Full Description
The essential reference for financial risk management Filled with in-depth insights 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 Sixth Edition, mirrors recent updates to the new two-level Financial Risk Manager (FRM) exam, and is fully supported by GARP as the trusted way to prepare for the rigorous and renowned FRM certification. This valuable new edition includes an exclusive collection of interactive multiple-choice questions from recent FRM exams.
Financial Risk Manager Handbook, Sixth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) annual FRM exam 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.
Offers valuable insights on managing market, credit, operational, and liquidity risk
Examines the importance of structured products, futures, options, and other derivative instruments
Contains new material on extreme value theory, techniques in operational risk management, and corporate risk management
Financial Risk Manager Handbook is the most comprehensive guide on this subject, and will help you stay current on best practices in this evolving field. The FRM Handbook is the official reference book for GARP's FRM certification program.
Contents
Preface ix
About the Author xi
About GARP xiii
Introduction xv
Part One Foundations of Risk Management 1
Chapter 1 Risk Management 3
Part Two Quantitative Analysis 25
Chapter 2 Fundamentals of Probability 27
Chapter 3 Fundamentals of Statistics 61
Chapter 4 Monte Carlo Methods 83
Chapter 5 Modeling Risk Factors 103
Part Three Financial Markets and Products 125
Chapter 6 Bond Fundamentals 127
Chapter 7 Introduction to Derivatives 157
Chapter 8 Option Markets 177
Chapter 9 Fixed-Income Securities 207
Chapter 10 Fixed-Income Derivatives 231
Chapter 11 Equity, Currency, and Commodity Markets 255
Part Four Valuation and Risk Models 281
Chapter 12 Introduction to Risk Models 283
Chapter 13 Managing Linear Risk 311
Chapter 14 Nonlinear (Option) Risk Models 331
Part Five Market Risk Management 355
Chapter 15 Advanced Risk Models: Univariate 357
Chapter 16 Advanced Risk Models: Multivariate 375
Chapter 17 Managing Volatility Risk 405
Chapter 18 Mortgage-Backed Securities Risk 427
Part Six Credit Risk Management 449
Chapter 19 Introduction to Credit Risk 451
Chapter 20 Measuring Actuarial Default Risk 471
Chapter 21 Measuring Default Risk from Market Prices 501
Chapter 22 Credit Exposure 523
Chapter 23 Credit Derivatives and Structured Products 555
Chapter 24 Managing Credit Risk 587
Part Seven Operational and Integrated Risk Management 611
Chapter 25 Operational Risk 613
Chapter 26 Liquidity Risk 639
Chapter 27 Firmwide Risk Management 657
Chapter 28 The Basel Accord 685
Part Eight Investment Risk Management 725
Chapter 29 Portfolio Risk Management 727
Chapter 30 Hedge Fund Risk Management 749
Index 779
