January 22, 2010
"Ask The Experts" Webinar on Liquidity Risk Kicks Off PRMIA Global Event Series
The PRMIA Global Event Series on Liquidity Risk will be running February-April 2010. The webinar has been produced and the recording is available now to all PRMIA sustaining members and to any members who register for an upcoming PRMIA chapter event in the Global Event Series on Liquidity. Don't miss the chance to hear from expert risk practitioners Colin Lawrence and David Benson, who share their observations and answer member questions on liquidity risk in this 45-minute webinar. Colin Lawrence is Director of the Prudential Risk Division of the Financial Services Authority, the independent body with statutory powers to regulate the UK's financial services industry, and a PRMIA board member. David Benson is Executive Vice President and Head of Capital Markets of the Federal National Mortgage Association, better known as Fannie Mae. The webinar is moderated by Steve Lindo, PRMIA's Executive Director.
The webinar can be accessed by sustaining members via the exclusive content box on the PRMIA Homepage (bottom right) http://www.prmia.org.
Access for PRMIA members who participate in an upcoming Global Event Series chapter event on Liquidity Risk will receive information once the event has been posted. Please find below a listing of chapters who are involved in the liquidity risk series.
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PRMIA Chapters Involved in Liquidity Risk Series
Posted by kgittins at 08:15 AM
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January 18, 2010
PRM Exam on the Blogs
We often look at the blogs talking about our exams - and we try to learn from these! The following is an independent posting by a PRM candidate on the Global Derivatives Forum which we reproduce with his permission and unchanged. The blogger writes:
Besides the official information on PRMIA's web site, I was unsuccessfully looking for some comprehensive feedback of the study process for the PRM exam. Therefore I decided to write down here my own experience regarding this certification.
Note that this does only reflect my personal opinion at a given time (the syllabus may evolve). Other people may disagree or have different views and I therefore shall in no way be responsible for any disagreement or misinterpretation of the opinion expressed below.
Exam I
This may be qualified as the "nuts and bolts" for anyone who has a degree in economics + a few years of practice in risk management. This exam may however turn out to be the heaviest part of the whole syllabus for some candidates that do not have the appropriate background. Time is not an issue during the exam (2 hours for 36 questions).
KESDEE's sample exams:
They seemed to me in rather good line with the real exam and therefore quite helpful. The real exam turned out imo to be closer to the study material itself than KESDEE's sample exams.
Required study time:
Highly dependent on your background. I'd say it ranges from (as a percentage of the total study time for the PRM certification)
15% if you have a university degree in economics + at least 3 years professional experience in risk-management,
25% if you have a university degree in economics without the relevant professional experience in risk-management,
45% if you do not have a degree in economics but at least 3 years professional experience in risk-management,
55% if you neither have a degree in economics nor relevant professional experience in risk-management.
Exam I may therefore turn out to be the really big part of the PRM exam for many people that are new to the field (e.g. people with a purely quantitative background).
Exam II
This may be qualified as the "nuts and bolts" for anyone who has a degree in physics or mathematics. The book itself is very concise and clearly written, but maybe some further reading may be required to the less quantitative literate candidates to pass the exam. Time is not an issue during the exam (2 hours for 24 questions).
KESDEE's sample exams:
KESDEE's sample exams are imo way more quantitative than the questions in the PRM exam itself. Nevertheless, you still (most likely) will be asked in the exam to carry out some basic integral, derivation, matrix multiplication and inversion, determinant, eigenvalues and eigenvectors, etc calculations.
Required study time:
Again, highly dependent on your background:
<10% if you have a master in physics or mathematics; in this case the exam itself is a real joke,
20% if you do not have a quantitative background but some basic actuarial skills,
30% if you come from a totally different field (e.g. laws).
Anyway, most of the mathematical stuff for this exam could still be considered as high-school grade material (at least in Europe).
Exam III
This is the core of the syllabus in the sense that you capitalize on the knowledge of exams I and II. The book is extremely clearly written. You should go through it at least two times.
