Financial Risk Manager (FRM) Part I

1. Fundamentals of Risk Management

• Main types of risk, measurement and management tools

• Value creation through risk management

• Risk management and corporate governance

• Credit risk transfer mechanisms

• Capital Asset Pricing Model (CAPM)

• Risk-adjusted performance measurement

• Multifactor models

• Data aggregation and risk reporting

• Financial disasters and risk management failures

• Ethics and GARP Code of Conduct

2. Quantitative Analysis

• Discrete and continuous probability distributions

• Estimation of distribution parameters

• Population and sample statistics

• Bayesian analysis

• Statistical inference and hypothesis testing

• Measures of correlation

• Linear regression with one and multiple regressors

• Time series analysis and forecasting

• Simulation methods

3. Financial Markets and Products

• Structure and functions of financial institutions

• Structure and mechanics of OTC and exchange-traded markets

• Structure, mechanics, and valuation of forwards, futures, swaps, and options

• Derivatives hedging

• Interest rates and interest rate sensitivity measures

• Foreign exchange risk

• Corporate bonds

• Mortgage-backed securities

4. Valuation and Risk Models

• Value at Risk (VaR)

• Expected Shortfall (ES)

• Volatility and correlation estimation

• Economic and regulatory capital

• Stress testing and scenario analysis

• Option valuation

• Fixed income valuation

• Hedging

• Country and sovereign risk models and management

• External and internal credit ratings

• Expected and unexpected losses (EL, UL)

• Operational risk

• Hybrid online learning: theory via video lessons, practice through live ZOOM sessions

• Electronic study materials

• Question bank

• Mock exams

• Certificate of course completion

Aizhan Shalabayeva
FRM

Holds 15 years of experience at Kazakhstan’s financial regulatory authority and is a certified FRM (Financial Risk Manager). An expert in analyzing the financial condition of banks and assessing their risks, including through supervisory stress testing. She also has teaching experience at the master’s level.

Bakytzhan Zhaparov
FRM

Expert in identifying, analyzing, and assessing risks in the activities of professional participants of the securities market. Successfully passed Parts I and II of the FRM exam on the first attempt.