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You are on page 1of 5

week to see the specific readings covered.

Week 1: Derivatives Markets

[FMP-4] John C. Hull, Chapter 1. Introduction In Options, Futures, and Other

Derivatives, 10th Edition, (New York: Pearson, 2017).

[FMP-5] John C. Hull, Chapter 2. Futures Markets and Central

Counterparties In Options, Futures, and Other Derivatives, 10th Edition, (New

York: Pearson, 2017).

[FMP-11] John C. Hull, Chapter 10. Mechanics of Options

Markets In Options, Futures, and Other Derivatives, 10th Edition, (New York:

Pearson, 2017).

[FMP-16] Jon Gregory, Chapter 2. Exchanges, OTC Derivatives, DPCs and

SPVs In Central Counterparties: Mandatory Clearing and Bilateral Margin

Requirements for OTC Derivatives, (New York: John Wiley & Sons, 2014).

[FMP-17] Jon Gregory, Ch3 Basic Principles of Central Clearing In Central

Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC

Derivatives, (New York: John Wiley & Sons, 2014).

[FMP-18] Jon Gregory, Ch14(section 14.4 only). Risks Caused by CCPs:

Risks Faced by CCPs In Central Counterparties: Mandatory Clearing and

Bilateral Margin Requirements for OTC Derivatives, (New York: John Wiley &

Sons, 2014).

Week 2: Probability and Statistics

[QA-1] Michael Miller, Chapter 2. Probabilities In Mathematics and Statistics

for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons,

2013).

[QA-2] Michael Miller, Chapter 3. Basic Statistics In Mathematics and

Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley

& Sons, 2013).

[QA-3] Michael Miller, Chapter 4. Distributions In Mathematics and Statistics

for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons,

2013).

[QA-4] Michael Miller, Chapter 6. Bayesian Analysis (pp. 113-124

only) In Mathematics and Statistics for Financial Risk Management, 2nd

Edition, (Hoboken, NJ: John Wiley & Sons, 2013).

Week 3: Linear Regression

[QA-5] Michael Miller, Chapter 7. Hypothesis Testing and Confidence

Intervals In Mathematics and Statistics for Financial Risk Management, 2nd

Edition, (Hoboken, NJ: John Wiley & Sons, 2013).

[QA-6] James Stock and Mark Watson, Chapter 4. Linear Regression with

One Regressor In Introduction to Econometrics, Brief Edition, (Boston:

Pearson, 2008).

[QA-7] James Stock and Mark Watson, Chapter 5. Regression with a Single

Regressor In Introduction to Econometrics, Brief Edition, (Boston: Pearson,

2008).

[QA-8] James Stock and Mark Watson, Chapter 6. Linear Regression with

Multiple Regressors In Introduction to Econometrics, Brief Edition, (Boston:

Pearson, 2008).

[QA-9] James Stock and Mark Watson, Chapter 7. Hypothesis Tests and

Confidence Intervals in Multiple Regression In Introduction to

Econometrics, Brief Edition, (Boston: Pearson, 2008).

Week 4: Time Series Analysis (I)

[QA-10] Francis X. Diebold, Chapter 5. Modeling and Forecasting

Trend In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning,

2006).

[QA-11] Francis X. Diebold, Chapter 6. Modeling and Forecasting

Seasonality In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage

Learning, 2006).

[QA-12] Francis X. Diebold, Chapter 7. Characterizing Cycles In Elements of

Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning, 2006).

Week 5: Time Series Analysis(II), Applications

[QA-13] Francis X. Diebold, Chapter 8. Modeling Cycles: MA, AR, and

ARMA Models In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage

Learning, 2006).

[QA-14] John C. Hull, Chapter 10. Volatility In Risk Management and Financial

Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015).

[QA-15] John C. Hull, Chapter 11. Correlations and Copulas In Risk

Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley &

Sons, 2015).

Week 6: Fixed Income (Introduction)

[VRM-7] Bruce Tuckman, Chapter 1. Prices, Discount Factors, and

Arbitrage In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley &

Sons, 2011).

[VRM-8] Bruce Tuckman, Chapter 2. Spot, Forward and Par Rates In Fixed

Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).

