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Readings included in 2009 FRMŽ Full Exam Core Readings Course Pack
Market Risk Measurement and Management
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
Jorion, Value at Risk, 3rd Edition.
- Chapter 6 ? Backtesting VaR
- Chapter 11 ? VaR Mapping
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
Frank Fabozzi, Handbook of Mortgage Backed Securities 6th edition (New York: Mcgraw Hill, 2006).
- Chapter 1?An Overview of Mortgages and the Mortgage Market
- Chapter 31 ? Valuation of Mortgage-Backed Securities
Credit Risk Measurement and Management
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
Caouette, Altman, Narayanan and 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
de Servigny and Renault, Measuring and Managing Credit Risk.
- Chapter 3 ? Default Risk: Quantitative Methodologies
- Chapter 4 ? Loss Given Default
Allen, Boudoukh and Saunders, Understanding Market, Credit and Operational Risk
- Chapter 4 ? Extending the VaR Approach to Non-tradable Loans
Stulz, Risk Management & Derivatives.
- Chapter 18 ? Credit Risks and Credit Derivatives
Ong, Internal Credit Risk Models: Capital Allocation and Performance Measurement.
- Chapter 6 ? Portfolio Effects: Risk Contributions and Unexpected Losses
Operational and Integrated Risk Management
Michel Crouhy, Dan Galai and Robert Mark, Risk Management (New York: McGraw Hill, 2001).
- Chapter 14 ? Capital Allocation and Performance Measurement
Dowd, Measuring Market Risk, 2nd Edition.
- Chapter 14 ? Estimating Liquidity Risks
- Chapter 16 ? Model Risk
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.
de Servigny and Renault, Measuring and Managing Credit Risk.
Saunders and Cornett, Financial Institutions Management, 6th Edition.
- Chapter 17 ? Liquidity Risk
Risk Management and Investment Management
Grinold and Kahn, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd Edition.
- Chapter 14 ? Portfolio Construction
- Chapter 17 ? Performance Analysis
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
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
Jorion, Value at Risk, 3rd Edition.
- Chapter 7 ? Portfolio Risk: Analytical Methods
- Chapter 17 ? VaR and Risk Budgeting in Investment Management
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
Leslie Rahl (editor), 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
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