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FRM考试一些阅读材料

来源：高顿网校 2014-04-24

　　FRM考试的一些复习阅读材料，提供给大家，希望对大家有所帮助。

　　FRM Readings

　　1. Philippe Jorion, The Financial Risk Manager Handbook, 3rd edition (New York: Wiley, 2005)

　　2. John Hull, Options, Futures, and Other Derivatives, 6th ed. (New York: Prentice Hall, 2006)

　　3. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004)

　　4. Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000)

　　5. Anthony Saunders, Marcia Millon Cornett, Financial Institutions Management, 4th ed. (New York: McGraw-Hill, 2003)

　　6. Bruce Tuckman, Fixed Income Securities, 2nd ed. (New York: Wiley, 2002)

　　7. Hull, Options, Futures, and Other Derivatives

　　8. Jorion, Value-at-Risk

　　9. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach

　　10. Neil D. Pearson, Risk Budgeting: Portfolio Problem Solving with Value-at-Risk (New York: Wiley, 2002)

　　11. René Stulz, Risk Management & Derivatives (Mason, Ohio: South-Western, 2003)

　　12. Robert L. McDonald, Derivatives Markets, (Boston, Addison Wesley, 2003)

　　13. Amaud de Servigny, Olivier Renault, Measuring and Managing Credit Risk, (New York: Mc-Graw-Hill, 2004)

　　14. Ashish Dev, Economic Capital, (London, Risk Books, 2004)

　　15. Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (Institutional Investor Books, 2004). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　16. Gunter Meissner, Credit Derivatives, Application, Pricing and Risk Management, (Malden, MA, Blackwell Publishing, 2005)

　　17. Hull, Options, Futures and Other Derivatives

　　18. Saunders, Cornet, Financial Institutions Management

　　19. Securitizations: Moody’s Investors Services report titled “Demystifying Securitization for Unsecured Investors”. Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　20. Stulz, Risk Management & Derivatives

　　21. Christopher L. Culp, The Risk Management Process; Business Strategy and Tactics (Hoboken, John Wiley & Sons, Inc, 2001)

　　22. de Servigny, Renault, Measuring and Managing Credit Risk

　　23. Dowd, Measuring market risk.

　　24. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004)

　　25. Michael Crouhy, Dan Galai, and Robert Mark, Risk Management (New York: McGraw-Hill, 2001)

　　26. Reto Gallati, Risk Management and Capital Adequacy (New York: McGraw-Hill, 2003)

　　27. Riccardo Rebonato, Theory and Practice of Model Risk Management, Quantitative Research Centre (QUARC) of the Royal Bank of Scotland, Oxford Financial Research Centre-Oxford University. Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　28. Robert E. Litan and Richard Herring, editors, Brookings-Wharton Papers on Financial Services, (Brookings Institution Press, 2003)Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates, by Andrew Kuritzkes, Til Schuermann, and Scott M. Weiner. Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　29. Saunders, Cornett, Financial Institutions Management

　　30. Stulz, Risk Management & Derivatives

　　31. Toward Greater Financial Stability: A Private Sector Perspective, “The Report of the Counterparty Risk Management Policy Group II”, July 27, 2005. Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　32. New capital requirements for credit institutions (Basel II), Deutsche Bundesbank, Monthly Report, September 2004. Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　33. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework” (November, 2005). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　34. Overview of the Amendment to the Capital Accord to Incorporate Market Risks (January 1996). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　35. Amendment to the Capital Accord to Incorporate Market Risks (November 2005). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　36. “Supervisory Framework for the Use of ‘Backtesting’ in Conjunction with the Internal Models Approach to Market Risk Capital Requirements” (January 1996). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　37. David Hsieh and William Fung, “The Risk in Fixed-Income Hedge Fund Strategies”, Journal of Fixed Income 12 (2002): 6-27. Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org

　　38. Lars Jaeger, ed., The New Generation of Risk Management for hedge Funds and Private Equity Investments, (London: Euromoney Book, 2003)

　　39. Lars Jaeger, Through the Alpha Smoke Screens, A Guide to Hedge Fund Return Sources, (New York, Euromoney Institutional Investor, 2005)

　　40. Leo M. Tilman, ed., Asset/Liability Management of Financial Institutions, (London: Euromoney, 2003)

　　41. Leslie Rahl, risk Budgeting: A New Approach to Investing (London: Risk Books, 2000)

　　42. Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex: Wiley, 2003).

　　43. Pearson, Risk Budgeting.

　　44. Sohail Jaffer, ed., Funds of Hedge Funds (London: Euromoney Books, 2003)

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