[VRM-9] Bruce Tuckman, Chapter 3. Returns, Spreads and Yields In Fixed

Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011).

[FMP-7] John C. Hull, Chapter 4. Interest Rates In Options, Futures, and

Other Derivatives, 10th Edition, (New York: Pearson, 2017).

Week 7: Portfolio Theory

[FRM-10] Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N.

Goetzmann, The Standard Capital Asset Pricing Model In Modern Portfolio

Theory and Investment Analysis, 9th Edition, (Hoboken, NJ: John Wiley & Sons,

2014).

[FRM-11] Noel Amenc and Veronique Le Sourd, Chapter 4. Applying the

CAPM to Performance Measurement: Single-Index Performance

Measurement Indicators (Section 4.2 only) In Portfolio Theory and

Performance Analysis, (West Sussex, England: John Wiley & Sons, 2003).

[FRM-12] Zvi Bodie, Alex Kane, and Alan J. Marcus, Chapter 10. Arbitrage

Pricing Theory and Multifactor Models of Risk and

Return In Investments, 10th Edition, (New York: McGraw-Hill, 2013).

Week 8: Investing in Bonds

[FMP-18] Frank Fabozzi (editor), Chapter 12. Corporate Bonds In The

Handbook of Fixed Income Securities, 8th Edition, (New York: McGraw-Hill,

2012).

[FMP-19] Bruce Tuckman, Angel Serrat, Chapter 20. Mortgages and

Mortgage-Backed Securities In Fixed Income Securities: Tools for Today’s

Markets, 3rd Edition, (New York: John Wiley & Sons, 2011).

[VRM-13] Arnaud de Servigny and Olivier Renault, Chapter 2. External and

Internal Ratings In Measuring and Managing Credit Risk, (New York: McGraw-

Hill, 2004).

[VRM-12] Aswath Damodaran, Country Risk: Determinants, Measures and

Implications – The 2017 Edition, (July 19, 2017).

Week 9: Futures, Forwards and their Applications

[FMP-6] John C. Hull, Chapter 3. Hedging Strategies Using

Futures In Options, Futures, and Other Derivatives, 10th Edition, (New York:

Pearson, 2017).

[FMP-8] John C. Hull, Chapter 5. Determination of Forward and Futures

Prices In Options, Futures, and Other Derivatives, 10th Edition, (New York:

Pearson, 2017).

[FMP-15] Robert McDonald, Chapter 6. Commodity Forwards and

Futures In Derivatives Markets, 3rd Edition, (Boston: Addison-Wesley, 2013).

[FMP-17] Anthony Saunders and Marcia Millon Cornett, Chapter 13. Foreign

Exchange Risk In Financial Institutions Management: A Risk Management

Approach, 8th Edition, (New York: McGraw-Hill, 2014).

Week 10: Interest Rate Risk

[VRM-10] Bruce Tuckman, Chapter 4. One-Factor Risk Metrics and

Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley &

Sons, 2011).

[FMP-9] John C. Hull, Chapter 6. Interest Rate Futures In Options, Futures,

and Other Derivatives, 10th Edition, (New York: Pearson, 2017).

[FMP-10] John C. Hull, Chapter 7. Swaps In Options, Futures, and Other

Derivatives, 10th Edition, (New York: Pearson, 2017).

[VRM-11] Bruce Tuckman, Chapter 5. Multi-Factor Risk Metrics and

Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley &

Sons, 2011).

Week 11: Options(I): Products and Strategies

[FMP-12] John C. Hull, Chapter 11. Properties of Stock Options In Options,

Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017).

[FMP-13] John C. Hull, Chapter 12. Trading Strategies Involving

Options In Options, Futures, and Other Derivatives, 10th Edition, (New York:

Pearson, 2017).

[FMP-14] John C. Hull, Chapter 26. Exotic Options In Options, Futures, and

Other Derivatives, 10th Edition, (New York: Pearson, 2017).

Week 12: Options(II): Valuation and Risk Management

[VRM-4] John C. Hull, Chapter 13. Binomial Trees In Options, Futures, and

Other Derivatives, 10th Edition, (New York: Pearson, 2017).

