Financial Risk Management - II (FRM)

Target group

This exam training is a logical continuation of Financial Risk Management Part 1 and has been developed for risk managers, business analysts, accountants, central bank auditors, internal auditors and treasury consultants.

Goal and structure

For professionals working in risk management who need to be GARP-certified, the UvA Academy for Banking and Insurance (UvA ABV) offers this exam training. UvA ABV is a collaboration between NIBE-SVV and UvA and works together with the best teachers in this field, namely Tony Illis and Coen Streefland. The goal of this training is to teach you about the fundamental risks for banking institutions, government regulators, investment funds, consulting firms and financial services institutions around the world in their day-to-day operations. The training consists of 7 topics and a mock examination. This interesting exam training is taught by highly experienced and professionally active lecturers. The lessons are practically oriented, highly accessible and provide excellent preparation for the final modular assignment.

Preliminary training

A level of higher professional education (HBO) is required in addition to your professional experience in financial risk management.

Course materials

To prepare for the exam, GARP offers an online learning environment and books. You register for the GARP exam yourself, www.garp.org. You can order the study material from GARP. Please allow a delivery time of approximately 6 weeks for the book. Please note the GARP conditions: You have 9 months after your paid registration with GARP to complete the Financial Risk and Regulation program and participate in the exam. We recommend that you register with GARP only after you have received confirmation with the definitive start date of your training.

Study programme

The course addresses the following topics:

Market risk

• Fixed income sensitivities
• VaR and other risk measures
• Extreme value theory (EVT)

Counterparty risk

• Credit scoring
• Unexpected loss
• Credit value at risk

Credit risk portfolio management

• Concentration
• Diversification
• Hedging credit risk

Securitisation

• Tranching
• Cashflow modelling
• Markets for securitisation products

Operational risk

• Enterprise risk management (ERM)
• Frequency and severity distributions
• The Basel III framework

Investment portfolio risk

• Portfolio construction
• Hedge fund strategies
• Performance measurement

The risk management process

• Model risk
• Risk monitoring
• Optimising the Basel risk charge

Exam

The examination is held each May and November by GARP. Additional information about the exams and registration forms can be found on the website of GARP: www.garp.org. You pay the costs for this exam directly to GARP.

You are permitted to register for both the FRM® Exam Level I and Level II on the same day. Level I will be offered in the morning and Level II in the afternoon. You should pass the FRM Exam Level I in order to register for FRM Exam Level II.