FRM Part I

Valuation and Risk Models

VaR, expected shortfall, Greeks, duration/convexity, and structural credit models for valuation and risk measurement.

20 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