Frm Part Ii Book 1: Market Risk Measurement And Management (2014 Schwesernotes)
E-Book Overview
Kaplan, Inc., 2014. — 244 p. — ISBN 978-1-4754-2306-8
Fifth of the eight books set designed to prepare for the GARP FRM Exam (2014 year).Contents Estimating market risk measures Non-Parametric approaches Modeling Dependence: Correlations and Copulas Parametric Approaches (II): Extreme Value Backtesting VaR VaR Mapping The best of Both Worlds: A Hybrid Approach to Calculating Value at Risk Incorporating Volatility Updating into the Historical Simulation Method fo VaR Messages from the Academic literature on Risk management for the Trading Book LIBOR vs OIS: The Derivatives Discounting Dilemma The Science of Term structure model The evolution of short rates and the shape of the term structure The art of term structure models: Drift The art of term structure models: Volatility and distribution Volatility Smiles Exotic Options Basics of residential mortgage-backed securities Overview of mortgages and the consumer mortgage market Overview of the mortgage-backed securities market Techniques for valuing MBS Self-Test Past FRM Exam questions Formulas
E-Book Information
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Pages In File: 273
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Language: English
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Topic: 6
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Library: twirpx
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Commentary: 1,641,600
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Org File Size: 122,303,247
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Extension: pdf
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Бизнес курс FRM