The essential reference for financial risk management Filled with in-depth insights and practical advice, the Financial Risk Manager Handbook is the core text for risk management training programs worldwide. Presented in a clear and consistent fashion, this completely updated Sixth Edition, mirrors recent updates to the new two-level Financial Risk Manager (FRM) exam, and is fully supported by GARP as the trusted way to prepare for the rigorous and renowned FRM certification. This valuable new edition includes an exclusive collection of interactive multiple-choice questions from recent FRM exams. Financial Risk Manager Handbook, Sixth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) annual FRM exam and prepares you to assess and control risk in today's rapidly changing financial world. Authored by renowned risk management expert Philippe Jorion, with the full support of GARP, this definitive guide summarizes the core body of knowledge for financial risk managers. Offers valuable insights on managing market, credit, operational, and liquidity risk Examines the importance of structured products, futures, options, and other derivative instruments Contains new material on extreme value theory, techniques in operational risk management, and corporate risk management Financial Risk Manager Handbook is the most comprehensive guide on this subject, and will help you stay current on best practices in this evolving field. The FRM Handbook is the official reference book for GARP's FRM certification program.

The essential reference for financial risk managementFilled with in-depth insights and practical advice, theFinancial Risk Manager Handbook is the core text for riskmanagement training programs worldwide. Presented in a clear andconsistent fashion, this completely updated Sixth Edition, mirrorsrecent updates to the new two-level Financial Risk Manager (FRM)exam, and is fully supported by GARP as the trusted way to preparefor the rigorous and renowned FRM certification. This valuable newedition includes an exclusive collection of interactivemultiple-choice questions from recent FRM exams.Financial Risk Manager Handbook, Sixth Edition supportscandidates studying for the Global Association of RiskProfessional's (GARP) annual FRM exam and prepares you to assessand control risk in today's rapidly changing financial world.Authored by renowned risk management expert Philippe Jorion, withthe full support of GARP, this definitive guide summarizes the corebody of knowledge for financial risk managers.* Offers valuable insights on managing market, creditoperational, and liquidity risk* Examines the importance of structured products, futuresoptions, and other derivative instruments* Contains new material on extreme value theory, techniques inoperational risk management, and corporate risk managementFinancial Risk Manager Handbook is the most comprehensiveguide on this subject, and will help you stay current on bestpractices in this evolving field. The FRM Handbook is theofficial reference book for GARP's FRM certification program.

Preface ixAbout the Author xiAbout GARP xiiiIntroduction xvPart One Foundations of Risk Management 1Chapter 1 Risk Management 3Part Two Quantitative Analysis 25Chapter 2 Fundamentals of Probability 27Chapter 3 Fundamentals of Statistics 61Chapter 4 Monte Carlo Methods 83Chapter 5 Modeling Risk Factors 103Part Three Financial Markets and Products 125Chapter 6 Bond Fundamentals 127Chapter 7 Introduction to Derivatives 157Chapter 8 Option Markets 177Chapter 9 Fixed-Income Securities 207Chapter 10 Fixed-Income Derivatives 231Chapter 11 Equity, Currency, and Commodity Markets 255Part Four Valuation and Risk Models 281Chapter 12 Introduction to Risk Models 283Chapter 13 Managing Linear Risk 311Chapter 14 Nonlinear (Option) Risk Models 331Part Five Market Risk Management 355Chapter 15 Advanced Risk Models: Univariate 357Chapter 16 Advanced Risk Models: Multivariate 375Chapter 17 Managing Volatility Risk 405Chapter 18 Mortgage-Backed Securities Risk 427Part Six Credit Risk Management 449Chapter 19 Introduction to Credit Risk 451Chapter 20 Measuring Actuarial Default Risk 471Chapter 21 Measuring Default Risk from Market Prices 501Chapter 22 Credit Exposure 523Chapter 23 Credit Derivatives and Structured Products 555Chapter 24 Managing Credit Risk 587Part Seven Operational and Integrated Risk Management 611Chapter 25 Operational Risk 613Chapter 26 Liquidity Risk 639Chapter 27 Firmwide Risk Management 657Chapter 28 The Basel Accord 685Part Eight Investment Risk Management 725Chapter 29 Portfolio Risk Management 727Chapter 30 Hedge Fund Risk Management 749Index 779