FRM 2009 Readings LIST

GARP 2009 index
1.F.1
1.F.2
1.F.3
1.F.4.1
1.F.4.2
1.F.5
1.F.6
1.F.7
2.Q.10
2.Q.11.1
2.Q.11.2
2.Q.8.1
2.Q.8.2
2.Q.8.3
2.Q.8.4
2.Q.8.5
2.Q.8.6
2.Q.8.7
2.Q.8.8
2.Q.9
3.P.12
3.P.13.1
3.P.13.2
3.P.13.3
3.P.13.4
3.P.13.5
3.P.13.6
3.P.13.7
3.P.13.8
3.P.13.9
3.P.14
3.P.15
3.P.16
3.P.17
3.P.18
4.V.19.1
4.V.19.2
4.V.19.3
4.V.20.1
4.V.20.2
4.V.20.3
4.V.21.1
4.V.21.2
4.V.21.3
4.V.21.4
4.V.22
4.V.23.1
4.V.23.2
4.V.24
4.V.25
4.V.26.1
Author
Book
Chapter
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
7 Portfolio
forRisk:
Managing
Analytical
Financial
Methods
Risk, 3rd Editio
Noel Amenc and Veronique
PortfolioLe
Theory
Sourdand
Chapter
Performance
4 The Capital
AnalysisAsset
(WestPricing
Sussex,
Model
England:
and ItsWiley,
Appli
Richard Grinold andActive
RonaldPortfolio
Kahn Management:
Chapter 7 Expected
A Quantitative
Returns
Approach
and theforArbitrage
Producing
Pricing
Super
T
Ren M. Stulz
Risk ManagementChapter
& Derivatives
2 Investors
(Florence,
andKY:
RiskThomson
Management
SouthWestern, 2
Ren M. Stulz
& Derivatives
3 Creating
(Florence,
Value
KY:
with
Thomson
Risk Management
SouthWestern, 2
Ren M. Stulz
Risk Management Failures: What are They and When Do They Happen?
Reto Gallati
and Capital
6 Case
Adequacy
Studies
(New York: McGrawHill, 2003).
GARP
GARP Code of Conduct
http://www.garp.com/about/GARPCodeofConduct.aspx
John Hull
Options, Futures, Chapter
and Other
21Derivatives,
Estimating7th
Volatilities
Edition (New
and Correlations
York: Prentice Ha
Svetlozar Rachev, Christian
FatTailed
Menn,
and Skewed
and
Chapter
Frank
Asset
Fabozzi
2 Discrete
Return Distributions:
Probability Distributions
Implications for Risk Ma
Svetlozar Rachev, Christian
FatTailed
Menn,
and Skewed
and
Chapter
Frank
Asset
Fabozzi
3 Continuous
Return Distributions:
Probability
Implications
Distributions
for Risk Ma
Damodar N GujaratiEssentials of Econometrics,
Chapter 1 3rd
The
Edition
Nature
(New
andYork:
ScopeMcGrawHill,
of Econometrics
2006).
Chapter 2 3rd
Review
Edition
of(New
Statistics:
York:Probability
McGrawHill,
and2006).
Probabili
Chapter 3 3rd
Characteristics
Edition (New of
York:
Probability
McGrawHill,
Distributions
2006).
Chapter 4 3rd
Some
Edition
Important
(New York:
Probability
McGrawHill,
Distributions
2006).
Chapter 5 3rd
Statistical
Edition (New
Inference:
York:Estimation
McGrawHill,
and2006).
Hypothe
Chapter 6 3rd
Basic
Edition
Ideas
(New
of Linear
York: McGrawHill,
Regression: The
2006).
TwoV
Chapter 7 3rd
The
Edition
TwoVariable
(New York:
Model:
McGrawHill,
Hypothesis
2006).
Testing
Chapter 8 3rd
Multiple
EditionRegression:
(New York:Estimation
McGrawHill,
and2006).
Hypothe
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
12 Monte for
Carlo
Managing
Methods
Financial Risk, 3rd Editio
John Caouette, Edward
Managing
Altman,
Credit
Paul Risk:
Chapter
Narayanan
The6Great
and
TheRobert
Challenge
RatingNimmo
Agencies
for the Global Financial Market
John Hull
and Other
22Credit
Derivatives,
Risk7th Edition (New York: Prentice Ha
John Hull
and Other
23Credit
Derivatives,
Derivatives
7th Edition (New York: Prentice Ha
John Hull
and Other
24Derivatives,
Exotic Options
