Includes the following Core Readings from the 2008 FRM Study Guide:

From the Quantitative Analysis section:

• Allen, Boudoukh and Saunders. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Oxford: Blackwell Publishing, 2004.
  • Chapter 2 – Quantifying Volatility in VaR Model
• Damodar N Gujarati, Essentials of Econometrics, 3 rd Edition ( New York: McGraw-Hill, 2006.
  • Chapter 1 – The Nature and Scope of Econometrics
  • Chapter 2 – Review of Statistics I: Probability and Probability Distributions
  • Chapter 3 – Characteristics of Probability Distributions
  • Chapter 4 – Some Important Probability Distributions
  • Chapter 5 – Statistical Inference: Estimation and Hypothesis Testing
  • Chapter 6 – Basic Ideas of Linear Regression: The Two-Variable Model
  • Chapter 7 – The Two-Variable Model: Hypothesis Testing
  • Chapter 8 – Multiple Regression: Estimation and Hypothesis Testing
• Paul Wilmott, Paul Wilmott Introduces Quantitative Finance, 2nd Edition ( New York: Wiley & Sons, 2007).
  • Chapter 22 – Value at Risk
  • Appendix A – All the Math You Need … and No More (An Executive Summary)

From the Market Risk Measurement and Management section:

• Jorion. Value at Risk: The New Benchmark for Managing Financial Risk, 3^rd ed.
  • Chapter 10 – VaR Methods
  • Chapter 11 – VaR Mapping
  • Chapter 14 – Stress Testing
• McDonald. Derivatives Markets, 2nd ed.  Boston: Addison-Wesley, 2006.
  • Chapter 6 – Commodity Forwards and Futures
• Saunders.  Financial Institutions Management, 5th ed.  New York: McGraw-Hill, 2005.
  • Chapter 15 – Foreign Exchange Risk
• Stulz. Risk Management & Derivatives.  Mason, Ohio: Thomson South-Western, 2003.
  • Chapter 4 – A Firm-Wide Approach to Risk Management
  • Chapter 8 – Identifying and Managing Cash Flow Exposures
  • Chapter 15 – The Demand and Supply for Derivative Products
• Tuckman. Fixed Income Securities, 2nd ed.  New York: Wiley, 2002.
  • Chapter 1 – Bond Prices, Discount Factors, and Arbitrage
  • Chapter 2 – Bond Prices, Spot Rates, and Forward Rates
  • Chapter 3 – Yield to Maturity
  • Chapter 4 – Generalizations and Curve Fitting
  • Chapter 5 – One-Factor Measures of Price Sensitivity
  • Chapter 6 – Measures of Price Sensitivity Based on Parallel Yield Shifts
  • Chapter 7 – Key Rate and Bucket Exposures
  • Chapter 9 – The Science of Term Structure Models

From the Credit Risk Measurement and Management section:

• Christopher Culp. Structured Finance and Insurance: The Art of Managing Capital and Risk. Hoboken: John Wiley & Sons, Inc., 2006.
  • Chapter 16 – Securitization
• De Servigny and Renault. Measuring and Managing Credit Risk. New York: Mc-Graw-Hill, 2004.
  • Chapter 2 – External and Internal Ratings
  • Chapter 3 – Default Risk: Quantitative Methodologies
  • Chapter 4 – Loss Given Default
  • Chapter 6 – Cre dit Risk Portfolio Models
  • Chapter 7 – Credit Risk Management and Strategic Capital Allocation
• Dev, editor. Economic Capital: A Practitioner Guide. London: Risk Books, 2004.
  • Chapter 7 – Economic Capital for Counterparty Credit Risk, by Evan Picoult and David Lamb.
• Meissner. Credit Derivatives, Application, Pricing and Risk Management. Malden, MA, Blackwell Publishing, 2005.
  • Chapter 3 – Synthetic Structures
• Michael Ong, Internal Credit Risk Models: Capital Allocation and Performance Measurement, (London: Risk Books, 1999).
  • Chapter 4 – Loan Portfolios and Expected Loss
  • Chapter 5 – Unexpected Loss
  • Chapter 6 – Portfolio Effects: Risk Contributions and Unexpected Losses 
• Saunders. Financial Institutions Management, 5th ed. New York: McGraw-Hill, 2005.
  • Chapter 11 – Credit Risk: Individual Loan Risk
  • Chapter 16 – Sovereign Risk
• Stulz. Risk Management & Derivatives. Mason, Ohio: Thomson South-Western, 2003.
  • Chapter 18 – Credit Risks and Credit Derivatives

