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Foundations of Risk Management
Level I Exam Weight: 20%, Full Exam Weight: 10%

1. Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition
(New York: McGraw-Hill, 2007).
• Chapter 1 . . . . . . . . . . . The Need for Risk Management


2. Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex, England:
JohnWiley & Sons, 2003).
• Chapter 4 . . . . . . . . . . . The Capital Asset Pricing Model and Its Application to Performance Measurement


3. Richard Grinold and Ronald Kahn, Active Portfolio Management: A Quantitative Approach for Producing
Superior Returns and Controlling Risk, 2nd Edition (New York: McGraw-Hill, 1999).
• Chapter 7 . . . . . . . . . . . Expected Returns and the Arbitrage Pricing Theory


4. René Stulz, Risk Management & Derivatives (Florence, KY: Thomson South-Western, 2002).
• Chapter 2 . . . . . . . . . . . Investors and Risk Management
• Chapter 3 . . . . . . . . . . . Creating Value with Risk Management


5. René Stulz, “Risk Management Failures:What are They andWhen Do They Happen?” Fisher College of
BusinessWorking Paper Series (October 2008).


6. Reto Gallati, Risk Management and Capital Adequacy (New York: McGraw-Hill, 2003).
• Chapter 6 . . . . . . . . . . . Case Studies


7. GARP Code of Conduct. http://www.garp.com/about/GARPCodeofConduct.aspx