[VRM-5] John C. Hull, Chapter 15. The Black-Scholes-Merton

Model In Options, Futures, and Other Derivatives, 10th Edition, (New York:

Pearson, 2017).

[VRM-6] John C. Hull, Chapter 19. The Greek Letters In Options, Futures, and

Other Derivatives, 10th Edition, (New York: Pearson, 2017).

[QA-16] Chris Brooks, Chapter 13. Simulation Methods In Introductory

Econometrics for Finance, 3rd Edition, (Cambridge, UK: Cambridge University

Press, 2014).

Week 13: Financial Institutions and Risk Management

[FRM-1] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 1. Risk

Management: A Helicopter View (Including Appendix 1.1) In The

Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014).

[FRM-2] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 2. Corporate

Risk Management: A Primer In The Essentials of Risk Management, 2nd

Edition, (New York: McGraw-Hill, 2014).

[FRM-4] James Lam, Chapter 4. What is ERM? In Enterprise Risk

Management: From Incentives to Controls, 2nd Edition, (Hoboken, NJ: John

Wiley & Sons, 2014).

[FMP-1] John C. Hull, Chapter 2. Banks In Risk Management and Financial

Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015).

[FMP-2] John C. Hull, Chapter 3. Insurance Companies and Pension

Plans In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ:

John Wiley & Sons, 2015).

[FMP-3] John C. Hull, Chapter 4. Mutual Funds and Hedge Funds In Risk

Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley &

Sons, 2015).

Week 14: Risk Management in Banks + Failures

[FRM-6] Steve Allen, Chapter 4. Financial Disasters In Financial Risk

Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd

Edition, (New York: John Wiley & Sons, 2013).

[FRM-7] Markus K. Brunnermeier, Deciphering the Liquidity and Credit

Crunch 2007—2008, Journal of Economic Perspectives 23:1, 77—100.

[FRM-8] Gary Gorton and Andrew Metrick, Getting Up to Speed on the

Financial Crisis: A One-Weekend-Reader’s Guide, Journal of Economic

Literature 50:1, 128—150.

[FRM-9] René Stulz, Risk Management Failures: What Are They and When

Do They Happen?, Fisher College of Business Working Paper Series, October

2008.

[FRM-5] René Stulz, Risk Management, Governance, Culture and Risk

Taking in Banks, FRBNY Economic Policy Review, (August 2016).

[FRM-3] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 4. Corporate

Governance and Risk Management In The Essentials of Risk Management,

2nd Edition, (New York: McGraw-Hill, 2014).

Week 15: Market Risk, Stress Testing

[VRM-3] Kevin Dowd, Chapter 2. Measures of Financial Risk In Measuring

Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005).

[VRM-1] Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 2.

Quantifying Volatility in VaR Models In Understanding Market, Credit and

Operational Risk: The Value at Risk Approach, (New York: Wiley-Blackwell,

2004).

[VRM-2] Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 3.

Putting VaR to Work In Understanding Market, Credit and Operational Risk:

The Value at Risk Approach, (New York: Wiley-Blackwell, 2004).

[VRM-16] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 1.

Governance over Stress Testing In Stress Testing: Approaches, Methods,

and Applications, (London: Risk Books, 2013).

[VRM-17] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 2. Stress

Testing and Other Risk Management Tools In Stress Testing: Approaches,

Methods, and Applications, (London: Risk Books, 2013).

[VRM-18] Principles for sound stress testing practices and supervision,

(Basel Committee on Banking Supervision Publication, May 2009).

Week 16: Risk Types, Misc. Topics

[VRM-14] Gerhard Schroeck, Chapter 5. Capital Structure in Banks (pp.

170-186 only)In Risk Management and Value Creation in Financial Institutions,

(New York: John Wiley & Sons, 2002).

[VRM-15] John C. Hull, Chapter 23. Operational Risk In Risk Management

and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015).

[FRM-13] Principles for Effective Data Aggregation and Risk Reporting,

(Basel Committee on Banking Supervision Publication, January 2013).

[FRM-14] GARP Code of Conduct.

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