John Hull
and Other
3 Derivatives,
Hedging Strategies
7th Edition
Using
(New
Futures
York: Prentice Ha
John Hull
and Other
4 Derivatives,
Interest Rates
John Hull
and Other
5 Derivatives,
Determination
7th of
Edition
Forward
(New
and
York:
Futures
Prentice
Prices
Ha
John Hull
and Other
6 Derivatives,
Interest Rate
7thFutures
Edition (New York: Prentice Ha
John Hull
and Other
7 Derivatives,
Swaps
John Hull
and Other
9 Derivatives,
Properties of
7thStock
Edition
Options
(New York: Prentice Ha
Robert L. McDonaldDerivatives Markets
Chapter
(Boston:
6 AddisonWesley,
Commodity Forwards
2003).
and Futures
Helyette Geman
Commodities andChapter
Commodity
1 Fundamentals
Derivatives: Modeling
of Commodity
and Pricing
Spot for
andAgricult
Future
Anthony Saunders and
Financial
MarciaInstitutions
Millon Cornett
Chapter
Management:
17 Liquidity
A Risk
Risk
Management Approach, 6th Edit
Frank Fabozzi
The Handbook of Chapter
Fixed Income
13Corporate
Securities,
Bonds
7th edition (New York: Mcgraw
Financial
MarciaInstitutions
Millon Cornett
Appendix
Management:
15A Mechanisms
A Risk Management
for Dealing
Approach,
with Sovereign
6th EditR
Linda Allen, Jacob Boudoukh
Understanding
and Anthony
Market,
Chapter
Saunders
Credit
3 Putting
and Operational
VaR to Work
Risk: The Value at Risk App
Understanding
and Anthony
Market,
Chapter
Saunders
Credit
4 Extending
and Operational
the VaR
Risk:
Approach
The Value
to Nontradable
at Risk App
Understanding
and Anthony
Market,
Chapter
Saunders
Credit
5 Extending
and Operational
the VaR
Risk:
Approach
The Value
to Operational
at Risk AppR
John Hull
and Other
1 Derivatives,
Introduction7th Edition (New York: Prentice Ha
John Hull
and Other
10Derivatives,
Trading Strategies
7th Edition
Involving
(New York:
Options
Prentice Ha
John Hull
and Other
11Binomial
Derivatives,Trees
Bruce Tuckman
Fixed Income Securities,
Chapter2nd
5 Edition
OneFactor
(Hoboken,
Measures
NJ: Wiley
of Price
& Sons,
Sensitivity
2002).
Bruce Tuckman
Chapter2nd
6 Edition
Measures
(Hoboken,
of Price NJ:
Sensitivity
Wiley &Based
Sons, on
2002).
Paral
Bruce Tuckman
Chapter2nd
7 Edition
Key Rate
(Hoboken,
and Bucket
NJ:Exposures
Wiley & Sons, 2002).
Bruce Tuckman
Chapter2nd
9 Edition
The Science
(Hoboken,
of Term
NJ:Structure
Wiley & Sons,
Models
2002).
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
6 Backtesting
for Managing
VaR
Managing
Altman,
Credit
Paul Risk:
Chapter
Narayanan
The18
Great
and
Introduction
Robert
Challenge
Nimmo
toforPortfolio
the Global
Approaches
Financial Market
Managing
Altman,
Credit
Paul Risk:
Chapter
Narayanan
The19
Great
and
Economic
Robert
Challenge
Nimmo
Capital
for the
and
Global
Capital
Financial
Allocation
Market
Arnaud de Servigny Measuring
and Olivier and
Renault
Managing
Chapter Credit
4 Loss
Risk,
Given
(New
Default
York: McGrawHill, 2004).
Financial
MarciaInstitutions
Millon Cornett
Chapter
Management:
14 Foreign
A Risk
Exchange
Management
Risk Approach, 6th Edit
Michael Ong
Internal Credit Risk
Chapter
Models:
4 Capital
Loan Portfolios
Allocationand
andExpected
Performance
LossMeasurem
4.V.26.2
4.V.27
5.MR.28.1
5.MR.28.2
5.MR.29.1
5.MR.29.2
