An essential guide to financial risk management as well as the only
way to ace the GARP FRM Exam
The Financial Risk Management Exam (FRM Exam) was developed by the
Global Association of Risk Professionals (GARP) as a means of
establishing an industry standard of minimum professional
competence in the field. It is given annually in November for risk
professionals who want to earn FRM certification. Authored by
renowned financial risk management guru Phillipe Jorion, with the
full support of the GARP, this is the definitive guide for those
preparing to take the FRM Exam. With the help of questions (and
solutions) taken from previous exams, Jorion coaches readers on
quantitative methods, capital markets, and market, credit,
operational, and risk management concepts and assessment
techniques. In addition to being the indispensable guide for those
aspiring to FRM certification, Financial Risk Manager Handbook also
serves as a valued working reference for risk professionals.
Phillipe Jorion, PhD (Irvine, CA), is a Professor of Finance at the
Graduate School of Management at UC Irvine. He has also taught at
Columbia University, Northwestern University, the University of
Chicago, and the University of British Columbia.
Autorentext
PHILIPPE JORION is Professor of Finance at the Graduate School of Management 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 seventy publications-directed towards academics and practitioners-on the topic of risk management and international finance. He is Editor of the Journal of Risk and is on the editorial board of a number of other financial journals. He has won the Smith Breeden Prize for research and the William F. Sharpe Award for Scholarship in Financial Research. He has written the first edition of Financial Risk Manager Handbook 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.
Zusammenfassung
An essential guide to financial risk management as well as the only way to ace the GARP FRM Exam
The Financial Risk Management Exam (FRM Exam) was developed by the Global Association of Risk Professionals (GARP) as a means of establishing an industry standard of minimum professional competence in the field. It is given annually in November for risk professionals who want to earn FRM certification. Authored by renowned financial risk management guru Phillipe Jorion, with the full support of the GARP, this is the definitive guide for those preparing to take the FRM Exam. With the help of questions (and solutions) taken from previous exams, Jorion coaches readers on quantitative methods, capital markets, and market, credit, operational, and risk management concepts and assessment techniques. In addition to being the indispensable guide for those aspiring to FRM certification, Financial Risk Manager Handbook also serves as a valued working reference for risk professionals.
Phillipe Jorion, PhD (Irvine, CA), is a Professor of Finance at the Graduate School of Management at UC Irvine. He has also taught at Columbia University, Northwestern University, the University of Chicago, and the University of British Columbia.
Inhalt
Preface.
Introduction.
Part I: Quantitative Analysis.
Ch. 1: Bond Fundamentals.
1.1 Discounting, Present, and Future Value.
1.2 Price-Yield Relationship.
1.2.1 Valuation.
1.2.2 Taylor Expansion.
1.2.3 Bond Price Derivatives.
1.2.4 Interpreting Duration and Convexity.
1.2.5 Portfolio Duration and Convexity.
1.3 Answers to Chapter Examples.
Ch. 2: Fundamentals of Probability.
2.1 Characterizing Random Variables.
2.1.1 Univariate Distribution Functions.
2.1.2 Moments.
2.2 Multivariate Distribution Functions.
2.3 Functions of Random Variables.
2.3.1 Linear Transformation of Random Variables.
2.3.2 Sum of Random Variables.
2.3.3 Portfolios of Random Variables.
2.3.4 Product of Random Variables.
2.3.5 Distributions of Transformations of Random Variables.
2.4 Important Distribution Functions.
2.4.1 Uniform Distribution.
2.4.2 Normal Distribut ion.
2.4.3 Lognormal Distribution.
2.4.4 Student's Distribution.
2.4.5 Binomial Distribution.
2.5 Answers to Chapter Examples.
Ch. 3: Fundamentals of Statistics.
3.1 Real Data.
3.1.1 Measuring Returns.
3.1.2 Time Aggregation.
3.1.3 Portfolio Aggregation.
3.2 Parameter Estimation.
3.3 Regression Analysis.
3.3.1 Bivariate Regression.
3.3.2 Autoregression.
3.3.3 Multivariate Regression.
3.3.4 Example.
3.3.5 Pitfalls with Regressions.
3.4 Answers to Chapter Examples.
Ch. 4: Monte Carlo Methods.
4.1 Simulations with One Random Variable.
4.1.1 Simulating Markov Processes.
4.1.2 The Geometric Brownian Motion.
4.1.3 Simulating Yields.
4.1.4 Binomial Trees.
4.2 Implementing Simulations.
4.2.1 Simulation for VAR.
4.2.2 Simulation for Derivatives.
4.2.3 Accuracy.
4.3 Multiple Sources of Risk.
4.3.1 The Cholesky Factorization.
4.4 Answers to Chapter Examples.
Part II: Capital Markets.
Ch. 5: Introduction to Derivatives.
5.1 Overview of Derivatives Markets.
5.2 Forward Contracts.
5.2.1 Definition.
5.2.2 Valuing Forward Contracts.
5.2.3 Valuing an Off-Market Forward Contract.
5.2.4 Valuing Forward Contracts with Income Payments.
5.3 Futures Contracts.
5.3.1 Definitions of Futures.
5.3.2 Valuing Futures Contracts.
5.4 Swap Contracts.
5.5 Answers to Chapter Examples.
Ch. 6: Options.
6.1 Option Payoffs.
6.1.1 Basic Options.
6.1.2 Put-Call Parity.
6.1.3 Combination of Options.
6.2 Valuing Options.
6.2.1 Option Premiums.
6.2.2 Early Exercise of Options.
6.2.3 Black-Scholes Valuation.
6.2.4 Market vs. Model Prices.
6.3 Other Option Contracts.
6.4 Valuing Options by Numerical Methods.
6.5 Answers to Chapter Examples.
Ch. 7: Fixed-Income Securities.
7.1 Overview of Debt Markets.
7.2 Fixed-Income Securities.
7.2.1 Instrument Types.
7.2.2 Methods of Quotation.
7.3 Analysis of Fixed-Income Securities.
7.3.1 The NPV Approach.
7.3.2 Duration.
7.4 Spot and Forward Rates.
7.5 Mortgage-Backed Securities.
7.5.1 Description.
7.5.2 Prepayment Risk.
7.5.3 Financial Engineering and CMOs.
7.6 Answers to Chapter Examples.
Ch. 8: Fixed-Income Derivatives.
8.1 Forward Contracts.
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