FRM Part I

Valuation and Risk Models

Key point: VaR, expected shortfall, Greeks, duration/convexity, and structural credit models for valuation and risk measurement. This topic is on FRM Part I and is covered by 243 practice questions with detailed explanations in the frmmastery bank.

243 approved practice questions in bank

What you will practice

• Compute parametric VaR and expected shortfall
• Estimate bond price changes with duration and convexity
• Interpret Black–Scholes Greeks including vega and N(d2)
• Describe Merton structural credit and rating migration matrices