第一部分 ：
Readings for Foundations of Risk Management 20%
1. Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd Edition (New York, NY: McGraw-Hill, 2014).
• Chapter 1. Risk Management: A Helicopter View (Including Appendix 1.1. Typology of Risk Exposures)
• Chapter 2. Corporate Risk Management: A Primer
• Chapter 4. Corporate Governance and Risk Management
2. James Lam, Enterprise Risk Management: From Incentives to Controls, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2014).
• Chapter 4. What is ERM?
3. René Stulz, “Risk Management, Governance, Culture and Risk Taking in Banks,” FRBNY Economic Policy Review, (August 2016): 43-59.
4. Steve Allen, Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd Edition (New York, NY: John Wiley & Sons, 2013).
• Chapter 4. Financial Disasters
5. Markus K. Brunnermeier, 2009. “Deciphering the Liquidity and Credit Crunch 2007—2008,” Journal of Economic Perspectives 23:1, 77—100.
6. Gary Gorton and Andrew Metrick, 2012. “Getting Up to Speed on the Financial Crisis: A One-Weekend- Reader’s Guide,” Journal of Economic Literature 50:1, 128—150.
7. René Stulz, “Risk Management Failures: What Are They and When Do They Happen?” Fisher College of Business Working Paper Series, October 2008.
8. Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, 9th Edition (Hoboken, NJ: John Wiley & Sons, 2014).
• Chapter 13. The Standard Capital Asset Pricing Model
9. Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex, UK: John Wiley & Sons, 2003).
• Chapter 4. Applying the CAPM to Performance Measurement: Single-Index Performance Measurement
Indicators (Section 4.2 only)
10. Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 10th Edition (New York, NY: McGraw-Hill, 2013). • Chapter 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return
11. “Principles for E ective Data Aggregation and Risk Reporting,” (Basel Committee on Banking Supervision Publication, January 2013).
12. GARP Code of Conduct.*

第二部分：
Readings for Quantitative Analysis 20%
2018 Financial Risk Manager (FRM®) Exam Study Guide
13. Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition (Hoboken, NJ: John Wiley & Sons, 2013).
• Chapter 2. Probabilities
• Chapter 3. Basic Statistics
• Chapter 4. Distributions
• Chapter 6. Bayesian Analysis (Pages 113-124 only)
• Chapter 7. Hypothesis Testing and Con dence Intervals
14. James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston, MA: Pearson, 2008).
• Chapter 4. Linear Regression with One Regressor
• Chapter 5. Regression with a Single Regressor
• Chapter 6. Linear Regression with Multiple Regressors
• Chapter 7. Hypothesis Tests and Con dence Intervals in Multiple Regression
15. Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, OH: Cengage Learning, 2006).
• Chapter 5. Modeling and Forecasting Trend
• Chapter 6. Modeling and Forecasting Seasonality
• Chapter 7. Characterizing Cycles
• Chapter 8. Modeling Cycles: MA, AR, and ARMA Models
16. John C. Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015).
• Chapter 10. Volatility
• Chapter 11. Correlations and Copulas
17. Chris Brooks, Introductory Econometrics for Finance, 3rd Edition (Cambridge, UK: Cambridge University Press, 2014).
• Chapter 13. Simulation Methods (Note: EViews and other programming references are not required.)

第三部分 ：
Readings for Financial Markets and Products  （30%）
18. John C. Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015).
• Chapter 2. Banks
• Chapter 3. Insurance Companies and Pension Plans
• Chapter 4. Mutual Funds and Hedge Funds
19. John C. Hull, Options, Futures, and Other Derivatives, 10th Edition (New York, NY: Pearson, 2017).
• Chapter 1. Introduction
• Chapter 2. Futures Markets and central counterparties
• Chapter 3. Hedging Strategies Using Futures
• Chapter 4. Interest Rates
• Chapter 5. Determination of Forward and Futures Prices
• Chapter 6. Interest Rate Futures
• Chapter 7. Swaps
• Chapter 10. Mechanics of Options Markets
• Chapter 11. Properties of Stock Options
• Chapter 12. Trading Strategies Involving Options
• Chapter 26. Exotic Options
20. Robert McDonald, Derivatives Markets, 3rd Edition (Boston, MA: Addison-Wesley, 2013).
• Chapter 6. Commodity Forwards and Futures
21. Jon Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives (New York, NY: John Wiley & Sons, 2014).
• Chapter 2. Exchanges, OTC Derivatives, DPCs and SPVs
• Chapter 3. Basic Principles of Central Clearing
• Chapter 14. (section 14.4 only). Risks Caused by CCPs: Risks Faced by CCPs
22. Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk Management Approach, 8th Edition (New York, NY: McGraw-Hill, 2014).
• Chapter 13. Foreign Exchange Risk
23. Frank Fabozzi (editor), The Handbook of Fixed Income Securities, 8th Edition (New York, NY: McGraw-Hill, 2012). • Chapter 12. Corporate Bonds
24. Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today’s Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011).
• Chapter 20. Mortgages and Mortgage-Backed Securities

第四部分 ：

Readings for Valuation and Risk Models （30%）

25. Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach (New York, NY: Wiley-Blackwell, 2004).
• Chapter 2. Quantifying Volatility in VaR Models
• Chapter 3. Putting VaR to Work

26. Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, UK: John Wiley & Sons, 2005).
• Chapter 2. Measures of Financial Risk

27. John C. Hull, Options, Futures, and Other Derivatives, 10th Edition (New York, NY: Pearson, 2017).
• Chapter 13. Binomial Trees
• Chapter 15. The Black-Scholes-Merton Model
• Chapter 19. The Greek Letters

28. Bruce Tuckman and Angel Serrat, Fixed Income Securities: Tools for Today’s Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011).
• Chapter 1. Prices, Discount Factors, and Arbitrage
• Chapter 2. Spot, Forward and Par Rates
• Chapter 3. Returns, Spreads and Yields
• Chapter 4. One-Factor Risk Metrics and Hedges
• Chapter 5. Multi-Factor Risk Metrics and Hedges

29. Aswath Damodaran, “Country Risk: Determinants, Measures and Implications - The 2017 Edition” (July 19, 2017). (Pages 1-47 only).

30. Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk (New York, NY: McGraw-Hill, 2004).
• Chapter 2. External and Internal Ratings

31. Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York, NY: John Wiley & Sons, 2002).
• Chapter 5. Capital Structure in Banks (Pages 170-186 only)

32. John C. Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015). • Chapter 23. Operational Risk

33. Stress Testing: Approaches, Methods, and Applications, Edited by Akhtar Siddique and Iftekhar Hasan (London, UK: Risk Books, 2013).
• Chapter 1. Governance over Stress Testing
• Chapter 2. Stress Testing and Other Risk Management Tools

34. “Principles for sound stress testing practices and supervision” (Basel Committee on Banking Supervision Publication, May 2009).

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