvain Bouteille and Diane Coogan-Pushner, The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2022). ? Chapter 1. Fundamentals of Credit Risk ? Chapter 2. Governance

Reading 9 covers measurement of credit risk, especially expected loss and unexpected loss, and the effect of correlation on portfolio unexpected loss.

Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York, NY: John Wiley & Sons, 2002).

? Chapter 5. Capital Structure in Banks (pages 170-186 only)

Reading 9 describes the tools and methods of credit analysis. It explains the components of credit risk management capability and discusses elements of an effective lending or financing policy.

Hennie van Greuning and Sonja Brajovic Bratanovic, Analyzing Banking Risk, Fourth Edition (World Bank Group, 2020). ? Chapter 7. Credit Risk Management

Reading 10 describes key features of a good rating system, relates ratings to the probability of default, and analyzes different approaches to predicting default.

Giacomo De Laurentis, Renato Maino, and Luca Molteni, Developing, Validating and Using Internal Ratings: Methodologies and Case Studies (West Sussex, UK: John Wiley & Sons, 2010).

? Chapter 3. Rating Assignment Methodologies

Reading 10 covers measurement of credit risk, especially expected loss and unexpected loss, and the effect of correlation on portfolio unexpected loss. It describes a framework for calculating economic capital for credit risk and explores the challenges of quantifying credit risk.

Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York, NY: John Wiley & Sons, 2002).

? Chapter 5. Capital Structure in Banks (pages 170-186 only)

Reading 11 describes different approaches to credit risk modeling and assesses credit derivatives.

René Stulz, Risk Management & Derivatives (Florence, KY: Thomson South-Western, 2002).

? Chapter 17. Credit Risks and Credit Derivatives

Reading 11 includes two chapters. The first chapter describes different approaches to credit risk modeling and assessment, including the judgmental approaches, empirical models, and financial models to predict default. The second chapter presents the role of ratings in supporting credit risk management and rating assignment methodologies.

Michalis Doumpos, Christos Lemonakis, Dimitrios Niklis, and Constantin Zopounidis, Analytical Techniques in the Assessment of Credit Risk: An Overview of Methodologies and Applications (Springer, 2019).

? Chapter 1. Introduction to Credit Risk Modeling and Assessment

? Chapter 2. Credit Scoring and Rating

Reading 12 includes three chapters that cover portfolio and structured credit risk. The first chapter describes default intensity models, explains credit spread risk and defines the relationship between a default probability and a hazard rate. The second chapter defines default correlation for credit portfolios and assesses the impact of correlation on credit VaR. The third chapter describes common types of structured products and the mechanics of a securitization, and explains how default sensitivities for tranches are measured.

Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). ? Chapter 7. Spread Risk and Default Intensity Models

? Chapter 8. Portfolio Credit Risk (Sections 8.1, 8.2, 8.3 only)

? Chapter 9. Structured Credit Risk

Reading 12 defines and compares the risk management and scoring models of retail and corporate credit risk.

Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York, NY: McGraw-Hill, 2014).

? Chapter 9. Credit Scoring and Retail Credit Risk Management

Counterparty risk is covered in five chapters that form Reading 13. The first three chapters identify ways of managing and mitigating counterparty risk and describe the effects of netting, close-out, and collateral on credit exposure. The fourth chapter describes the determination of credit exposure, the pricing of exposure profiles for derivative contracts, and the impact of collateral on funding, while the last chapter covers the analysis of credit value adjustment (CVA) and debt value adjustment (DVA), and the concept of wrong-way risk.

Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 4th Edition (West Sussex, UK: John Wiley & Sons, 2020).

? Chapter 3. Counterparty Risk and Beyond

? Chapter 6. Netting, Close-out and Related Aspects

? Chapter 7. Margin (Collateral) and Settlement

? Chapter 11. Future Value and Exposure ? Chapter 17. CVA

Reading 13 describes measures of sovereign default risk and explains components of a sovereign rating.

