Authors: Philippe Jorion, GARP (Global Association of Risk Professionals)
ISBN-13: 9780470479612, ISBN-10: 0470479612
Format: Paperback
Publisher: Wiley, John & Sons, Incorporated
Date Published: May 2009
Edition: (Non-applicable)
Philippe Jorion is Professor of Finance at the Paul Merage School of Business at the University of California at Irvine. He has also taught at Columbia, Northwestern, the University of Chicago, and the University of British Columbia. He holds an MBA and a PhD from the University of Chicago and a degree in engineering from the University of Brussels. Dr. Jorion has authored more than ninety publications—directed towards academics and practitioners-on the topic of risk management and international finance. He is on the editorial board of a number of financial journals and was editor of the Journal of Risk. His work has received several prizes for research. Dr. Jorion has written the first four editions of Financial Risk Manager Handbook (Wiley), as well as Financial Risk Management: Domestic and International Dimensions; Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County; and Value at Risk: The New Benchmark for Managing Financial Risk. He is also a managing director at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds.
The essential reference for financial risk management
Risk professionals looking to earn the Financial Risk Manager (FRM®) certification, as well as corporate training programs, professors, and graduate students all rely on the Financial Risk Manager Handbook for the most comprehensive and up-to-date information on financial risk management.
Filled with in-depth insight and practical advice, the Financial Risk Manager Handbook is the core text for risk management training programs worldwide. Presented in a clear and consistent fashion, this completely updated Fifth Edition—which comes with an interactive CD-ROM containing hundreds of multiple—choice questions from previous FRM exams-is one of the best ways to prepare for the Financial Risk Manager (FRM) exam.
Financial Risk Manager Handbook, Fifth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) FRM exam, the global benchmark examination for financial risk management professionals, and prepares you to assess and control risk in today's rapidly changing financial world. Authored by renowned risk management expert Philippe Jorion-with the full support of GARP—this definitive guide summarizes the core body of knowledge for financial risk managers, covering such topics as:
The FRM is recognized as the world's most prestigious global certification program—created to measure a financial risk manager's capabilities. Since the FRM exam is an essential requirement for risk managers around the world, the Financial Risk Manager Handbook, Fifth Edition focuses on practical financial risk management techniques and solutions that are emphasized on the test—and are also essential in the real world. Questions from previous exams are explained through tutorials so that you may prepare yourself or your employees for this comprehensive exam and for the risk management challenges you will undoubtedly face at some point in your career.
Preface | ||
Introduction | ||
Pt. I | Quantitative Analysis | 1 |
Ch. 1 | Bond Fundamentals | 3 |
Ch. 2 | Fundamentals of Probability | 31 |
Ch. 3 | Fundamentals of Statistics | 63 |
Ch. 4 | Monte Carlo Methods | 83 |
Pt. II | Capital Markets | 103 |
Ch. 5 | Introduction to Derivatives | 105 |
Ch. 6 | Options | 123 |
Ch. 7 | Fixed-Income Securities | 153 |
Ch. 8 | Fixed-Income Derivatives | 187 |
Ch. 9 | Equity Markets | 211 |
Ch. 10 | Currencies and Commodities Markets | 225 |
Pt. II | Market Risk Management | 241 |
Ch. 11 | Introduction to Market Risk Measurement | 243 |
Ch. 12 | Identification of Risk Factors | 265 |
Ch. 13 | Sources of Risk | 281 |
Ch. 14 | Hedging Linear Risk | 311 |
Ch. 15 | Nonlinear Risk: Options | 329 |
Ch. 16 | Modeling Risk Factors | 355 |
Ch. 17 | VAR Methods | 371 |
Pt. IV | Credit Risk Management | 391 |
Ch. 18 | Introduction to Credit Risk | 393 |
Ch. 19 | Measuring Actuarial Default Risk | 411 |
Ch. 20 | Measuring Default Risk from Market Prices | 441 |
Ch. 21 | Credit Exposure | 459 |
Ch. 22 | Credit Derivatives | 491 |
Ch. 23 | Managing Credit Risk | 509 |
Pt. V | Operational and Integrated Risk Management | 531 |
Ch. 24 | Operational Risk | 533 |
Ch. 25 | Risk Capital and RAROC | 555 |
Ch. 26 | Best Practices Reports | 563 |
Ch. 27 | Firmwide Risk Management | 573 |
Pt. VI | Legal, Accounting, and Task Risk Management | 587 |
Ch. 28 | Legal Issues | 589 |
Ch. 29 | Accounting and Tax Issues | 605 |
Pt. VII | Regulation and Compliance | 627 |
Ch. 30 | Regulation of Financial Institutions | 629 |
Ch. 31 | The Basel Accord | 641 |
Ch. 32 | The Basel Market Risk Charges | 669 |
Index | 695 |