What's new

FRM P2.T5. Market Risk

Part 2, Topic 5 is Market Risk. Exam weight = 25%. Topics include: VaR and other risk measures (Parametric and non-parametric methods of estimation, VaR mapping, Backtesting VaR, Expected shortfall (ES) and other coherent risk measures, Extreme value theory EVT), Modeling dependence (Correlations and copulas), Term structure models of interest rates, Discount rate selection and Volatility (Smiles and term structures)
Veronesi, Fixed Income Securities Nicole Seaman
Valuation, Risk and Risk Management (2011)
4.50 star(s) 2 ratings
Downloads
135
Updated
Market Risk Analysis, Value at Risk Models (Volume IV) Nicole Seaman
5.00 star(s) 1 ratings
Downloads
190
Updated
Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments (Volume III) Nicole Seaman
5.00 star(s) 1 ratings
Downloads
161
Updated
Market Risk Analysis, Practical Financial Econometrics (Volume II) Nicole Seaman
5.00 star(s) 2 ratings
Downloads
164
Updated
Market Risk Analysis, Quantitative Methods in Finance (Volume I) Nicole Seaman
5.00 star(s) 1 ratings
Downloads
150
Updated
Kevin Dowd: Measuring Market Risk Nicole Seaman
5.00 star(s) 1 ratings
Downloads
198
Updated
Link to dropbox folder (careful, almost 10 MB)
5.00 star(s) 1 ratings
Downloads
169
Updated
Solutions in Correlation Risk Modeling and Management
5.00 star(s) 1 ratings
Downloads
137
Updated
Jorion, Value at Risk (VaR), 3rd Edition David Harper CFA FRM
End-of-chapter solutions to Jorion's VaR (3rd) Edition which is a classic in the FRM syllabus
0.00 star(s) 0 ratings
Downloads
215
Updated
Top