FRM Part II Book 1: Market risk measurement and management (2015 SchweserNotes)
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FRM Part II Book 1: Market risk measurement and management (2015 SchweserNotes) 电子书下载

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书名：FRM Part II Book 1: Market risk measurement and management (2015 SchweserNotes)

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Kaplan, Inc., 2015. — 236 p. — ISBN 978-1-4754-3112-4.Fifth of the eight books set designed to prepare for the GARP FRM Exam (2014 year).Contents.Estimating Market Risk Measures.Non-parametric Approaches.Parametric Approaches (II): Extreme Value.Backtesting VaR.VaR Mapping.Messages from the Academic Literature on Risk Measurement for the Trading Book.Some Correlation Basics: Properties, Motivation, Terminology.Empirical Properties of Correlation: How Do Correlation Behave in the Real World?Statistical Correlation Models - Can We Apply Them to Finance?Financial Correlation Modeling - Bottom-Up Approaches.Empirical Approaches to Risk Metrics and Hedging.The Science of Term Structure Models.The Evolution of Short Rates and the Shape of the Term Structure.The Art of Term Structure Models: Drift.The Art of Term Structure Models: Volatility and Distribution.OIS Discounting, Credit Issues, and Funding Costs.Volatility Smiles.

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FRM Part II Book Market risk measurement management 2015 SchweserNotes

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