5.MR.29.3
5.MR.29.4
5.MR.30.1
5.MR.30.2
5.MR.31.1
5.MR.31.2
5.MR.31.3
5.MR.32.1
5.MR.32.2
6.CR.33
6.CR.34
6.CR.35.1
6.CR.35.2
6.CR.35.3
6.CR.35.4
6.CR.35.5
6.CR.36.1
6.CR.36.2
6.CR.36.3
6.CR.37.1
6.CR.37.2
6.CR.38.1
6.CR.38.2
6.CR.39
6.CR.40
6.CR.41
6.CR.42
7.OR.43
7.OR.44.1
7.OR.44.2
7.OR.45
7.OR.46
7.OR.47
7.OR.48
7.OR.49
7.OR.50
7.OR.51
7.OR.52
7.OR.53
7.OR.54
7.OR.55
7.OR.56
8.IM.57.1
8.IM.57.2
8.IM.58.1
8.IM.58.2
Michael Ong
Chapter
Models:
5 Capital
Unexpected
Allocation
Lossand Performance Measurem
Basel Committee onPrinciples
Banking Supervision
for Sound
http://www.bis.org/publ/bcbs147.pdf
Stress Testing Practices and Supervision (Basel Com
John Hull
and Other
13Derivatives,
The BlackScholesMerton
7th Edition (New York:
ModelPrentice Ha
John Hull
and Other
17Derivatives,
The Greek7th
Letters
Edition (New York: Prentice Ha
Bruce Tuckman
Chapter2nd
1 Edition
Bond Prices,
(Hoboken,
Discount
NJ: Wiley
Factors,
& Sons,
and Arbitrage
2002).
Bruce Tuckman
Chapter2nd
2 Edition
Bond Prices,
(Hoboken,
Spot NJ:
Rates,
Wiley
and& Forward
Sons, 2002).
Rates
Bruce Tuckman
Chapter2nd
21 Edition
MortgageBacked
(Hoboken, NJ:
Securities
Wiley & Sons, 2002).
Bruce Tuckman
Chapter2nd
3 Edition
Yield to(Hoboken,
Maturity NJ: Wiley & Sons, 2002).
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
14 StressforTesting
Managing Financial Risk, 3rd Editio
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
17 VaR and
for Managing
Risk Budgeting
Financial
in Investment
Risk, 3rd Editio
Man
Kevin Dowd
Measuring MarketChapter
Risk, 2nd
2Measures
Edition (West
of Financial
Sussex, England:
Risk
Wiley, 2005).
Kevin Dowd
Risk, 2nd
5 AppendixModeling
Edition (West Sussex,
Dependence:
England: Wiley,
Correlations
2005).
Kevin Dowd
Risk, 2nd
7 Edition
Parametric
(WestApproaches
Sussex, England:
(II): Extreme
Wiley,Value
2005).
Frank Fabozzi
Handbook of Mortgage
Chapter
Backed
1AnSecurities
Overview6th
of Mortgages
edition (New
and
York:
the Mortgage
Mcgraw H
Frank Fabozzi
Handbook of Mortgage
Chapter
Backed
31 Valuation
Securitiesof6th
MortgageBacked
edition (New York:
Securities
Mcgraw H
Adam Ashcroft and Til
Understanding
Schuermann the
www.GARPDigitalLibrary.org
Securitization of Subprime Mortgage Credit, Federal R
Eduardo Canabarro Measuring
and Darrell and
Duffie
Marking
Counterparty Risk in ALM of Financial Institutions
Christopher Culp Structured Finance
Chapter
and Insurance:
12 Credit
The
Derivatives
Art of Managing
and CreditLinked
Capital and Notes
Risk (H
Chapter
and Insurance:
13 The The
Structuring
Art of Managing
Process Capital and Risk (H
Chapter
and Insurance:
16 Securitization
The Art of Managing Capital and Risk (H
Chapter
and Insurance:
17 Cash
The
Collateralized
Art of Managing
Debt Capital
Obligations
and Risk (H
Chapter
and Insurance:
18 Synthetic
The Art
Collateralized
of ManagingDebt
Capital
Obligations
and Risk (H
Managing
Altman,
Credit
Paul Risk:
Chapter
Narayanan
The20
Great
and
Application
Robert
Challenge
Nimmo
offor
Portfolio
the Global
Approaches
Financial Market
Managing
Altman,
Credit
Paul Risk:
Chapter
Narayanan
The23
Great
and
Country
Robert
Challenge
Risk
Nimmo
for