Aswath Damodaran, Country Risk: Determinants, Measures, and Implications – The 2022 Edition (2022)

Reading 14 describes stress tests on CVA and counterparty credit risk (CCR).

Akhtar Siddique and Iftekhar Hasan (eds.), Stress Testing: Approaches, Methods, and Applications, (London, UK: Risk Books, 2013).

? Chapter 4. The Evolution of Stress Testing Counterparty Exposures

Quantitative methodologies of estimating credit risk are covered in two chapters of Reading 14. The first chapter describes default intensity models, explains credit spread risk, and defines the relationship between a default probability and a hazard rate. The second chapter introduces credit value at risk and the tools for measuring it.

John C. Hull, Risk Management and Financial Institutions, Sixth Edition (John Wiley & Sons, 2023).

? Chapter 17. Estimating Default Probabilities

? Chapter 19. Credit Value at Risk

Reading 15 defines and compares the risk management and scoring models of retail and corporate credit risk.

Michel Crouhy, Dan Galai and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York, NY: McGraw-Hill, 2014).

? Chapter 9. Credit Scoring and Retail Credit Risk Management

? Chapter 12. The Credit Transfer Markets — and Their Implications

Reading 15 includes two chapters that provide a deeper coverage of portfolio and structured credit risk. The first chapter defines default correlation for credit portfolios, assesses the impact of correlation on credit VaR, and describes the use of the single factor model to measure portfolio credit risk. The second chapter describes common types of structured products and the mechanics of a securitization and explains how default sensitivities for tranches are measured.

Allan Malz, Financial Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011). ? Chapter 8. Portfolio Credit Risk (Sections 8.1, 8.2, 8.3 only)

? Chapter 9. Structured Credit Risk

Reading 16 describes special purpose vehicles (SPVs) and explains performance analysis tools for securitized structures.

Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Securitisation, 2nd Edition (New York, NY: John Wiley & Sons, 2010).

? Chapter 12. An Introduction to Securitisation.

Reading 16 extends discussions on quantitative methodologies of estimating credit risk and explains the distinction between reduced form and structural default correlation models. Assessment of credit derivatives is covered, and the various credit risk mitigants and their role in credit analysis are examined.

John C. Hull, Options, Futures, and Other Derivatives, 11th Edition (Pearson, 2022). ? Chapter 24. Credit Risk

? Chapter 25. Credit Derivatives

Reading 17 examines the subprime mortgage credit securitization in the US and details the players and information frictions in the securitization process.

Adam Ashcraft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit,” Federal Reserve Bank of New York Staff Reports, No. 318 (March 2008).

Counterparty risk is discussed in seven chapters that form Reading 17. The first chapter introduces derivatives and explains how derivative transactions create counterparty credit risk. The next four chapters identify ways of managing and mitigating counterparty risk and describe the effects of netting, close-out, collateral on credit exposure, and central clearing. The sixth chapter describes the determination of credit exposure, the pricing of exposure profiles for derivative contracts, and the impact of collateral on funding, while the last chapter covers the analysis of credit value adjustment (CVA) and debt value adjustment (DVA), and the concept of wrong-way risk.

Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital (West Sussex, UK: John Wiley & Sons, 2020).

? Chapter 2. Derivatives

? Chapter 3. Counterparty Risk and Beyond

? Chapter 6. Netting, Close-out and Related Aspects

? Chapter 7. Margin (Collateral) and Settlement

? Chapter 8. Central Clearing

? Chapter 11. Future Value and Exposure ? Chapter 17. CVA.

Reading 18 describes stress tests on CVA and counterparty credit risk (CCR).

Stress Testing: Approaches, Methods, and Applications, edited by Akhtar Siddique and Iftekhar Hasan (London, UK: Risk Books, 2013).

? Chapter 4. The Evolution of Stress Testing Counterparty Exposures

Reading 19 describes special purpose vehicles (SPVs), explains performance analysis tools for securitized structures, and describes the various prepayment forecasting methodologies.

Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Securitisation, 2nd Edition (New York, NY: John Wiley & Sons, 2010).

? Chapter 12. An Introduction to Securitisation.