The way the material is written is rather quantitative oriented which will make the reading process easier for people with the appropriate background or professional experience.
Time is not an issue during the exam (1.5 hour for 36 questions).
KESDEE's sample exams:
I found KESDEE's exams in rather good line with the textbook. Some questions were about specific numbers, the kind of questions I didn't encounter in the real exam. The real exam turned out to be way less quantitative than I expected, asking many questions that seemed to require a very good ease with the study material. The kind of ease you mostly get from a professional experience in the field or by being familiar with a much broader set of knowledge.
Required study time:
Maybe a tad less sensitive to your background than for the previous exams:
20% of the total time if you already have some professional practice in the field,
30% of the total time if you are new to the field but have some quantitative background,
40% of the total time if you are new to the field and do not feel comfortable with quantitative oriented textbooks.
Exam IV
Read the study material a few times (at least two times) to get the whole picture. It seems not required to learn by heart all dates and numbers, neither to know the exact timeline. All in all this is a rather easy exam.
Be sure not to overlook the PRMIA bylaws. It seems not required know all details, however ask yourself what are the meaningful points to be known - these will most likely be asked in the exam.
Time is not an issue during the exam (1 hour for 24 questions).
KESDEE's sample exams:
The database for this exam seemed to be rather small and you'll probably quickly get the same questions over and over.
Required study time:
About 10% of the total time, and depending of your background (if you're already in the field for many years) this may go as low as 5% since the case studies would then most likely be already known to you.
KESDEE's sample exams
All in all they proved to be a quite useful tool. However, unlike CFA for example where you have plenty of questions (e.g. Schweser study material) that sometimes overlap questions in the real exam, this is not the case for KESDEE's sample questions (at least from what I experienced). I do not remember having had a single question in the real exam that looked like one I had in KESDEE's exams. Moreover:
Be sure to take the first KESDEE exam after you have gone through the whole study material and once you feel having reached a good understanding of the material. Indeed, KESDEE's database contains only a limited amount of questions and you'll come across more and more known questions as you take more sample exams. Therefore since apparently KESDEE's exam questions do not really overlap with the questions in the real exam only your first KESDEE exam is really meaningful for the purpose of evaluating your score.
KESDEE's sample questions sometimes do not exactly match the content of the study material. On the other hand, the real exam seems to be closer to the study material but there may be some tricky questions. All in all, it turns out to be a rather good point that KESDEE's exams do not always exactly match the study material. This will indeed test your overall knowledge and culture of the field, which is a highly valuable knowledge to answer the more tricky questions of the real exam.
KESDEE's sample questions sometimes ask about very specific dates, numbers, etc (either you remember them and get it right, or you don't). I do not remember having had anything like that in the real exams, where questions seemed on average to be more thoughtful.
Required study material
All in all the PRMIA's official readings (PRM Handbook + free Exam IV readings material + study guide) combined with KESDEE's exams seem to be a comprehensive and sufficient set to go through the certification. The readings are sometimes quite dense and "googling" a bit helps building up the surrounding necessary "cloud of knowledge".
Comparison of the PRM and CFA study processes
I will not compare the contents of the exam here, which doesn't make sense granted that PRM and CFA do have different targets.
Furthermore, if you want to compare PRM with its direct competitor FRM (which I didn't take anyway) there's plenty of stuff on the web you can look for.
Just a few words here about my thoughts on of the learning process (not the contents) of CFA and PRM.
I'd say that CFA was like to "learn to pass the exam" and spend a considerable amount of time on getting the required speed and automatisms in order to go through it within the given timeframe. For the PRM I had to "learn the material and then pass an exam". Time is not an issue in the PRM exams. Moreover since you can take the PRM exam at any business day at your convenience it allows you to tune your level of understanding without having to be under the constant pressure of the approaching deadline. This may be good unless you have a strong tendency for procrastination. All in all these points turned out to make the learning process of the PRM quite enjoyable by comparison to the CFA learning process, since I had the feeling to spend a bigger fraction of my time on improving my knowledge rather than on getting the tricks to pass the exam.
