Readings for Foundations of Risk Management

1. Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of RiskManagement, 2nd Edition (New York: McGraw-Hill, 2014).

• Chapter 1. Risk Management: A HelicopterView (Including Appendix 1.1. Typology of Risk Exposures)

• Chapter 2. Corporate Risk Management: APrimer

• Chapter 4. Corporate Governance and RiskManagement

2. James Lam, Enterprise RiskManagement: From Incentives to Controls, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2014).

• Chapter 4. What is ERM?

3. Rene Stulz, “Governance, Risk Management andRisk-Taking in Banks,” Finance Working Paper 427/2014 (June 2014).

4. Steve Allen, Financial Risk Management:A Practitioner's Guide to Managing Market and Credit Risk, 2nd Edition (New York: John Wiley & Sons, 2013).

• Chapter 4. Financial Disasters

5. John Hull, Risk Management andFinancial Institutions, 4th Edition (Hoboken: John Wiley & Sons, 2015)

• Chapter 6. The Credit Crisis of 2007

6. Rene Stulz, “Risk Management Failures: Whatare They and When Do They happen?” Fisher College of Business Working PaperSeries, October 2008.

7. Edwin J. Elton, Martin J. Gruber, Stephen J.Brown and William N. Goetzmann, Modern Portfolio Theoryand Investment Analysis, 9th Edition (Hoboken, NJ: John Wiley & Sons, 2014).

• Chapter 13. The Standard Capital AssetPricing Model

8. Noel Amenc and Veronique Le Sourd, Portfolio Theory andPerformance Analysis (West Sussex, En-gland: John Wiley & Sons, 2003).

• Chapter 4. Applying the CAPM to PerformanceMeasurement: Single-Index Performance Measurement Indicators (Section 4.2 only)

9. Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 10th Edition (New York: McGraw-Hill, 2013).

• Chapter 10. Arbitrage Pricing Theory andMultifactor Models of Risk and Return

10. Anthony Tarantino and Deborah Cernauskas, Risk Management inFinance: Six Sigma and Other Next Generation Techniques (Hoboken, NJ: John Wiley & Sons, 2009).

• Chapter 3. Information Risk and Data QualityManagement

11. “Principles for Effective Data Aggregationand Risk Reporting,” (Basel Committee on Banking Supervi-sion Publication,January 2013).

12. GARP Code of Conduct.*

Readings for Quantitative Analysis

13. Michael Miller, Mathematics and Statisticsfor Financial Risk Management, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2013).

• Chapter 2. Probabilities

• Chapter 3. Basic Statistics

• Chapter 4. Distributions

• Chapter 6. Bayesian Analysis (Pages 113-124only)

• Chapter 7. Hypothesis Testing and ConfidenceIntervals

14. John Hull, Risk Management andFinancial Institutions, 4th Edition (Hoboken: John Wiley & Sons, 2015).

• Chapter 11. Correlations and Copulas

15. James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston: Pearson, 2008).

• Chapter 4. Linear Regression with OneRegressor

• Chapter 5. Regression with a SingleRegressor

• Chapter 6. Linear Regression with MultipleRegressors

• Chapter 7. Hypothesis Tests and ConfidenceIntervals in Multiple Regression

16. Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006).

• Chapter 5. Modeling and Forecasting Trend(Section 5.4 only—Selecting Forecasting Models Using the Akaike and SchwarzCriteria)

• Chapter 7. Characterizing Cycles

• Chapter 8. Modeling Cycles: MA, AR, and ARMAModels

17. John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014).

• Chapter 23. Estimating Volatilities andCorrelations for Risk Management

18. Chris Brooks, Introductory Econometrics for Finance, 3rdEdition (Cambridge, UK: Cambridge Universi-tyPress, 2014).

• Chapter 13. Simulation Methods (Note: EViewsand other programming references are not required).

