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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
20. Fixed Income Securities 2nd edition chapter 1 2 3 5.pdf
(2.46 MB, 需要: 1 个论坛币)
21. Jorion, Value-at-Risk, 3rd Edition.
• Chapter 14 . . . . . . . . . . Stress Testing
21. Value at Risk 3rd edition chapter 14.pdf
(802.72 KB, 需要: 1 个论坛币)
22. Caouette, Altman, Narayanan and Nimmo, Managing Credit Risk, 2nd Edition.
• Chapter 6 . . . . . . . . . . . The Rating Agencies
• Chapter 23 . . . . . . . . . . Country Risk Models
22. Managing Credit Risk 2nd edition Chapter 6 23.pdf
(1.67 MB, 需要: 1 个论坛币)
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
25. Internal Credit Risk Models Chapter 4 5.pdf
(753.79 KB, 需要: 1 个论坛币)
26. “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision
Publication, January 2009). http://www.bis.org/publ/bcbs147.pdf.
26. Principles for Sound Stress Testing Practice and Supervision.pdf
(90.55 KB)
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