MLARM Exam Preparation Resources
The MLARM Certificate is designed for self-study and is based on Risk Management Frameworks and Practices for Market Risk & Asset Liability Management, together with case studies and digital resources.
Required
The required study resources listed below are designed for self-study. The digital Risk Management Frameworks and Practices for Market Risk & Asset Liability Management is included in the program fee.
Risk Management Frameworks and Practices for Market Risk & Asset Liability Management is a best practices guide to all elements needed for the successful implementation of an approach to managing each of these risks. Designed to deliver a deep, practical understanding of Market Risk, Liquidity Risk and Asset Liability Management in financial institutions, the book is written by an all-practitioner author team from major financial institutions around the globe. See link below for the book introduction.
Introduction
Case Studies
The following case studies are publicly available and should be read in addtion to the other material such as the textbook above.
| American Insurance Group (AIG) |
AIG’s Financial Products division built large positions in credit derivatives that created significant exposure to movements in credit spreads and market valuations. As spreads widened during the crisis, mark-to-market losses and collateral calls generated acute liquidity pressure across the group. The case highlights the interaction between market risk, collateral management, and liquidity risk under stressed conditions. |
| Fannie Mae and Freddie Mac |
Fannie Mae and Freddie Mac were highly exposed to interest rate risk through their mortgage portfolios and the embedded optionality of prepayments. Changes in rates and housing market conditions affected both asset valuations and hedging effectiveness, creating volatility in their balance sheets. The case illustrates the complexity of managing duration, convexity, and funding risk in large mortgage-based portfolios. |
| Long-Term Capital Management (LTCM) |
LTCM’s strategy depended on small pricing discrepancies across markets, amplified through extreme leverage and assumptions about stable correlations. When market volatility surged and correlations broke down, losses escalated rapidly, triggering margin calls and liquidity stress. The episode demonstrates how market risk, model risk, and funding liquidity risk can combine to destabilize highly leveraged portfolios.
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| Lehman Brothers |
Lehman Brothers maintained a highly leveraged balance sheet with significant exposure to real estate-linked securities and short-term funding markets. As asset values declined and repo funding became constrained, the firm faced severe liquidity stress and was unable to refinance its positions. The case underscores the importance of liquidity buffers, funding diversification, and stress testing under adverse market conditions. |
| Northern Rock |
Northern Rock relied heavily on wholesale funding markets to support long-term mortgage lending, creating a structural asset–liability mismatch. When funding markets froze, the bank could not roll over its short-term liabilities, leading to a liquidity crisis despite relatively sound asset performance initially. The case highlights the risks of poor ALM practices and overdependence on market-based funding. |
| The Failure of Silicon Valley Bank |
Silicon Valley Bank invested heavily in long-duration fixed-income securities, exposing it to significant interest rate risk as rates rose sharply. The resulting decline in asset values, combined with concentrated deposits, led to rapid liquidity outflows. The failure demonstrates the importance of overall risk management, hedging strategies, and liquidity planning in an evolving rate environment. |
eCoach Course
Ensure you're fully prepared for the MLARM exam by taking advantage of the MLARM eCoach course. This on-demand course offers over two hours of content that aligns with the Handbook.
Want to give it a try? Start with the first lesson for free, and if you find it helpful, you can purchase the full course. If you’re a Sustaining member, the full course is included in your membership!
Optional Resources
These are a set of examples and exercises that will help you develop your knowledge for Value at Risk and Fund Transfer Pricing. They are not required for the exam.