Finally, there may be a quite noticeable difference regarding the learning material pedagogical approach:
CFA material is closer to the "American" way of teaching I had experienced: you get an enormous amount of examples, exercises, books, etc, of which a significant part may be skipped depending on your background. Everything you need or may need is given, independently of your background. In that sense the exams seemed to me to be more academic and closely focused on the study material.
On the other hand, the PRM study material is much more concise and closer to the "European" way of teaching: the readings are very dense with fewer examples and every paragraph is important; you may not skip anything - it may however sometimes prove to be useful to undertake additional researches depending on your background. The exams themselves turned out to be a bit different in their "philosophy" in the sense that the PRM exams seemed to me to be in closer line with a "professional" exam. Indeed, quite often the answers had to be built not only upon the study material knowledge but required some additional ways of thinking that may be inherited mostly from professional experience.
Posted by PRMIA_Marketing at 09:21 PM
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January 12, 2010
Professionalizing the Risk Management Profession
Colin Lawrence, PRMIA Board Member and Director, Prudential Risk, the Financial Services Authority, examines ways to professionalize the risk management profession in an article printed in the December issue of Risk Premia.
PRMIA members may access this article the "My Library" section of the PRMIA website at http://prmia.org/includes/download_mem_issue.php?filename=Risk_Premia_Dec_2009.pdf.
Posted by PRMIA_Marketing at 09:38 PM
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January 11, 2010
General Principles of Risk Management by Bennett Golub, Vice Chairman and CRO of BlackRock, Now Available in Exclusive Content
General Principles of Risk Management, a presentation made by Bennett W. Golub, Vice Chairman and Chief Risk Officer of BlackRock at PRMIA's CRO Summit in November, is now available to PRMIA Sustaining members in the Exclusive Content box on the PRMIA home page at www.prmia.org. In his presentation, Mr. Golub focuses on eight guiding principles of risk management, including such topics as bottom-up risk management, defining fiduciary responsibilities, the need for institutional buy-in, and others.
If you are not currently a Sustaining member but wish to view this presentation, click here to upgrade your membership.
Posted by PRMIA_Marketing at 03:29 PM
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January 07, 2010
New Issue of Journal of Risk Management in Financial Institutions Available
The new issue of the Journal of Risk Management in Financial Institutions, an official journal of PRMIA, has recently been published.
Features of this issue, Volume 3, Issue 1, include:
Editorial
Responses to the financial crisis
Joel Bessis and Frances Maguire
Comments
How has Solvency II been affected by the financial crisis and how will it affect risk management among insurers?
Sue Kean
Making the numbers talk: Too much reliance on quantitative measures and too little on qualitative risk analysis
Peter Jeffreys
Papers
Modelling correlations in credit portfolio risk
Bernd Rosenow and Rafael Weissbach
The crash sonata in D major
Giorgio Szego
Documentation risk in credit default swaps: When is a hedge not a hedge?
Mark Griffiths and Philip Drake
Spanish savings institutions and the role of cuotas participativas in times of crisis
Francisco Escribano and Isabel Pardo
A stochastic processes toolkit for risk management: Mean reverting processes and jumps
Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki
Prime loss: A case study in operational risk
Patrick McConnell
Book Review
Equity derivatives: Documenting and understanding equity derivative products
Reviewed by Krzysztof Jajuga
All PRMIA full Sustaining members receive the online version of the Journal as a part of their membership. The Journal is available in the "My Library" area of the PRMIA website. Sustaining members can click here to access the document.
Free, Emerging Market, and Student members of PRMIA can purchase an annual subscription to the online or print version. Members who wish to upgrade to a Sustaining Membership and receive the Journal free-of-charge, along with many other benefits, may do so here. Alternatively to purchase a Journal subscription, please visit the PRMIA website.
Your support of PRMIA allows us to continue to provide you with more local chapter meetings, more networking opportunities and a growing number of online resources, all designed to help you attain a higher standard as a risk professional.
Posted by PRMIA_Marketing at 04:12 PM
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