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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).

Characterizing Cycles In Elements of Forecasting.Week 4: Time Series Analysis (I) [QA-10] Francis X. 10th Edition. Chapter 1. (New York: McGraw-Hill. Week 6: Fixed Income (Introduction) [VRM-7] Bruce Tuckman. Interest Rates In Options. 2011). Stephen J. . and ARMA Models In Elements of Forecasting. [QA-15] John C. Correlations and Copulas In Risk Management and Financial Institutions. Chapter 10. Diebold. Marcus. (Hoboken. 3rd Edition. (Hoboken. [QA-11] Francis X. Diebold. Chapter 4. Goetzmann. Week 7: Portfolio Theory [FRM-10] Edwin J. and Arbitrage In Fixed Income Securities. [QA-14] John C. 2006). (New York: Pearson. 2011). Chapter 3. Hull. 3rd Edition. Discount Factors. Angel Serrat. Ohio: Cengage Learning. Hull. Futures. AR. Corporate Bonds In The Handbook of Fixed Income Securities. 3rd Edition. 2013). NJ: John Wiley & Sons. Diebold. Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators (Section 4. Gruber. Elton. The Standard Capital Asset Pricing Model In Modern Portfolio Theory and Investment Analysis. Week 5: Time Series Analysis(II). Chapter 2. 2006). Modeling and Forecasting Trend In Elements of Forecasting. Chapter 7. Spreads and Yields In Fixed Income Securities. 4th Edition. (Mason. (Mason. and Alan J. 4th Edition. 4th Edition. (New York: McGraw-Hill. (New York: John Wiley & Sons. 2012). NJ: John Wiley & Sons. Chapter 5. Ohio: Cengage Learning. 2003). [QA-12] Francis X. (Hoboken. Mortgages and Mortgage-Backed Securities In Fixed Income Securities: Tools for Today’s Markets. Alex Kane. NJ: John Wiley & Sons. [FMP-7] John C. NJ: John Wiley & Sons. Forward and Par Rates In Fixed Income Securities. Diebold. Arbitrage Pricing Theory and Multifactor Models of Risk and Return In Investments. 2006). 4th Edition. [VRM-8] Bruce Tuckman. Chapter 20. (Hoboken. 4th Edition. Applications [QA-13] Francis X. Prices. Volatility In Risk Management and Financial Institutions. Chapter 6. (Mason. 2015). Chapter 12. Chapter 8. [FRM-12] Zvi Bodie.2 only) In Portfolio Theory and Performance Analysis. Hull. Modeling and Forecasting Seasonality In Elements of Forecasting. 3rd Edition. NJ: John Wiley & Sons. 9th Edition. 4th Edition. Chapter 4. 2014). 8th Edition. and Other Derivatives. [VRM-9] Bruce Tuckman. (Hoboken. Chapter 11. Martin J. 2006). Ohio: Cengage Learning. 2017). (Mason. Ohio: Cengage Learning. Chapter 10. 2011). 2015). [FMP-19] Bruce Tuckman. 2011). 10th Edition. (West Sussex. Modeling Cycles: MA. (Hoboken. Spot. Returns. [FRM-11] Noel Amenc and Veronique Le Sourd. England: John Wiley & Sons. Brown and William N. Week 8: Investing in Bonds [FMP-18] Frank Fabozzi (editor). NJ: John Wiley & Sons.

and Other Derivatives. Week 11: Options(I): Products and Strategies [FMP-12] John C. Chapter 11. [FMP-15] Robert McDonald. [FMP-10] John C. (New York: McGraw-Hill. Forwards and their Applications [FMP-6] John C. (New York: Pearson. The Greek Letters In Options. Week 12: Options(II): Valuation and Risk Management [VRM-4] John C. Chapter 13. [FMP-9] John C. Exotic Options In Options. External and Internal Ratings In Measuring and Managing Credit Risk. 10th Edition. 2017). Chapter 3. Futures. The Black-Scholes-Merton Model In Options. 2014). Futures. Hull. Hull. Futures. 3rd Edition. Chapter 26. [VRM-6] John C. NJ: John Wiley & Sons. Chapter 2. Chapter 6. (New York: Pearson. 3rd Edition. Chapter 12. (July 19. 2017). (Cambridge. 2017). Futures. Chapter 13. (New York: Pearson. 3rd Edition. (New York: Pearson. Week 13: Financial Institutions and Risk Management . [VRM-5] John C. 10th Edition. 10th Edition. Chapter 4. Country Risk: Determinants. 10th Edition. (New York: Pearson. Hull. Hull. and Other Derivatives. Hull. and Other Derivatives. 2017). Futures. NJ: John Wiley & Sons. and Other Derivatives. 2004). 2017). Measures and Implications – The 2017 Edition. and Other Derivatives.[VRM-13] Arnaud de Servigny and Olivier Renault. 2011). Hedging Strategies Using Futures In Options. (New York: Pearson. 2017). 2017). One-Factor Risk Metrics and Hedges In Fixed Income Securities. [FMP-17] Anthony Saunders and Marcia Millon Cornett. 3rd Edition. and Other Derivatives. 2017). and Other Derivatives. 10th Edition. 10th Edition. [VRM-11] Bruce Tuckman. Binomial Trees In Options. Chapter 13. (New York: Pearson. Futures. and Other Derivatives. Chapter 6. Trading Strategies Involving Options In Options. (New York: McGraw- Hill. Futures. (Hoboken. UK: Cambridge University Press. Chapter 5. Hull. [FMP-13] John C. Simulation Methods In Introductory Econometrics for Finance. (New York: Pearson. Multi-Factor Risk Metrics and Hedges In Fixed Income Securities. (Hoboken. [VRM-12] Aswath Damodaran. Swaps In Options. (New York: Pearson. 10th Edition. [QA-16] Chris Brooks. 2017). 2011). (New York: Pearson. Interest Rate Futures In Options. and Other Derivatives. Futures. Properties of Stock Options In Options. Foreign Exchange Risk In Financial Institutions Management: A Risk Management Approach. [FMP-14] John C. Chapter 5. Hull. 2014). Chapter 15. Hull. 2013). Hull. 2017). (Boston: Addison-Wesley. 10th Edition. and Other Derivatives. Chapter 19. [FMP-8] John C. Commodity Forwards and Futures In Derivatives Markets. Determination of Forward and Futures Prices In Options. Futures. Hull. 2017). Futures. 8th Edition. Week 9: Futures. 10th Edition. Chapter 7. Week 10: Interest Rate Risk [VRM-10] Bruce Tuckman. 10th Edition.

