A final-revision summary for the FRM. Study aid only - no notes in the proctored exam (an approved calculator is permitted).
The format
Two parts of multiple choice. Part I = 100 questions / 4 hours (foundations and tools). Part II = 80 questions / 4 hours (applied risk). Part II is only graded if Part I is passed.
Core ideas to know
| Concept | Idea |
|---|---|
| Value at Risk (VaR) | Loss not expected to be exceeded at a confidence level over a horizon |
| Expected shortfall | Average loss beyond the VaR threshold (a coherent risk measure) |
| Duration / convexity | A bond’s sensitivity to interest-rate changes |
| Greeks | Option sensitivities (delta, gamma, vega, theta, rho) |
| Credit risk | Probability of default, exposure at default, loss given default |
| Operational risk | Loss from people, processes, systems or external events |
The two-part map
Part I: Foundations (20%) · Quantitative Analysis (20%) · Financial Markets and Products (30%) · Valuation and Risk Models (30%). Part II: Market (20%) · Credit (20%) · Operational and Resilience (20%) · Liquidity and Treasury (15%) · Risk and Investment Management (15%) · Current Issues (10%).
Exam-day reminders
Two four-hour papers · heavy multiple choice · master the approved calculator · manage time per question · the maths underpins everything.