[公告]2007 FRM Core Reading

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the Quantitative Analysis section:

• Allen, Boudoukh and Saunders. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Oxford: Blackwell Publishing, 2004.
  • Chapter 2 – Quantifying Volatility in VaR Models

From the Market Risk Measurement and Management section:

• Allen, Boudoukh and Saunders. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Oxford: Blackwell Publishing, 2004.
  • Chapter 1 – Introduction to Value at Risk (VaR)
  • Chapter 3 – Putting VaR to Work
• McDonald. Derivatives Markets, 2nd ed. Boston: Addison-Wesley, 2006.
  • Chapter 6 – Commodity Forwards and Futures
• Saunders. Financial Institutions Management, 5th ed. New York: McGraw-Hill, 2005.
  • Chapter 10 – Market Risk
  • Chapter 15 – Foreign Exchange Risk
• Stulz. Risk Management & Derivatives. Mason, Ohio: Thomson South-Western, 2003.
  • Chapter 4 – A Firm-Wide Approach to Risk Management
  • Chapter 8 – Identifying and Managing Cash Flow Exposures
  • Chapter 15 – The Demand and Supply for Derivative Products
• Tuckman. Fixed Income Securities, 2nd ed. New York: Wiley, 2002.
  • Chapter 1 – Bond Prices, Discount Factors, and Arbitrage
  • Chapter 2 – Bond Prices, Spot Rates, and Forward Rates
  • Chapter 3 – Yield to Maturity
  • Chapter 4 – Generalizations and Curve Fitting
  • Chapter 5 – One-Factor Measures of Price Sensitivity
  • Chapter 6 – Measures of Price Sensitivity Based on Parallel Yield Shifts
  • Chapter 7 – Key Rate and Bucket Exposures
  • Chapter 9 – The Science of Term Structure Models
  • Chapter 21 – Mortgage-Backed Securities

From the Credit Risk Measurement and Management section:

• De Servigny and Renault. Measuring and Managing Credit Risk. New York: Mc-Graw-Hill, 2004.
  • Chapter 2 – External and Internal Ratings
  • Chapter 3 – Default Risk: Quantitative Methodologies
  • Chapter 4 – Loss Given Default
  • Chapter 6 – Cre dit Risk Portfolio Models
  • Chapter 7 – Credit Risk Management and Strategic Capital Allocation
• Dev, editor. Economic Capital: A Practitioner Guide. London: Risk Books, 2004.
  • Chapter 7 – Economic Capital for Counterparty Credit Risk, by Evan Picoult and David Lamb.
• Meissner. Credit Derivatives, Application, Pricing and Risk Management. Malden, MA, Blackwell Publishing, 2005.
  • Chapter 2 – Credit Derivatives Products
  • Chapter 3 – Synthetic Structures
  • Chapter 4 – Application of Credit Derivativ es
  • Chapter 6 – Risk Management with Credit Derivatives
• Saunders. Financial Institutions Management, 5th ed. New York: McGraw-Hill, 2005.
  • Chapter 11 – Credit Risk: Individual Loan Risk
  • Chapter 12 – Credit Risk: L oan Portfolio and Concentration Risk
  • Chapter 16 – Sovereign Risk
  • Chapter 27 – Loan Sales and Other Credit Risk Management Techniques
• Stulz. Risk Management & Derivatives. Mason, Ohio: Thomson South-Western, 2003.
  • Chapter 18 – Credit Risks and Credit Derivatives

From the Operational and Integrated Risk Management section:

• Allen, Boudoukh and Saunders. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Oxford: Blackwell Publishing, 2004.
  • Chapter 5 – Extending the VaR Approach to Operational Risk
• Crouhy, Galai, and Mark. Risk Management. New York: McGraw-Hill, 2001.
  • Chapter 14 – Capital Allocation and Performance Measurement
• Culp. The Risk Management Process; Business Strategy and Tactics. Hoboken: John Wiley & Sons, Inc, 2001.
  • Chapter 17 – Identifying, Measuring, and Monitoring Liquidity Risk
• De Servigny and Renault. Measuring and Managing Credit Risk. New York: Mc-Graw-Hill, 2004.
  • Chapter 10 – Regulation
• Dowd. Measuring market risk. New York: John Wiley & Sons, Inc., 2005.
  • Chapter 16 - Model Risk
• Gallati. Risk Management and Capital Adequacy. New York: McGraw-Hill, 2003.
  • Chapter 6 – Case Studies
• Saunders. Financial Institutions Management, 5th ed. New York: McGraw-Hill, 2005.
  • Chapter 14 – Technology and Other Operational Risks
• Stulz. Risk Management & Derivatives. Mason, Ohio: Thomson South-Western, 2003.
  • Chapter 2 – Investors and Risk Management
  • Chapter 3 – Creating Value with Risk Management

From the Risk Management and Investment Management section:

• Noel Amenc and Veronique Le Sourd. Portfolio Theory and Performance Analysis. West Sus***: Wiley, 2003.
  • Chapter 4 – The Capital Asset Pricing Model and Its Application to Performance Measurement
  • Chapter 6 – Multi-Factor Models and Their Application to Performance Measurement
  • Chapter 8 – Fixed Income Security Investment
• Lars Jaeger, editor. The New Generation of Risk Management for Hedge Funds and Private Equity Investments. London: Euromoney Books, 2003.
  • Chapter 6 – Funds of Hedge Funds,by Sohail Jaffer
  • Chapter 27 – Style Drifts: Monitoring, Detection and Control, by Pi erre-Yves Moix
• Lars Jaeger. Through the Alpha Smoke Screens, A Guide to Hedge Fund Return Sources. New York: Euromoney Institutional Investor, 2005.
  • Chapter 5 – Individual Hedge Fund Strategies
  • Chapter 9 – Benchmarking Hedge Fund Performance

[此贴子已经被作者于2007-3-12 3:29:15编辑过]

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关键词：core reading reading core READ DING FRM core reading

WHEN and WHERE can we buy the FRM Handbook 4th ?

[此贴子已经被作者于2007-3-12 3:31:15编辑过]

今年准备考FRM，一看core reading吓了一跳，怎么那么多啊，很多书只有几章是有用的。请问前辈，这些书不是都要准备的吧，我该买哪几本呢？剩下的怎么办呢？谢谢：）

不是提供电子版？？