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.
關於作者：
PHILIPPE JORION is Professor of Finance at the School of
Business at the University of California at Irvine. He was also a
professor 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 a hundred
publications—directed towards academics and practitioners—on the
topic of risk management and international finance. His work has
received several prizes for research. Dr. Jorion has written the
first five 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 in the Risk Management Group
at Pacific Alternative Asset Management Company PAAMCO, a global
fund of hedge funds.
目錄：
Preface.
About the Author.
About GARP.
Introduction.
PART ONE Foundations of Risk Management.
CHAPTER 1 Risk Management.
PART TWO Quantitative Analysis.
CHAPTER 2 Fundamentals of Probability.
CHAPTER 3 Fundamentals of Statistics.
CHAPTER 4 Monte Carlo Methods.
CHAPTER 5 Modeling Risk Factors.
PART THREE Financial Markets and Products.
CHAPTER 6 Bond Fundamentals.
CHAPTER 7 Introduction to Derivatives.
CHAPTER 8 Option Markets.
CHAPTER 9 Fixed-Income Securities.
CHAPTER 10 Fixed-Income Derivatives.
CHAPTER 11 Equity, Currency, and Commodity Markets.
PART FOUR Valuation and Risk Models.
CHAPTER 12 Introduction to Risk Models.
CHAPTER 13 Managing Linear Risk.
CHAPTER 14 Nonlinear Option Risk Models.
PART FIVE Market Risk Management.
CHAPTER 15 Advanced Risk Models: Univariate.
CHAPTER 16 Advanced Risk Models: Multivariate.
CHAPTER 17 Managing Volatility Risk.
CHAPTER 18 Mortgage-Backed Securities Risk.
PART SIX Credit Risk Management.
CHAPTER 19 Introduction to Credit Risk.
CHAPTER 20 Measuring Actuarial Default Risk.
CHAPTER 21 Measuring Default Risk from Market Prices.
CHAPTER 22 Credit Exposure.
CHAPTER 23 Credit Derivatives and Structured Products.
CHAPTER 24 Managing Credit Risk.
PART SEVEN Operational and Integrated Risk Management.
CHAPTER 25 Operational Risk.
CHAPTER 26 Liquidity Risk.
CHAPTER 27 Firmwide Risk Management.
CHAPTER 28 The Basel Accord.
PART EIGHT Investment Risk Management.
CHAPTER 29 Portfolio Risk Management.
CHAPTER 30 Hedge Fund Risk Management.
Index.
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