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Risk professionals looking to earn the Financial Risk Manager (FRM) certification, 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. Completely updated to address recent developments in financial markets-and reorganized to reflect the new two-part format of the Financial Risk Manager (FRM) exam-this Sixth Edition is essential to your understanding of one of the most important disciplines in finance.
Financial Risk Manager Handbook, Sixth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) annual FRM exams and prepares you to assess and control risk in today's rapidly changing financial world. Supplemented by an interactive Test Bank-which contains hundreds of multiple-choice questions from previous FRM exams-this Handbook is a requirement for any risk professional's library.
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, and integrated risk management
Quantitative methods
Advanced univariate and multivariate models, as well as advanced option models
Investment management and hedge fund risk
Regulatory 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, Sixth 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.
Risk professionals looking to earn the Financial Risk Manager (FRM) certification, 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. Completely updated to address recent developments in financial markets-and reorganized to reflect the new two-part format of the Financial Risk Manager (FRM) exam-this Sixth Edition is essential to your understanding of one of the most important disciplines in finance.
Financial Risk Manager Handbook, Sixth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) annual FRM exams and prepares you to assess and control risk in today's rapidly changing financial world. Supplemented by an interactive Test Bank-which contains hundreds of multiple-choice questions from previous FRM exams-this Handbook is a requirement for any risk professional's library.
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, and integrated risk management
Quantitative methods
Advanced univariate and multivariate models, as well as advanced option models
Investment management and hedge fund risk
Regulatory 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, Sixth 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 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
Erscheinungsjahr: | 2010 |
---|---|
Fachbereich: | Betriebswirtschaft |
Genre: | Importe, Wirtschaft |
Rubrik: | Recht & Wirtschaft |
Medium: | Taschenbuch |
Inhalt: | 816 S. |
ISBN-13: | 9780470904015 |
ISBN-10: | 0470904011 |
Sprache: | Englisch |
Herstellernummer: | 14590401000 |
Einband: | Kartoniert / Broschiert |
Autor: |
Jorion, Philippe
Garp (Global Association Of Risk Professionals) |
Auflage: | 6th Revised edition |
Hersteller: |
Wiley
John Wiley & Sons |
Verantwortliche Person für die EU: | Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, amartine@wiley-vch.de |
Maße: | 276 x 217 x 45 mm |
Von/Mit: | Philippe Jorion (u. a.) |
Erscheinungsdatum: | 28.12.2010 |
Gewicht: | 1,832 kg |
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
Erscheinungsjahr: | 2010 |
---|---|
Fachbereich: | Betriebswirtschaft |
Genre: | Importe, Wirtschaft |
Rubrik: | Recht & Wirtschaft |
Medium: | Taschenbuch |
Inhalt: | 816 S. |
ISBN-13: | 9780470904015 |
ISBN-10: | 0470904011 |
Sprache: | Englisch |
Herstellernummer: | 14590401000 |
Einband: | Kartoniert / Broschiert |
Autor: |
Jorion, Philippe
Garp (Global Association Of Risk Professionals) |
Auflage: | 6th Revised edition |
Hersteller: |
Wiley
John Wiley & Sons |
Verantwortliche Person für die EU: | Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, amartine@wiley-vch.de |
Maße: | 276 x 217 x 45 mm |
Von/Mit: | Philippe Jorion (u. a.) |
Erscheinungsdatum: | 28.12.2010 |
Gewicht: | 1,832 kg |