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Market Risk Measurement and Management
Level II ExamWeight: 20%, Full ExamWeight: 10%

27. Hull, Options, Futures, and Other Derivatives, 7th Edition.
• Chapter 18 . . . . . . . . . . Volatility Smiles
• Chapter 24 . . . . . . . . . . Exotic Options

28. Tuckman, Fixed Income Securities, 2nd Edition.
• 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
• Chapter 21 . . . . . . . . . . Mortgage-Backed Securities


29. Jorion, Value-at-Risk, 3rd Edition.
• Chapter 6 . . . . . . . . . . . Backtesting VaR
• Chapter 11 . . . . . . . . . . VaR Mapping


30. Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: JohnWiley & Sons, 2005).
• Chapter 2 . . . . . . . . . . . Measures of Financial Risk
• Chapter 5 Appendix . . . . Modeling Dependence: Correlations and Copulas
• Chapter 7 . . . . . . . . . . . Parametric Approaches (II): Extreme Value


31. Frank Fabozzi, Handbook of Mortgage Backed Securities, 6th Edition (New York: McGraw-Hill, 2006).
• Chapter 1 . . . . . . . . . . . An Overview of Mortgages and the Mortgage Market
• Chapter 31 . . . . . . . . . . Valuation of Mortgage Backed Securities