FRM Part II Previous Year Question PapersWith solutions

Market Risk Measurement and Management (20%) — Part I (Parametric and non-parametric VaR)

Parametric and non-parametric VaR, VaR mapping and backtesting, Expected shortfall and coherent risk measures, Extreme value theory

Market Risk Measurement and Management (20%) — Part II (Correlations and copulas)

Correlations and copulas, Term structure models and volatility smiles, Fundamental Review of the Trading Book (FRTB)

Credit Risk Measurement and Management (20%) — Part I (Credit analysis and default risk models)

Credit analysis and default risk models, Expected and unexpected loss, Credit VaR and portfolio credit risk

Credit Risk Measurement and Management (20%) — Part II (Counterparty credit risk and XVA)

Counterparty credit risk and XVA, Credit derivatives, Structured finance and securitization

Operational Risk and Resilience (20%)

Operational risk governance, identification and reporting, Measuring and mitigating operational risk, Cyber resilience and third-party risk, Financial crime and fraud, Model risk management, Bank stress testing, RAROC and economic capital, Basel regulation and capital planning

Liquidity and Treasury Risk Measurement and Management (15%)

Liquidity risk metrics, Liquidity portfolio and balance sheet management, Cash-flow modelling and liquidity stress testing, Contingency funding plans, Funds transfer pricing, Cross-currency funding

Risk Management and Investment Management (15%)

Factor theory and portfolio construction, Portfolio risk and risk budgeting, Performance measurement, Hedge funds and private markets, Risk monitoring and due diligence

Current Issues in Financial Markets (10%)

Artificial intelligence in finance, Private credit, Geopolitical risk, Rising government debt, Cryptocurrency and digital assets, Digital resilience