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    Readings included in 2009 FRMŽ Level I Core Readings Course Pack

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    Foundations of Risk Management

    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

    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

    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

    René Stulz, Risk Management & Derivatives (Florence, KY: Thomson South-Western, 2002).
    • Chapter 2 ? Investors and Risk Management
    • Chapter 3 ? Creating Value with Risk Management

    Reto Gallati, Risk Management and Capital Adequacy (New York: McGraw Hill, 2003).
    • Chapter 6 ? Case Studies


    Quantitative Analysis

    Damodar 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

    Jorion, Value at Risk, 3rd Edition
    • Chapter 12- Monte Carlo Methods

    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


    Financial Markets and Products

    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

    Robert McDonald, Derivatives Markets (Boston: Addison Wesley, 2003).
    • Chapter 6 ? Commodity Forwards and Futures

    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

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

    Frank Fabozzi, The Handbook of Fixed Income Securities, 7th edition (New York: Mcgraw Hill, 2005)
    • Chapter 13?Corporate Bonds


    Valuation and Risk Models

    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

    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

    Jorion, Value at Risk, 3rd Edition.
    • Chapter 14 ? Stress Testing

    Caouette, Altman, Narayanan, and Nimmo, Managing Credit Risk, 2nd Edition
    • Chapter 6 ? The Rating Agencies
    • Chapter 23 ? Country Risk Models

    Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw Hill, 2004).
    • Chapter 2 ? External and Internal Ratings

    Saunders and Cornett, Financial Institutions Management, 6th Edition.
    • Chapter 15 (excluding Appendix 15A) ? Sovereign Risk

    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

    		 

    		 
       
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