FRM 2009 Readings FROM Study Guide 介绍

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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

[此贴子已经被作者于2009-4-4 21:12:24编辑过]

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傻子玩意儿啊？

Readings for Quantitative Analysis

8. Damodar N Gujarati, Essentials of Econometrics, 3rd Edition (New York: McGraw‐Hill, 2006).

• Chapter 1 – The Nature and Scope of Econometrics

• Chapter 2 – Review of Statistics: Probability and Probability Distributions

• Chapter 3 – Characteristics of Probability Distributions

• Chapter 4 – Some Important Probability Distributions

• Chapter 5 – Statistical Inference: Estimation and Hypothesis Testing

• Chapter 6 – Basic Ideas of Linear Regression: The Two‐Variable Model

• Chapter 7 – The Two‐Variable Model: Hypothesis Testing

• Chapter 8 – Multiple Regression: Estimation and Hypothesis Testing

9. Philippe Jorion, Value‐at‐Risk, 3rd Edition

• Chapter 12‐ Monte Carlo Methods

10. John Hull, Options, Futures, and Other Derivatives, 7th Edition (New York: Prentice Hall, 2009).

• Chapter 21 – Estimating Volatilities and Correlations

11. Svetlozar Rachev, Christian Menn, and Frank Fabozzi, Fat‐Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection and Option Pricing (Hoboken, NJ: Wiley, 2005).

• Chapter 2 – Discrete Probability Distributions

• Chapter 3 – Continuous Probability Distributions

Readings for Financial Markets and Products

12. John Caouette, Edward Altman, Paul Narayanan and Robert Nimmo, Managing Credit Risk: The Great Challenge for the Global Financial Markets, 2nd Edition (Hoboken, NJ: Wiley 2008).

• Chapter 5 – Structural Hubs: Clearinghouses, Derivative Product Companies, and Exchanges

13. John Hull, Options, Futures, and Other Derivatives, 7th Edition.

• Chapter 1 – Introduction

• Chapter 2 – Mechanics of Futures Markets

• Chapter 3 – Hedging Strategies Using Futures

• Chapter 4‐Interest Rates

• Chapter 5 – Determination of Forward and Futures Prices

• Chapter 6 – Interest Rate Futures

• Chapter 7 – Swaps

• Chapter 9 – Properties of Stock Options

• Chapter 10 – Trading Strategies Involving Options

14. Robert L. McDonald, Derivatives Markets (Boston: Addison‐Wesley, 2003).

• Chapter 6 – Commodity Forwards and Futures

15. Helyette Geman, Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (West Sussex, England: Wiley, 2005)

• Chapter 1 – Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges and Strategies

16. Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk Management Approach, 6th Edition (New York: McGraw‐Hill, 2008).

• Chapter 14 – Foreign Exchange Risk

17. Frank Fabozzi, The Handbook of Fixed Income Securities, 7th edition (New York: Mcgraw Hill, 2005)

• Chapter 13—Corporate Bonds

18. Saunders, Financial Institutions Management, 6th Edition.

• Appendix 15A – Mechanisms for Dealing with Sovereign Risk Exposure

Readings for Valuation and Risk Models

19. 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 to Work

• Chapter 5 – Extending the VaR Approach to Operational Risks

20. John Hull, Options, Futures, and Other Derivatives, 7th Edition

• Chapter 11—Binomial Trees

• Chapter 13 – The Black‐Scholes‐Merton Model

• Chapter 17 – The Greek Letters

21. Bruce Tuckman, Fixed Income Securities, 2nd Edition (Hoboken, NJ: Wiley & 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

22. Philippe Jorion, Value‐at‐Risk, 3rd Edition.

• Chapter 14 – Stress Testing

23. J. Caouette, E. Altman, P. Narayanan, R. Nimmo, Managing Credit Risk, 2nd Edition

• Chapter 6 – The Rating Agencies

• Chapter 23 – Country Risk Models

24. Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw‐Hill, 2004).

• Chapter 2 – External and Internal Ratings

25. Saunders, Financial Institutions Management, 6th Edition.

• Chapter 15 (excluding Appendix 15A) – Sovereign Risk

26. 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

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

LEVEL II

Readings for Market Risk Measurement and Management

28. John Hull, Options, Futures, and Other Derivatives, 7th Edition.

• Chapter 18 – Volatility Smiles

• Chapter 24 – Exotic Options

29. Bruce Tuckman, Fixed Income Securities, 2nd Edition.

• 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

30. Philippe Jorion, Value‐at‐Risk, 3rd Edition.

• Chapter 6 – Backtesting VaR

• Chapter 11 – VaR Mapping

31. Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: Wiley, 2005).

