FRM Level I: Risk Models
The fifth course of the FRM Level I series, covering the first eight official 2026 GARP readings of Valuation and Risk Models — VaR and expected shortfall, the three ways to compute them, volatility forecasting with EWMA and GARCH, credit ratings and country risk, credit portfolio models and capital, operational risk, and stress testing. Taught on one banking group and one idea — every risk number is a percentile of a distribution somebody chose — with every problem stated in exam form and solved by hand on a BA II Plus before any code runs.
- Level: intermediate
- Duration: 5 weeks
- 9 sections
- Price: $29.99
Topics: FRM, FRM Part I, valuation and risk models, value at risk, VaR, expected shortfall, coherent risk measure, historical simulation, delta-normal, Monte Carlo, correlation breakdown, volatility, EWMA, GARCH, implied volatility, credit ratings, hazard rate, transition matrix, country risk, sovereign default, economic capital, unexpected loss, Vasicek, Gaussian copula, CreditMetrics, Euler allocation, operational risk, standardized measurement approach, loss distribution, power law, stress testing, stressed VaR, reverse stress testing, risk management, BA II Plus
What's inside
- FRM Level I: Risk Models
- Chapter 1: Measures of Financial Risk
- Chapter 2: Calculating and Applying VaR
- Chapter 3: Measuring and Monitoring Volatility
- Chapter 4: Credit Ratings and Country Risk
- Chapter 5: Measuring Credit Risk
- Chapter 6: Operational Risk
- Chapter 7: Stress Testing
- Chapter 8: Risk Models Practice Exam