Models
the Global Financial Market
Managing
Altman,
Credit
Paul Risk:
Chapter
Narayanan
The5Great
and
Structural
Robert
Challenge
Hubs:
Nimmo
forClearinghouses,
the Global Financial
Derivative
MarketP
and Olivier and
Renault
Managing
Chapter Credit
10 Regulation
Risk, (New York: McGrawHill, 2004).
and Olivier and
Renault
Managing
Chapter Credit
2 External
Risk, (New
and Internal
York: McGrawHill,
Ratings
2004).
John Hull
and Other
18Derivatives,
Volatility Smiles
John Hull
and Other
2 Derivatives,
Mechanics 7th
of Futures
Edition Markets
(New York: Prentice Ha
Understanding
and Anthony
Market,
Chapter
Saunders
Credit
2 Quantifying
and Operational
Volatility
Risk:inThe
VaRValue
Models
at Risk App
Ren M. Stulz
& Derivatives
18 Credit
(Florence,
Risks KY:
andThomson
Credit Derivatives
SouthWestern, 2
Michael Ong
Chapter
Models:
6 Capital
Portfolio
Allocation
Effects:and
RiskPerformance
ContributionsMeasurem
and Unex
Basel Committee onStudies
Bankingon
Supervision
creditwww.GARPDigitalLibrary.org
risk concentration: an overview of the issues and a synop
Michel Crouhy, Dan Risk
GalaiManagement
and Robert Chapter
Mark
(New York:
14 McGrawHill,
Capital Allocation
2001).
and Performance Measur
Kevin Dowd
Risk, 2nd
14 Edition
Estimating
(WestLiquidity
Sussex, Risks
England: Wiley, 2005).
Kevin Dowd
Risk, 2nd
16 Edition
Model(West
Risk Sussex, England: Wiley, 2005).
Ellen Davis (editor) Operational Risk: Chapter
Practical12
Approaches
Aligning Basel
to Implementation
II Operational(London:
Risk andRisk
Sarba
Bo
and Olivier and
Renault
Managing
Chapter Credit
3 Default
Risk,Risk:
(NewQuantitative
York: McGrawHill,
Methodologies
2004).
Andrew Kuritzkes, Til
Risk
Schuermann
Measurement,
and
Scott
RiskM.
Management
Weiner
and Capital Adequacy in Financial C
Brian W. Nocco andEnterprise
Ren M. Stulz
Risk Management:
Theory and Practice, Journal of Applied Co
Falko Aue and Michael
2007,
Kalkbrener
LDA at Work,
Deutsche Bank White Paper
Til Schuermann andWhat
Andrew
We
Kuritzkes
Know, http://www.newyorkfed.org/research/economists/schuerm
Dont Know and Cant Know About Bank Risk: A View from
Financial
MarciaInstitutions
Millon Cornett
Chapter
Management:
15 (excluding
A Risk
Appendix
Management
15A) Approach,
Sovereign6th
Risk
Edit
Basel Committee onBasel
Banking
II: International
Supervision
Convergence of Capital Measurement and Capital S
Basel Committee onAn
Banking
Explanatory
Supervision
Note
on the Basel II IRB Risk Weight Functions (Basel Co
Basel Committee onPrinciples
Banking Supervision
for Sound
http://www.bis.org/publ/bcbs144.htm
Liquidity Risk Management and Supervision (Basel C
Basel Committee onGuidelines
Banking Supervision
for Computing
Capital for Incremental Risk in the Trading Book
Basel Committee onRevisions
Banking Supervision
to the Basel
II market risk framework Consultative Document (
R. Grinold and R. Kahn
Active Portfolio Management:
Chapter 14 APortfolio
Quantitative
Construction
Approach for Producing Super
R. Grinold and R. Kahn
Active Portfolio Management:
Chapter 17 APerformance
Quantitative Analysis
Approach for Producing Super
Lars Jaeger (ed)
The New Generation