• Chapter 2—Measures of Financial Risk

• Chapter 5 Appendix—Modeling Dependence: Correlations and Copulas

• Chapter 7 – Parametric Approaches (II): Extreme Value

32. Frank Fabozzi, Handbook of Mortgage Backed Securities 6th edition (New York: Mcgraw Hill, 2006).

• Chapter 1—An Overview of Mortgages and the Mortgage M

 

 

Readings for Credit Risk Measurement and Management

33. Adam Ashcroft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit,” Federal Reserve Bank of New York Staff Reports, no. 318 (March 2008). Copy of article is available at www.GARPDigitalLibrary.org.

34. Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003). Copy of article is available at www.GARPDigitalLibrary.org.

35. Christopher Culp, Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken, NJ: Wiley & Sons, 2006).

• Chapter 12 – Credit Derivatives and Credit‐Linked Notes

• Chapter 13 – The Structuring Process

• Chapter 16 – Securitization

• Chapter 17 – Cash Collateralized Debt Obligations

• Chapter 18 – Synthetic Collateralized Debt Obligations

36. J. Caouette, E. Altman, P. Narayanan, R. Nimmo, Managing Credit Risk, 2nd Edition.

• Chapter 18 – Introduction to Portfolio Approaches

• Chapter 19 – Economic Capital and Capital Allocation

• Chapter 20 – Application of Portfolio Approaches

37. de Servigny and Renault, Measuring and Managing Credit Risk.

• Chapter 3 – Default Risk: Quantitative Methodologies

• Chapter 4 – Loss Given Default

38. Hull, Options, Futures, and Other Derivatives, 7th Edition.

• Chapter 22—Credit Risk

• Chapter 23—Credit Derivatives

39. L. Allen, J. Boudoukh and A. Saunders, Understanding Market, Credit and Operational Risk

• Chapter 4 – Extending the VaR Approach to Non‐tradable Loans

40. Stulz, Risk Management & Derivatives.

• Chapter 18 – Credit Risks and Credit Derivatives

41. Michael Ong, Internal Credit Risk Models: Capital Allocation and Performance Measurement.

• Chapter 6 – Portfolio Effects: Risk Contributions and Unexpected Losses

42. “Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project” (Basel Committee on Banking Supervision Publication, November 2006). Copy of the article is available at www.GARPDigitalLibrary.org.

 

 

Readings for Operational and Integrated Risk Management

43. Michel Crouhy, Dan Galai and Robert Mark, Risk Management (New York: McGraw‐Hill, 2001).

• Chapter 14 – Capital Allocation and Performance Measurement

44. Kevin Dowd, Measuring Market Risk, 2nd Edition.

• Chapter 14 – Estimating Liquidity Risks

• Chapter 16 – Model Risk

45. Ellen Davis (editor), Operational Risk: Practical Approaches to Implementation (London: Risk Books, 2005).

• Chapter 12 – Aligning Basel II Operational Risk and Sarbanes‐Oxley 404 Projects, by Nick Bolton and Judson Berkey.

46. de Servigny and Renault, Measuring and Managing Credit Risk.

• Chapter 10 – Regulation

47. Andrew Kuritzkes, Til Schuermann and Scott M. Weiner. “Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates,” in Brookings‐Wharton Papers on Financial Services Robert E. Litan and Richard Herring (eds) (Brookings Institutional Press, Washington, DC: 2003). Copy of article is available at www.GARPDigitalLibrary.org.

48. Brian W. Nocco and René M. Stulz, “Enterprise Risk Management: Theory and Practice,” Journal of Applied Corporate Finance 18, No. 4 (2006): 8 – 20. Copy of the article is available at www.GARPDigitalLibrary.org.

49. Falko Aue and Michael Kalkbrener, 2007, “LDA at Work”, Deutsche Bank White Paper. Copy of the article is available at www.GARPDigitalLibrary.org.

50. Til Schuermann and Andrew Kuritzkes, “What We Know, Don’t Know and Can’t Know About Bank Risk: A View from the Trenches”. http://www.newyorkfed.org/research/economists/schuermann/Kuritzkes_Schuermann_KUU_23Mar2008.pdf

51. Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management, 6th Edition.

