FRM 2009 Readings FROM Study Guide 介绍-经管之家官网！

LEVEL I

Readings for Foundations of Risk Management

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: Wiley, 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 M. 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 M. Stulz, “Risk Management Failures: What are They and When Do They Happen?” Fisher College of Business Working Paper Series (Oct. 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