Description

Financial Risk Manager Handbook + Test Bank FRM Part I Part II by Philippe Jorion, GARP (Global Association of Risk Professionals)

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
v
vi CONTENTS
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
Contents vii
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