• Chapter 17 – Liquidity Risk

 

 

Readings for Basel Reference

Candidates are expected to understand the objective and general structure of the Basel II Accord and general application of the various approaches for calculating minimum capital requirements. Candidates are not expected to memorize specific details like risk weights for different assets.

52. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version” (Basel Committee on Banking Supervision Publication, June 2006). Copy of the article is available at www.GARPDigitalLibrary.org.

53. “An Explanatory Note on the Basel II IRB Risk Weight Functions” (Basel Committee on Banking Supervision Publication, July 2005). Copy of the article is available at www.GARPDigitalLibrary.org.

54. “Principles for Sound Liquidity Risk Management and Supervision” (Basel Committee on Banking Supervision Publication, September 2008) http://www.bis.org/publ/bcbs144.htm.

55. “Guidelines for Computing Capital for Incremental Risk in the Trading Book – Consultative Document” (Basel Committee on Banking Supervision Publication, January 2009) http://www.bis.org/publ/bcbs149.pdf.

56. “Revisions to the Basel II market risk framework– Consultative Document” (Basel Committee on Banking Supervision Publication, January 2009) http://www.bis.org/publ/bcbs148.pdf.

 

 

Readings for Risk Management and Investment Management

57. R. Grinold and R. Kahn, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd Edition.

• Chapter 14 – Portfolio Construction

• Chapter 17 – Performance Analysis

58. Lars Jaeger (ed), The New Generation of Risk Management for Hedge Funds and Private Equity Investments (London: Euromoney Institutional Investor, 2003).

• Chapter 6 – Funds of Hedge Funds, by Sohail Jaffer

• Chapter 27 – Style Drifts: Monitoring, Detection and Control, by Pierre‐Yves Moix

59. Lars Jaeger, Through the Alpha Smoke Screens: A Guide to Hedge Fund Returns (New York: Institutional Investor Books, 2005).

• Chapter 5 – Individual Hedge Fund Strategies

60. Jorion, Value at Risk, 3rd Edition.

• Chapter 7 – Portfolio Risk: Analytical Methods

• Chapter 17 – VaR and Risk Budgeting in Investment Management

61. René M. Stulz, “Hedge Funds: Past, Present and Future,” Copy of article available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=939629.

62. Robert Litterman and the Quantitative Resources Group, Modern Investment Management: An Equilibrium Approach (Hoboken, NJ: John Wiley & Sons: 2003).

• Chapter 17—Risk Monitoring and Performance Measurement

63. Leslie Rahl (ed), Risk Budgeting: A New Approach to Investing (London: Risk Books, 2004).

• Chapter 6 – Risk Budgeting for Pension Funds and Investment Managers Using VaR, by Michelle McCarthy

 

 

Readings for Current Issues in Financial Markets

Gary Gorton, “Information, Liquidity, and the (Ongoing) Panic of 2007,” (January 2009). Available at SSRN: http://ssrn.com/abstract=1324195

2. Raghuram Rajan, “Has Financial Development Made The World Riskier?” (September 2005). Available at http://faculty.chicagobooth.edu/raghuram.rajan/research/finrisk.pdf.

3. FSA, “FSA moves to enhance supervision in wake of Northern Rock: Executive Summary.” Available at http://www.fsa.gov.uk/pubs/other/exec_summary.pdf.

4. Senior Supervisory Group, “Observations on Risk Management Practices during the Recent Market Turbulence,” (March 2008). Available at: www.newyorkfed.org/newsevents/news/banking/2008/ssg_risk_mgt_doc_final.pdf.

5. John Martin, “A Primer on the Role of Securitization in the Credit Market Crisis of 2007,” (January 2009). Available at SSRN: http://ssrn.com/abstract=1324349.

6. UBS, “Shareholder Report on UBS’s Write‐Downs,” (April 2008). Available at: www.ubs.com/1/ShowMedia/investors/shareholderreport?contentId=140333&name=080418ShareholderReport.pdf.

7. Andrew G. Haldane, “Why Banks Failed the Stress Test,” (February 2009). Available at: www.bankofengland.co.uk/publications/speeches/2009/speech374.pdf.

8. Andrew Lo, “Hedge Funds, Systemic Risk, and the Financial Crisis of 2007‐2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds,” (November 2008). Avail

以下是引用蕲庙的鬼在2009-4-4 21:05:00的发言：
傻子玩意儿啊？

也就是今年的CORE READING了

发上来我想可能大家找书会好找一点

顶一下，让更多的人看到

要看的实在太多啦~

有下載的更好啊///