FRM Free Core Readings 14章下载

FRM Free Core Readings 14章下载

Free Core Readings
Credit Risk Measurement and Management
(1) Adam Ashcroft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit”, 2007.
(2) Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003).
Operational and Integrated Risk Management/Basel Reference Readings
(3) Andrew Kuritzkes, Til Schuermann and Scott M. Weiner. “Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates.” Brookings-Wharton Papers on Financial Services: 2003. Ed. Robert E. Litan and Richard Herring. Washington D.C.: Brookings Institutional Press, 2003.
(4) Brian W. Nocco and René M. Stulz, 2006, “Enterprise Risk Management: Theory and Practice,” Journal of Applied Corporate Finance 18 (4), 8 – 20.
(5) Counterparty Risk Management Policy Group II, July 2005. “Toward Greater Financial Stability: A Private Sector Perspective. The Report of the Counterparty Risk Management Policy Group II.”
(6) Falko Aue and Michael Kalkbrener, 2007, “LDA at Work”, Deutsche Bank White Paper.
(7) Klaus Boecker and Claudia Kluppelberg, 2007,“Operational VaR: a Closed-Form Approximation.”
Corel Basel Reference Readings
(8) “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version” (Basel Committee on Banking Supervision Publication, June 2006).
(9) “Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project” (Basel Committee on Banking Supervision Publication, November 2006).
(10) “An Explanatory Note on the Basel II IRB Risk Weight Functions” (Basel Committee on Banking Supervision Publication, July 2005).
Risk Management and Investment Management
(11) President’s Working Group on Financial Markets, “Agreement among PWG and U.S. Agency Principals on Principles and Guidelines Regarding Private Pools of Capital,” February 2007.
(12) Stulz, René M., “Hedge Funds: Past, Present and Future.” Fisher College of Business Working Paper No. 2007-03-003.
(13) Jasmina Hasanhodzicy and Andrew Lo, "Can Hedge-Fund Returns be Replicated?: The Linear Case".
(14)Amir E. Khandani and Andrew Lo, "What happened to the Quants in August 2007?" (Nov. 4, 2007).