Financial Risk Manager Handbook, 4th Edition
by Philippe Jorion ( ); GARP (Global Association of Risk Professionals)Edition: 4th
Format: Paperback
Pub. Date: 2007-06-01
Publisher(s): Wiley
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Summary
An essential guide to financial risk management and the only way to get a great overview of the subjects covered in the GARP FRM ExamThe Financial Risk Management Exam (FRM Exam) is given by the Global Association of Risk Professionals (GARP) annually in November for risk professionals who want to earn FRM(r) certification. The Financial Risk Manager Handbook, Fourth Edition is the definitive guide for those preparing to take the FRM Exam as well as a valued working reference for risk professionals. Written with the full support of GARP, and containing questions and solutions from previous exams, this book is a valuable resource for professionals responsible for or associated with financial risk management.
Author Biography
Philippe Jorion is Professor of Finance at the Paul Merage School of Business at the University of California at Irvine. 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 eighty publications—directed towards academics and practitioners—on the topic of risk management and international finance. He is on the editorial board of a number of financial journals and was editor of the Journal of Risk. He has won the Smith Breeden Prize for research, the William F. Sharpe Award for Scholarship in Financial Research, and the Graham and Dodd Scroll Award. He has written the first three 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.
Table of Contents
| Introduction | |
| Quantitative Analysis | |
| Bond Fundamentals | |
| Discounting, Present, and Future Value | |
| Price-Yield Relationship | |
| Bond Price Derivatives | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Appendix | |
| Fundamentals of Probability | |
| Characterizing Random Variables | |
| Multivariate Distribution Functions | |
| Functions of Random Variables | |
| Important Distribution Functions | |
| Limit Distributions | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Appendix | |
| Fundamentals of Statistics | |
| Real Data | |
| Parameter Estimation | |
| Regression Analysis | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Monte Carlo Methods | |
| Simulations with One Random Variable | |
| Implementing Simulations | |
| Multiple Sources of Risk | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Capital Markets | |
| Introduction to Derivatives | |
| Overview of Derivatives Markets | |
| Forward Contracts | |
| Futures Contracts | |
| Swap Contracts | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Options | |
| Option Payoffs | |
| Option Premiums | |
| Valuing Options | |
| Other Option Contracts | |
| Valuing Options by Numerical Methods | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Fixed-Income Securities | |
| Overview of Debt Markets | |
| Fixed-Income Securities | |
| Analysis of Fixed-Income Securities | |
| Spot and Forward Rates | |
| Prepayment | |
| Securitization | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Fixed-Income Derivatives | |
| Forward Contracts | |
| Futures | |
| Swaps | |
| Options | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Equity, Currency, and Commodity Markets | |
| Equities | |
| Convertible Bonds and Warrants | |
| Equity Derivatives | |
| Currency Markets | |
| Currency Swaps | |
| Commodities | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Market Risk Management | |
| Introduction to Market Risk Measurement | |
| Introduction to Financial Market Risks | |
| VAR as a Downside Risk Measure | |
| VAR Parameters | |
| Elements of VAR Systems | |
| Stress-Testing | |
| Liquidity Risk | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Appendix | |
| Sources of Market Risk | |
| Sources of Loss: A Decomposition | |
| Currency Risk | |
| Fixed-Income Risk | |
| Equity Risk | |
| Commodity Risk | |
| Risk Simplification | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Appendix | |
| Hedging Linear Risk | |
| Introduction to Futures Hedging | |
| Optimal Hedging | |
| Applications of Optimal Hedging | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Nonlinear Risk: Options | |
| Evaluating Options | |
| Option "Greeks" | |
| Dynamic Hedging | |
| Important Formulas | |
| Answers to Chapter Examples | |
| Modeling Risk Factors | |
| Normal and Lognormal Distributions | |
| Fat Tails | |
| Time-Variation in Risk | |
| Important Formulas | |
| An | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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