FRM Part II Book 1: Market risk measurement and management (2014 SchweserNotes) 电子书下载

书名：FRM Part II Book 1: Market risk measurement and management (2014 SchweserNotes)

Kaplan, Inc., 2014. — 244 p. — ISBN 978-1-4754-2306-8Fifth of the eight books set designed to prepare for the GARP FRM Exam (2014 year).ContentsEstimating market risk measuresNon-Parametric approachesModeling Dependence: Correlations and CopulasParametric Approaches (II): Extreme ValueBacktesting VaRVaR MappingThe best of Both Worlds: A Hybrid Approach to Calculating Value at RiskIncorporating Volatility Updating into the Historical Simulation Method fo VaRMessages from the Academic literature on Risk management for the Trading BookLIBOR vs OIS: The Derivatives Discounting Dilemma The Science of Term structure modelThe evolution of short rates and the shape of the term structureThe art of term structure models: DriftThe art of term structure models: Volatility and distributionVolatility Smiles Exotic OptionsBasics of residential mortgage-backed securitiesOverview of mortgages and the consumer mortgage marketOverview of the mortgage-backed securities marketTechniques for valuing MBSSelf-TestPast FRM Exam questions Formulas