7/14更新, 25.已找到
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依據列出的章節把檔案做過裁切，只會包含以下列出的章節，不會有其他的章節！
18. 19. 與 23. 24. 找不到檔案可供分享
還請各位大德幫忙尋找

Valuation and Risk Models
Level I ExamWeight: 30%, Full ExamWeight: 15%

18. Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and Operational Risk:
The Value at Risk Approach (Oxford: Blackwell Publishing, 2004).
• Chapter 2 . . . . . . . . . . . Quantifying Volatility in VaR Models
• Chapter 3 . . . . . . . . . . . Putting VaR toWork
• Chapter 5 . . . . . . . . . . . Extending the VaR Approach to Operational Risks


19. Hull, Options, Futures, and Other Derivatives, 7th Edition.
• Chapter 11 . . . . . . . . . . Binomial Trees
• Chapter 13 . . . . . . . . . . The Black-Scholes-Merton Model
• Chapter 17 . . . . . . . . . . The Greek Letters

20. Bruce Tuckman, Fixed Income Securities, 2nd Edition (Hoboken, NJ: JohnWiley & Sons, 2002).
• Chapter 1 . . . . . . . . . . . Bond Prices, Discount Factors, and Arbitrage
• Chapter 2 . . . . . . . . . . . Bond Prices, Spot Rates, and Forward Rates
• Chapter 3 . . . . . . . . . . . Yield to Maturity
• Chapter 5 . . . . . . . . . . . One-Factor Measures of Price Sensitivity


21. Jorion, Value-at-Risk, 3rd Edition.
• Chapter 14 . . . . . . . . . . Stress Testing


22. Caouette, Altman, Narayanan and Nimmo, Managing Credit Risk, 2nd Edition.
• Chapter 6 . . . . . . . . . . . The Rating Agencies
• Chapter 23 . . . . . . . . . . Country Risk Models


23. Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk (New York: McGraw-Hill, 2004).
• Chapter 2 . . . . . . . . . . . External and Internal Ratings

24. Saunders and Cornett, Financial Institutions Management, 6th Edition.
• Chapter 15 . . . . . . . . . . Sovereign Risk (excluding Appendix 15A)

25. Michael Ong, Internal Credit Risk Models: Capital Allocation and Performance Measurement
(London: Risk Books, 2003).
• Chapter 4 . . . . . . . . . . . Loan Portfolios and Expected Loss
• Chapter 5 . . . . . . . . . . . Unexpected Loss


26. “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision
Publication, January 2009). http://www.bis.org/publ/bcbs147.pdf.