From the Risk Management and Investment Management section:
Amenc, Noel and Veronique Le Sourd. Portfolio Theory and Performance Analysis. West Sussex: Wiley, 2003.
Chapter 4 – The Capital Asset Pricing Model and Its Application to Performance Measurement
Jorion. Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed.
Chapter 7 – Portfolio Risk: Analytical Methods
Chapter 17 – VaR and Risk Budgeting in Investment Management
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
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 17 – Performance Analysis
Does NOT include the following Core Readings from the FRM 2008 Study Guide:
Not Included from the Market Risk Measurement and Management section:
Hull . Options, Futures, and Other Derivatives, 6th ed. New York: Prentice Hall, 2006.
Chapter 3 – Hedging Strategies using Futures
Chapter 5 – Determination of Forward and Futures Prices
Chapter 6 – Interest Rate Markets
Chapter 7 – Swaps
Chapter 9 – Properties of Stock Options
Chapter 10 – Trading Strategies Involving Options
Chapter 11 – Binomial Trees
Chapter 13 – The Black-Scholes-Merton Model
Chapter 15 – The Greek Letters
Chapter 16 – Volatility Smiles
Chapter 22 – Exotic Options
Not Included from the Credit Risk Measurement and Management section:
Hull. Risk Management and Financial Institutions. New York: Prentice Hall, 2006.