MARKET RISK CORE READINGS FRM Part II

Hull, Options, Futures, and Other Derivatives, 8th Edition.

1. Chapter 19............................Volatility Smiles ............................................................................................................................1
2.Chapter 25...........................Exotic Options..............................................................................................................................16
Tuckman, Fixed Income Securities, 3rd Edition.
3. Chapter 7 .............................The Science of Term Structure Models.......................................................................................38
4. Chapter 8 .............................The Evolution of Short Rates and the Shape of the Term Structure............................................60
5. Chapter 9 .............................The Art of Term Structure Models: Drift.......................................................................................85
6. Chapter 10 ...........................The Art of Term Structure Models: Volatility and Distribution.....................................................111
Pietro Veronesi, Fixed Income Securities (Hoboken, NJ: John Wiley & Sons, 2010).
7. Chapter 8 .............................Basics of Residential Mortgage Backed Securities....................................................................NA
Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition.
8. Chapter 6 .............................Backtesting VaR........................................................................................................................125
9. Chapter 11 ............................VaR Mapping............................................................................................................................146
Kevin Dowd, Measuring Market Risk, 2nd Edition.
10. Chapter 3 .............................Estimating Market Risk Measures...........................................................................................177
11. Chapter 4.............................Non-parametric Approaches.....................................................................................................206
12. Chapter 5..........................AppendixModeling Dependence: Correlations and Copulas...................................................267
13. Chapter 7 .............................Parametric Approaches (II): Extreme Value............................................................................273
Frank Fabozzi, Anand Bhattacharya, William Berliner, Mortgage-Backed Securities, 3rd Edition
(Hoboken, NJ: John Wiley & Sons, 2011).
14. Chapter 1 ..............................Overview of Mortgages and the Consumer Mortgage Market................................................293
15. Chapter 2 ..........................Overview of the Mortgage-Backed Securities Market.................................................................311
16. Chapter 10 ........................Techniques for Valuing MBS.......................................................................................................334
17. Messages from the Academic Literature on Risk Measurement for the Trading Book,
Basel Committee on Banking Supervision, Working Paper, No. 19, Jan 2011.................................................................353
Freely available on the GARP Digital Library.