Stress Testing and Other Risk Management Tools In Stress Testing: Approaches. Risk Management. England: John Wiley & Sons. What is ERM? In Enterprise Risk Management: From Incentives to Controls. Chapter 4. . and Applications. Stress Testing [VRM-3] Kevin Dowd. Dan Galai. 128—150. Dan Galai. Banks In Risk Management and Financial Institutions. 2015). Chapter 4. Insurance Companies and Pension Plans In Risk Management and Financial Institutions. 2015). 2nd Edition. NJ: John Wiley & Sons. Brunnermeier. [FRM-3] Michel Crouhy. [FMP-1] John C. [FRM-7] Markus K. Deciphering the Liquidity and Credit Crunch 2007—2008. [VRM-1] Linda Allen. Measures of Financial Risk In Measuring Market Risk. 2nd Edition. Governance over Stress Testing In Stress Testing: Approaches. [VRM-2] Linda Allen. 2014). Mutual Funds and Hedge Funds In Risk Management and Financial Institutions. (West Sussex. Putting VaR to Work In Understanding Market. 2014). Chapter 2. (Hoboken. and Robert Mark. 2nd Edition. FRBNY Economic Policy Review. Chapter 1. Jacob Boudoukh and Anthony Saunders. Journal of Economic Perspectives 23:1. Methods. Chapter 1. Chapter 3. and Applications. Chapter 2. [FRM-2] Michel Crouhy. 2013). [FRM-9] René Stulz. 2015). NJ: John Wiley & Sons. (New York: Wiley-Blackwell. [FRM-8] Gary Gorton and Andrew Metrick. Hull. Chapter 2. Week 14: Risk Management in Banks + Failures [FRM-6] Steve Allen. [FMP-2] John C. [VRM-17] Edited by Akhtar Siddique and Iftekhar Hasan. [FRM-4] James Lam. 2004). (New York: McGraw-Hill. 2004). Financial Disasters In Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk. (New York: McGraw-Hill. (Hoboken. 2013). Fisher College of Business Working Paper Series. Quantifying Volatility in VaR Models In Understanding Market. Chapter 2.[FRM-1] Michel Crouhy. Chapter 3. 2nd Edition. 2014). (New York: John Wiley & Sons. Chapter 4.1) In The Essentials of Risk Management. 2014). 4th Edition. Jacob Boudoukh and Anthony Saunders. [FMP-3] John C. Credit and Operational Risk: The Value at Risk Approach. Governance. Culture and Risk Taking in Banks. NJ: John Wiley & Sons. (New York: McGraw-Hill. (New York: Wiley-Blackwell. Chapter 4. [VRM-16] Edited by Akhtar Siddique and Iftekhar Hasan. 4th Edition. Risk Management Failures: What Are They and When Do They Happen?. Hull. (Hoboken. NJ: John Wiley & Sons. Credit and Operational Risk: The Value at Risk Approach. Dan Galai. Risk Management: A Helicopter View (Including Appendix 1. 4th Edition. [FRM-5] René Stulz. October 2008. Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader’s Guide. (Hoboken. Chapter 2. and Robert Mark. Journal of Economic Literature 50:1. (August 2016). 77—100. (London: Risk Books. and Robert Mark. Corporate Risk Management: A Primer In The Essentials of Risk Management. 2013). 2nd Edition. Hull. Methods. Corporate Governance and Risk Management In The Essentials of Risk Management. (London: Risk Books. 2nd Edition. 2005). Week 15: Market Risk.

Misc. NJ: John Wiley & Sons. [FRM-14] GARP Code of Conduct. [VRM-15] John C. Capital Structure in Banks (pp. . Chapter 5. Operational Risk In Risk Management and Financial Institutions. (New York: John Wiley & Sons. (Basel Committee on Banking Supervision Publication. (Hoboken. Topics [VRM-14] Gerhard Schroeck. 2015).[VRM-18] Principles for sound stress testing practices and supervision. Chapter 23. Hull. Week 16: Risk Types. 4th Edition. 2002). May 2009). (Basel Committee on Banking Supervision Publication. 170-186 only)In Risk Management and Value Creation in Financial Institutions. [FRM-13] Principles for Effective Data Aggregation and Risk Reporting. January 2013).

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