FRM考试复习资料分享
1.PhilippeJorion,TheFinancialRiskManagerHandbook,3rdedition(NewYork:Wiley,2005)
2.JohnHull,Options,Futures,andOtherDerivatives,6thed.(NewYork:PrenticeHall,2006)
3.LindaAllen,JacobBoudoukh,AnthonySaunders,UnderstandingMarket,CreditandOperationalRisk:TheValueAtRiskApproach(Oxford:BlackwellPublishing,2004)
4.MurrayR.Spiegel,JohnSchiller,andR.AluSrinivasan,ProbabilityandStatistics,Schaum’sOutlines,2nded.(NewYork:McGraw-Hill,2000)
5.AnthonySaunders,MarciaMillonCornett,FinancialInstitutionsManagement,4thed.(NewYork:McGraw-Hill,2003)
6.BruceTuckman,FixedIncomeSecurities,2nded.(NewYork:Wiley,2002)
7.Hull,Options,Futures,andOtherDerivatives
8.Jorion,Value-at-Risk
9.LindaAllen,JacobBoudoukh,AnthonySaunders,UnderstandingMarket,CreditandOperationalRisk:TheValueAtRiskApproach
10.NeilD.Pearson,RiskBudgeting:PortfolioProblemSolvingwithValue-at-Risk(NewYork:Wiley,2002)
11.RenéStulz,RiskManagement&Derivatives(Mason,Ohio:South-Western,2003)
12.RobertL.McDonald,DerivativesMarkets,(Boston,AddisonWesley,2003)
13.AmauddeServigny,OlivierRenault,MeasuringandManagingCreditRisk,(NewYork:Mc-Graw-Hill,2004)
14.AshishDev,EconomicCapital,(London,RiskBooks,2004)
15.EduardoCanabarroandDarrellDuffie,“MeasuringandMarkingCounterpartyRisk”inALMofFinancialInstitutions,ed.LeoTilman(InstitutionalInvestorBooks,2004).CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
16.GunterMeissner,CreditDerivatives,Application,PricingandRiskManagement,(Malden,MA,BlackwellPublishing,2005)
17.Hull,Options,FuturesandOtherDerivatives
18.Saunders,Cornet,FinancialInstitutionsManagement
19.Securitizations:Moody’sInvestorsServicesreporttitled“DemystifyingSecuritizationforUnsecuredInvestors”.CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
20.Stulz,RiskManagement&Derivatives
21.ChristopherL.Culp,TheRiskManagementProcess;BusinessStrategyandTactics(Hoboken,JohnWiley&Sons,Inc,2001)
22.deServigny,Renault,MeasuringandManagingCreditRisk
23.Dowd,Measuringmarketrisk.
24.LindaAllen,JacobBoudoukh,AnthonySaunders,UnderstandingMarket,CreditandOperationalRisk:TheValueAtRiskApproach(Oxford:BlackwellPublishing,2004)
25.MichaelCrouhy,DanGalai,andRobertMark,RiskManagement(NewYork:McGraw-Hill,2001)
26.RetoGallati,RiskManagementandCapitalAdequacy(NewYork:McGraw-Hill,2003)
27.RiccardoRebonato,TheoryandPracticeofModelRiskManagement,QuantitativeResearchCentre(QUARC)oftheRoyalBankofScotland,OxfordFinancialResearchCentre-OxfordUniversity.CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
28.RobertE.LitanandRichardHerring,editors,Brookings-WhartonPapersonFinancialServices,(BrookingsInstitutionPress,2003)
RiskMeasurement,RiskManagement,andCapitalAdequacyinFinancialConglomerates,byAndrewKuritzkes,TilSchuermann,andScottM.Weiner.CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
29.Saunders,Cornett,FinancialInstitutionsManagement
30.Stulz,RiskManagement&Derivatives
31.TowardGreaterFinancialStability:APrivateSectorPerspective,“TheReportoftheCounterpartyRiskManagementPolicyGroupII”,July27,2005.CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
32.Newcapitalrequirementsforcreditinstitutions(BaselII),DeutscheBundesbank,MonthlyReport,September2004.CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
33.“BaselII:InternationalConvergenceofCapitalMeasurementandCapitalStandards:ARevisedFramework”(November,2005).CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
34.OverviewoftheAmendmenttotheCapitalAccordtoIncorporateMarketRisks(January1996).CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
35.AmendmenttotheCapitalAccordtoIncorporateMarketRisks(November2005).CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
36.“SupervisoryFrameworkfortheUseof‘Backtesting’inConjunctionwiththeInternalModelsApproachtoMarketRiskCapitalRequirements”(January1996).CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
37.DavidHsiehandWilliamFung,“TheRiskinFixed-IncomeHedgeFundStrategies”,JournalofFixedIncome12(2002):6-27.CopyofarticleisavailableattheGARPDigitalLibrarywebsite,www.GARPDigitalLibrary.org
38.LarsJaeger,ed.,TheNewGenerationofRiskManagementforhedgeFundsandPrivateEquityInvestments,(London:EuromoneyBook,2003)
39.LarsJaeger,ThroughtheAlphaSmokeScreens,AGuidetoHedgeFundReturnSources,(NewYork,EuromoneyInstitutionalInvestor,2005)
40.LeoM.Tilman,ed.,Asset/LiabilityManagementofFinancialInstitutions,(London:Euromoney,2003)
41.LeslieRahl,riskBudgeting:ANewApproachtoInvesting(London:RiskBooks,2000)
42.NoelAmencandVeroniqueLeSourd,PortfolioTheoryandPerformanceAnalysis(WestSussex:Wiley,2003).
43.Pearson,RiskBudgeting.
44.SohailJaffer,ed.,FundsofHedgeFunds(London:EuromoneyBooks,2003)