Readings for Financial Markets and Products

19. John Hull, Options, Futures, andOther Derivatives, 9th Edition (New York: Pearson,2014).

• Chapter 1. Introduction

• Chapter 2. Mechanics of Futures Markets

• Chapter 3. Hedging Strategies Using Futures

• Chapter 4. Interest Rates

• Chapter 5. Determination of Forward andFutures Prices

• Chapter 6. Interest Rate Futures

• Chapter 7. Swaps

• Chapter 10. Mechanics of Options Markets

• Chapter 11. Properties of Stock Options

• Chapter 12. Trading Strategies InvolvingOptions

• Chapter 26. Exotic Options

20. Robert McDonald, Derivatives Markets, 3rd Edition (Boston: Pearson, 2012).

• Chapter 6. Commodity Forwards and Futures

21. Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A RiskManagement Approach, 8th Edition (New York: McGraw-Hill, 2014).

• Chapter 13. Foreign Exchange Risk

22. Jon Gregory, Central Counterparties:Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives (West Sussex, UK: JohnWiley & Sons, 2014).

• Chapter 1. Introduction

• Chapter 2. Exchanges, OTC Derivatives, DPCsand SPVs

• Chapter 3. Basic Principles of CentralClearing

• Chapter 14 (section 14.4 only). Risks Causedby CCPs: Risks Faced by CCPs

23. Frank Fabozzi (editor), The Handbook ofFixed Income Securities, 8th Edition (New York:

McGraw-Hill, 2012).

• Chapter 12. Corporate Bonds, by FrankFabozzi, Steven Mann and Adam Cohen

24. Bruce Tuckman, AngelSerrat, Fixed Income Securities:Tools for Today's Markets, 3rd Edition (Hobo-ken: Wiley, 2011).

• Chapter 20. Mortgages and Mortgage-BackedSecurities

25. John B. Caouette, Edward I. Altman, PaulNarayanan, and Robert W.J. Nimmo, Managing Credit Risk: The Great Challenge for Global FinancialMarkets, 2nd Edition (New York: John Wiley & Sons, 2008).

• Chapter 6. The Rating Agencies

Readings for Valuation and Risk Models

26. Linda Allen, Jacob Boudoukh and AnthonySaunders, Understanding Market,Credit, and Operational Risk: The Value at Risk Approach (New York: Wiley-Blackwell, 2004).

• Chapter 2. Quantifying Volatility in VaRModels

• Chapter 3. Putting VaR to Work

27. Kevin Dowd, Measuring Market Risk,2nd Edition (West Sussex, England: John Wiley & Sons, 2005).

• Chapter 2. Measures of Financial Risk

28. John Hull, Options, Futures, andOther Derivatives, 9th Edition (New York: Pearson,2014).

• Chapter 13. Binomial Trees

• Chapter 15. The Black-Scholes-Merton Model

• Chapter 19. Greek Letters

29. Bruce Tuckman, Fixed Income Securities,3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011).

• Chapter 1. Prices, Discount Factors, andArbitrage

• Chapter 2. Spot, Forward and Par Rates

• Chapter 3. Returns, Spreads and Yields

• Chapter 4. One-Factor Risk Metrics andHedges

• Chapter 5. Multi-Factor Risk Metrics andHedges

30. Aswath Damodaran, “Country Risk:Determinants, Measures and Implications - The 2015 Edition”

(July 14, 2015). (Pages 1-45 only).

31. Arnaud de Servigny and Olivier Renault, Measuring and Managing CreditRisk (New York:

McGraw-Hill, 2004).

• Chapter 2. External and Internal Ratings

32. Gerhard Schroeck, Risk Management and ValueCreation in Financial Institutions (New York:

John Wiley & Sons, 2002).

• Chapter 5. Capital Structure in Banks (Pages170-186 only)

33. John Hull, Risk Management andFinancial Institutions, 4th Edition (Hoboken, NJ: John Wiley &

Sons, 2015).

• Chapter 23. Operational Risk

34. Philippe Jorion, Value-at-Risk: The NewBenchmark for Managing Financial Risk, 3rd Edition (New York: McGraw-Hill,2007).

• Chapter 14. Stress Testing

35. “Principles for Sound Stress TestingPractices and Supervision”（Basel Committee on Banking SupervisionPublication, May 2009).

截图：