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Foundations of Risk Management

The role of risk management
Basic risk types, measurement and management tools
Creating value with risk management
Modern Portfolio Theory (MPT)
Standard and non-standard forms of the Capital Asset Pricing Model (CAPM)
Single and multi-index models and the Arbitrage Pricing Theory (APT)
Risk-adjusted performance measurement
Enterprise Risk Management
Financial disasters and risk management failures
Case studies
Ethics and the GARP Code of Conduct

S.No.
1

5
6

7
8

Writer
Philippe Jorion,

Rene Stulz,

Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann,

Noel Amenc and Veronique Le Sourd,

Casualty Actuarial Society,

Steve Allen, (New York: John Wiley & Sons, 2003).

Rene Stulz, Risk Management Failures: What are They and When Do They Happen? Fisher College of Business Working
GARP Code of Conduct (available on GARP website)

Readings
Book
Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition
Risk Management & Derivatives

Modern Portfolio Theory and Investment Analysis,

Portfolio Theory and Performance Analysis

Enterprise Risk Management Committee

Financial Risk Management: A Practitioners Guide to Managing Market and Credit Risk

Chapters

Chapter Name
The need for Risk Management
Creating Value with Risk Management

Delineating Efficient Portfolios

The Standard Capital Asset Pricing Model
Nonstandard Forms of Capital Asset Pricing Models
The Arbitrage Pricing Model APTA New Approach to Explaining Asset Prices

Applying the CAPM to Performance Measurement: Single-Index Performance Measurement

Overview of Enterprise Risk Management

Financial Disasters

aining Asset Prices

ndex Performance Measurement Indicators