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Books List For FRM

This document outlines the topics and recommended reading for an exam that is divided into four sections worth different percentages of the total grade: - Foundations of risk management (20%)- Includes introductory textbooks on risk management, enterprise risk management, and investments. - Quantitative analysis (20%)- Focuses on textbooks related to mathematics, statistics, econometrics and financial modeling. - Financial markets and products (30%)- Covers materials on futures, derivatives, fixed income securities, and credit risk management. - Valuation and risk models (30%)- Recommends books on value at risk models, market risk measurement, and risk management practices.

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341 views2 pages

Books List For FRM

This document outlines the topics and recommended reading for an exam that is divided into four sections worth different percentages of the total grade: - Foundations of risk management (20%)- Includes introductory textbooks on risk management, enterprise risk management, and investments. - Quantitative analysis (20%)- Focuses on textbooks related to mathematics, statistics, econometrics and financial modeling. - Financial markets and products (30%)- Covers materials on futures, derivatives, fixed income securities, and credit risk management. - Valuation and risk models (30%)- Recommends books on value at risk models, market risk measurement, and risk management practices.

Uploaded by

anshulkulsh
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Foundations OF risk management (FRM)20%

1. Michel Crouhy, dan Galai, and Robert Mark, The Essentials of Risk Management, 2nd
Edition (new York: McGraw-Hill, 2014).
2. James Lam, Enterprise Risk Management: From Incentives to Controls, 2nd Edition
(Hoboken, nJ: John Wiley & Sons, 2014).
3. John Hull, Risk Management and Financial Institutions, 3rd Edition (new York: John
Wiley & Sons, 2012).
4. Edwin J. elton, Martin J. Gruber, Stephen J. Brown and William n. Goetzmann, Modern
Portfolio Theory and Investment Analysis, 9th Edition (Hoboken, nJ: John Wiley & Sons,
2014).
5. Noel Amenc and veronique Le Sourd, Portfolio Theory and Performance Analysis
(West Sussex, england: John Wiley & Sons, 2003).
6. Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, 10th Edition (new York: McGraw-
Hill, 2013).

Quantitative analysis (QA)20%

1. Michael Miller, Mathematics and Statistics for Financial Risk Management, 2nd Edition
(Hoboken, nJ: John Wiley & Sons, 2013).
2. James Stock and Mark Watson, Introduction to Econometrics, Brief Edition (Boston:
Pearson education, 2008).
3. Francis x. diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning,
2006).
4. Dessislava Pachamanova and Frank Fabozzi, Simulation and Optimization in Finance
(Hoboken, nJ: John Wiley & Sons, 2010).

Financial markets And products (FMP)30%

1. The Institute for Financial Markets, Futures and Options (Washington, dC: The institute
for Financial Markets, 2011).
2. Robert Mcdonald, Derivatives Markets, 3rd Edition (Boston: Addison-Wesley, 2013).
3. Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk
Management Approach, 8th Edition (new York: McGraw-Hill, 2014).
4. Frank Fabozzi (editor), The Handbook of Fixed Income Securities, 8th Edition (new York:
McGraw-Hill, 2012).
5. Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Todays Markets, 3rd
Edition (new York: John Wiley & Sons, 2011).
6. John B. Caouette, edward i. Altman, Paul narayanan, and Robert W.J. nimmo, Managing
Credit Risk, 2nd Edition (new York: John Wiley & Sons, 2008).
Valuation And risk models (VRM)30%

1. Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and
Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing, 2004).
2. Kevin dowd, Measuring Market Risk, 2nd Edition (West Sussex, england: John Wiley &
Sons, 2005).
3. Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd
Edition (new York: McGraw Hill, 2007).
4. Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, nJ: John Wiley & Sons,
2011).
5. Daniel Wagner, Managing Country Risk: A Practitioners Guide to Eective Cross-Border
Risk Analysis (Boca Raton, FL: Taylor & Francis Group, 2012).
6. Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk (new York:
McGraw-Hill, 2004).
7. Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (new
York: John Wiley & Sons, 2002).

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