Financial Risk Manager Handbook + Test Bank: FRM Part I / Part II

819 Pages·2010·3.551 MB·English

by  Philippe Jorion, GARP (Global Association of Risk Professionals)

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Financial Risk
Manager Handbook
Plus Test Bank
Sixth Edition
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Financial Risk
Manager Handbook
Plus Test Bank
(cid:1)
FRM R Part I/Part II
Sixth Edition
PHILIPPE JORION
GARP
John Wiley & Sons, Inc.
iii
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Copyright(cid:1)C 2011byPhilippeJorion,exceptforFRMsamplequestions,whicharecopyright1997–2011by
GARP.TheFRMdesignationisaGARPtrademark.Allrightsreserved.
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PublishedsimultaneouslyinCanada.
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LibraryofCongressCataloging-in-PublicationData:
Jorion,Philippe.
Financialriskmanagerhandbookplustestbank:FRMPartI/PartII,6thEdition/PhilippeJorion.–6thed.
p.cm.
Includesindex.
ISBN978-0-470-90401-5(paper/online)
1.Financialriskmanagement. 2.Riskmanagement. 3.Corporations–Finance. I.Title.
HD61.J672009
658.15(cid:2)5–dc22
2010047263
PrintedintheUnitedStatesofAmerica
10 9 8 7 6 5 4 3 2 1
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Contents
Preface ix
AbouttheAuthor xi
AboutGARP xiii
Introduction xv
PARTONE
FoundationsofRiskManagement 1
CHAPTER1
RiskManagement 3
PARTTWO
QuantitativeAnalysis 25
CHAPTER2
FundamentalsofProbability 27
CHAPTER3
FundamentalsofStatistics 61
CHAPTER4
MonteCarloMethods 83
CHAPTER5
ModelingRiskFactors 103
PARTTHREE
FinancialMarketsandProducts 125
CHAPTER6
BondFundamentals 127
CHAPTER7
IntroductiontoDerivatives 157
CHAPTER8
OptionMarkets 177
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vi CONTENTS
CHAPTER9
Fixed-IncomeSecurities 207
CHAPTER10
Fixed-IncomeDerivatives 231
CHAPTER11
Equity,Currency,andCommodityMarkets 255
PARTFOUR
ValuationandRiskModels 281
CHAPTER12
IntroductiontoRiskModels 283
CHAPTER13
ManagingLinearRisk 311
CHAPTER14
Nonlinear(Option)RiskModels 331
PARTFIVE
MarketRiskManagement 355
CHAPTER15
AdvancedRiskModels:Univariate 357
CHAPTER16
AdvancedRiskModels:Multivariate 375
CHAPTER17
ManagingVolatilityRisk 405
CHAPTER18
Mortgage-BackedSecuritiesRisk 427
PARTSIX
CreditRiskManagement 449
CHAPTER19
IntroductiontoCreditRisk 451
CHAPTER20
MeasuringActuarialDefaultRisk 471
CHAPTER21
MeasuringDefaultRiskfromMarketPrices 501
CHAPTER22
CreditExposure 523
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Contents vii
CHAPTER23
CreditDerivativesandStructuredProducts 555
CHAPTER24
ManagingCreditRisk 587
PARTSEVEN
OperationalandIntegratedRiskManagement 611
CHAPTER25
OperationalRisk 613
CHAPTER26
LiquidityRisk 639
CHAPTER27
FirmwideRiskManagement 657
CHAPTER28
TheBaselAccord 685
PARTEIGHT
InvestmentRiskManagement 725
CHAPTER29
PortfolioRiskManagement 727
CHAPTER30
HedgeFundRiskManagement 749
Index 779
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