Chapter
of Risk
27 Management
Style Drifts: for
Monitoring,
Hedge Funds
Detection
and Private
and Contr
Eq
Lars Jaeger (ed)
The New Generation
Chapter
of Risk
6 Management
Funds of Hedge
for Hedge
Funds,Funds
by Sohail
andJaffer
Private Eq
8.IM.59
8.IM.60.1
8.IM.60.2
8.IM.61
8.IM.62
8.IM.63
9.CI.1
9.CI.2
9.CI.3
9.CI.4
9.CI.5
9.CI.6
9.CI.7
9.CI.8
Lars Jaeger
Through the AlphaChapter
Smoke5Screens:
Individual
A Guide
Hedge
to Fund
Hedge
Strategies
Fund Returns (New
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
1 The Need
for Managing
for Risk Management
Philippe Jorion
ValueatRisk: The
Chapter
New Benchmark
11 VaR Mapping
for Managing Financial Risk, 3rd Editio
Ren M. Stulz
Hedge Funds: Past,
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=9396
Present and Future,
Robert Litterman and
Modern
the Quantitative
Investment
Chapter
Resources
Management:
17Risk
Group
An
Monitoring
Equilibrium
and
Approach
Performance
(Hoboken,
Measurem
NJ:
Leslie Rahl (ed)
Risk Budgeting: AChapter
New Approach
6 RisktoBudgeting
Investing for
(London:
Pension
Risk
Funds
Books,
and2004)
Invest
Gary Gorton
Information, Liquidity,
http://ssrn.com/abstract=1324195
and the (Ongoing) Panic of 2007, (January 2009).
Raghuram Rajan Has Financial Development
http://faculty.chicagobooth.edu/raghuram.rajan/research/f
Made The World Riskier? (September 2005).
FSA
FSA moves to enhance
http://www.fsa.gov.uk/pubs/other/exec_summary.pdf
supervision in wake of Northern Rock: Executive S
Senior Supervisory Group
Observations on www.newyorkfed.org/newsevents/news/banking/2008/ssg
Risk Management Practices during the Recent Market Tu
John Martin
A Primer on the Role
of Securitization in the Credit Market Crisis of 2007,
UBS
Shareholder Report
www.ubs.com/1/ShowMedia/investors/shareholderreport?
on UBSs WriteDowns, (April 2008).
Andrew G. Haldane Why Banks Failed
www.bankofengland.co.uk/publications/speeches/2009/sp
the Stress Test, (February 2009).
Andrew Lo
Hedge Funds, Systemic
Risk, and the Financial Crisis of 20072008: Writte
Category (current = 2009)

Foundations of Risk Management
Financial Markets and Products
Valuation and Risk Models
GARP 2008 index

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Market Risk Measurement and Management
Market Risk Measurement and Managementnone
Credit Risk Measurement and Management
Credit Risk Measurement and Managementnone
Operational and Integrated Risk Management
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Operational and Integrated Risk Management - Basel
Operational and Integrated Risk Management - Basel
none
- Basel
none
- Basel
none
- Basel
Risk Management and Investment Management
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Current Issues in Financial Markets
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FRM 2009 Readings LIST

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FRM 2009 Readings LIST

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GARP 2009 index

Category (current = 2009)

GARP 2008 index

Valuation and Risk Models

Risk Management and Investment Management

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