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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)
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Market Risk Analysis, Value at Risk Models (Volume IV) Nicole Seaman
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192
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Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments (Volume III) Nicole Seaman
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163
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Market Risk Analysis, Practical Financial Econometrics (Volume II) Nicole Seaman
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167
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Market Risk Analysis, Quantitative Methods in Finance (Volume I) Nicole Seaman
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152
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Kevin Dowd: Measuring Market Risk Nicole Seaman
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201
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Link to dropbox folder (careful, almost 10 MB)
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172
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Solutions in Correlation Risk Modeling and Management
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138
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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
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