Financial Risk Manager
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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:Market, credit, operational, liquidity, and integrated risk managementQuantitative methodsCapital marketsInvestment management and hedge fund riskRelevant regulatory and legal issues essential to risk professionals 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.
PrefaceIntroductionPt. IQuantitative Analysis1Ch. 1Bond Fundamentals3Ch. 2Fundamentals of Probability31Ch. 3Fundamentals of Statistics63Ch. 4Monte Carlo Methods83Pt. IICapital Markets103Ch. 5Introduction to Derivatives105Ch. 6Options123Ch. 7Fixed-Income Securities153Ch. 8Fixed-Income Derivatives187Ch. 9Equity Markets211Ch. 10Currencies and Commodities Markets225Pt. IIMarket Risk Management241Ch. 11Introduction to Market Risk Measurement243Ch. 12Identification of Risk Factors265Ch. 13Sources of Risk281Ch. 14Hedging Linear Risk311Ch. 15Nonlinear Risk: Options329Ch. 16Modeling Risk Factors355Ch. 17VAR Methods371Pt. IVCredit Risk Management391Ch. 18Introduction to Credit Risk393Ch. 19Measuring Actuarial Default Risk411Ch. 20Measuring Default Risk from Market Prices441Ch. 21Credit Exposure459Ch. 22Credit Derivatives491Ch. 23Managing Credit Risk509Pt. VOperational and Integrated Risk Management531Ch. 24Operational Risk533Ch. 25Risk Capital and RAROC555Ch. 26Best Practices Reports563Ch. 27Firmwide Risk Management573Pt. VILegal, Accounting, and Task Risk Management587Ch. 28Legal Issues589Ch. 29Accounting and Tax Issues605Pt. VIIRegulation and Compliance627Ch. 30Regulation of Financial Institutions629Ch. 31The Basel Accord641Ch. 32The Basel Market Risk Charges669Index695