From the Operational and Integrated Risk Management section:

• Allen, Boudoukh and Saunders.  Understanding Market, Credit, and Operational Risk: The Value at Risk Approach.  Oxford: Blackwell Publishing, 2004.
  • Chapter 5 – Extending the VaR Approach to Operational Risk
• Crouhy, Galai, and Mark. Risk Management. New York: McGraw-Hill, 2001.
  • Chapter 14 – Capital Allocation and Performance Measurement
• Culp.  The Risk Management Process; Business Strategy and Tactics.  Hoboken: John Wiley & Sons, Inc, 2001.
  • Chapter 17 – Identifying, Measuring, and Monitoring Liquidity Risk
• Davis (editor), Operational Risk: Practical Approaches to Implementation (London: Risk Books, 2005).
  • Chapter 12 – Aligning Basel II Operational Risk and Sarbanes Oxley 404 Projects, by Nick Bolton and Judson Berkey 
• De Servigny and Renault. Measuring and Managing Credit Risk. New York: Mc-Graw-Hill, 2004.
  • Chapter 10 – Regulation
• Dowd. Measuring market risk. New York: John Wiley & Sons, Inc., 2005.
  • Chapter 16 - Model Risk
• Gallati. Risk Management and Capital Adequacy. New York: McGraw-Hill, 2003.
  • Chapter 6 – Case Studies
• Saunders. Financial Institutions Management, 5th ed. New York: McGraw-Hill, 2005.
  • Chapter 14 – Technology and Other Operational Risks
• Stulz. Risk Management & Derivatives. Mason, Ohio: Thomson South-Western, 2003.
  • Chapter 2 – Investors and Risk Management
  • Chapter 3 – Creating Value with Risk Management

From the Risk Management and Investment Management section:

• Amenc, Noel and Veronique Le Sourd. Portfolio Theory and Performance Analysis. West Sussex: Wiley, 2003.
  • Chapter 4 – The Capital Asset Pricing Model and Its Application to Performance Measurement
• Jorion. Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed.
  • Chapter 7 – Portfolio Risk: Analytical Methods
  • Chapter 17 – VaR and Risk Budgeting in Investment Management
• Lars Jaeger, editor. The New Generation of Risk Management for Hedge Funds and Private Equity Investments. London: Euromoney Books, 2003.
  • Chapter 6 – Funds of Hedge Funds,by Sohail Jaffer
  • Chapter 27 – Style Drifts: Monitoring, Detection and Control, by Pi erre-Yves Moix
• Lars Jaeger. Through the Alpha Smoke Screens, A Guide to Hedge Fund Return Sources. New York: Euromoney Institutional Investor, 2005.
  • Chapter 5 – Individual Hedge Fund Strategies
• Richard Grinold and Ronald Kahn, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd Edition, (New York: McGraw-Hill, 1999).
  • Chapter 17 – Performance Analysis

  Does NOT include the following Core Readings from the FRM 2008 Study Guide:

  Not Included from the Market Risk Measurement and Management section:

  • Hull . Options, Futures, and Other Derivatives, 6th ed. New York: Prentice Hall, 2006.
    • Chapter 3 – Hedging Strategies using Futures
    • Chapter 5 – Determination of Forward and Futures Prices
    • Chapter 6 – Interest Rate Markets
    • Chapter 7 – Swaps
    • Chapter 9 – Properties of Stock Options
    • Chapter 10 – Trading Strategies Involving Options
    • Chapter 11 – Binomial Trees
    • Chapter 13 – The Black-Scholes-Merton Model
    • Chapter 15 – The Greek Letters
    • Chapter 16 – Volatility Smiles
    • Chapter 22 – Exotic Options

  Not Included from the Credit Risk Measurement and Management section:

  • Hull. Risk Management and Financial Institutions. New York: Prentice Hall, 2006.
    • Chapter 13 – Credit Derivatives.