(Test Bank) Financial Risk Manager Handbook + Test Bank FRM Part I Part II by Philippe Jorion, GARP (Global Association of Risk Professionals)

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Test Bank for Financial Risk Manager Handbook + Test Bank FRM Part I Part II by Philippe Jorion, GARP (Global Association of Risk Professionals), The downloadable file consists of 819 pages, and the total size of the file is 3.55 MB. Purchase now only for highly discounted price.

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P1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to ComeP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Financial Risk Manager Handbook Plus Test Bank Sixth Edition iP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Founded in 1807, John Wiley & Sons is the oldest independent publishing com-pany in the United States. With offices in North America, Europe, Australia, andAsia, Wiley is globally committed to developing and marketing print and electronicproducts and services for our customers’ professional and personal knowledge andunderstanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and theirfinancial advisors. Book topics range from portfolio management to e-commerce,risk management, financial engineering, valuation, and financial instrument anal-ysis, as well as much more. For a list of available titles, visit our Web site at www.WileyFinance.com. iiP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Financial Risk Manager Handbook Plus Test Bank FRMR/circlecopyrtPart I/Part II Sixth Edition PHILIPPE JORION GARP John Wiley & Sons, Inc. iiiP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Copyright C/circlecopyrt2011 by Philippe Jorion, except for FRM sample questions, which are copyright 1997–2011 by GARP. The FRM designation is a GARP trademark. All rights reserved.Published by John Wiley & Sons, Inc., Hoboken, New Jersey.Published simultaneously in Canada.No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or byany means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted underSection 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of thePublisher, or authorization through payment of the appropriate per-copy fee to the Copyright ClearanceCenter, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the webat www.copyright.com . Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011,fax (201) 748-6008, or online at http://www.wiley.com/go/permissions.Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts inpreparing this book, they make no representations or warranties with respect to the accuracy or completenessof the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for aparticular purpose. No warranty may be created or extended by sales representatives or written sales materials.The advice and strategies contained herein may not be suitable for your situation. You should consult with aprofessional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or anyother commercial damages, including but not limited to special, incidental, consequential, or other damages.For general information on our other products and services or for technical support, please contact ourCustomer Care Department within the United States at (800) 762-2974, outside the United States at (317)572-3993 or fax (317) 572-4002.Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not beavailable in electronic books. For more information about Wiley products, visit our web site at www.wiley.com. Library of Congress Cataloging-in-Publication Data:Jorion, Philippe. Financial risk manager handbook plus test bank : FRM Part I/Part II, 6th Edition / Philippe Jorion. – 6th ed. p. cm. Includes index.ISBN 978-0-470-90401-5 (paper/online) 1. Financial risk management. 2. Risk management. 3. Corporations–Finance. I. Title. HD61.J67 2009658.15 /prime5–dc22 2010047263 Printed in the United States of America1 0987654321 ivP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Contents Preface ix About the Author xi About GARP xiii Introduction xv PART ONE Foundations of Risk Management 1 CHAPTER 1 Risk Management 3 PART TWO Quantitative Analysis 25 CHAPTER 2 Fundamentals of Probability 27 CHAPTER 3 Fundamentals of Statistics 61 CHAPTER 4 Monte Carlo Methods 83 CHAPTER 5 Modeling Risk Factors 103 PART THREE Financial Markets and Products 125 CHAPTER 6 Bond Fundamentals 127 CHAPTER 7 Introduction to Derivatives 157 CHAPTER 8 Option Markets 177 vP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come vi CONTENTS CHAPTER 9 Fixed-Income Securities 207 CHAPTER 10 Fixed-Income Derivatives 231 CHAPTER 11 Equity, Currency, and Commodity Markets 255 PART FOUR Valuation and Risk Models 281 CHAPTER 12 Introduction to Risk Models 283 CHAPTER 13 Managing Linear Risk 311 CHAPTER 14 Nonlinear (Option) Risk Models 331 PART FIVE Market Risk Management 355 CHAPTER 15 Advanced Risk Models: Univariate 357 CHAPTER 16 Advanced Risk Models: Multivariate 375 CHAPTER 17 Managing Volatility Risk 405 CHAPTER 18 Mortgage-Backed Securities Risk 427 PART SIX Credit Risk Management 449 CHAPTER 19 Introduction to Credit Risk 451 CHAPTER 20 Measuring Actuarial Default Risk 471 CHAPTER 21 Measuring Default Risk from Market Prices 501 CHAPTER 22 Credit Exposure 523P1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Contents vii CHAPTER 23 Credit Derivatives and Structured Products 555 CHAPTER 24 Managing Credit Risk 587 PART SEVEN Operational and Integrated Risk Management 611 CHAPTER 25 Operational Risk 613 CHAPTER 26 Liquidity Risk 639 CHAPTER 27 Firmwide Risk Management 657 CHAPTER 28 The Basel Accord 685 PART EIGHT Investment Risk Management 725 CHAPTER 29 Portfolio Risk Management 727 CHAPTER 30 Hedge Fund Risk Management 749 Index 779P1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come viiiP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come Preface TheFinancial Risk Manager Handbook Plus Test Bank provides the core body of knowledge for financial risk managers. Risk management has rapidly evolved over the past decade and has become an indispensable function in manyinstitutions. This Handbook was originally written to provide support for candidates tak- ing the FRM examination administered by GARP. As such, it reviews a widevariety of practical topics in a consistent and systematic fashion. It covers quan-titative methods, major financial products, as well as market, credit, operational,and integrated risk management. It also discusses investment risk managementissues essential for risk professionals. This edition has been thoroughly updated to reflect recent developments in financial markets and changes in the structure of the FRM program. The bookis now structured to correspond to the two levels of the FRM exams. All ofthe chapters have been updated to account for recent developments in financialmarkets and regulations. In particular, current issues are integrated in the secondpart of the book. New chapters have been added, including chapters that dealwith advanced univariate and multivariate models, as well as advanced optionmodels. Finally, this Handbook incorporates the latest questions from the FRM examinations. Modern risk management systems cut across the entire organization. This breadth is reflected in the subjects covered in this Handbook. The Handbook was designed to be self-contained, but only for readers who already have someexposure to financial markets. To reap maximum benefit from this book, readersideally should have taken the equivalent of an MBA-level class on investments. Finally, I want to acknowledge the help received in writing this Handbook.I n particular, I would like to thank the numerous readers who shared comments onprevious editions. Any comment or suggestion for improvement will be welcome.This feedback will help us to maintain the high quality of the FRM designation. Philippe Jorion October 2010 ixP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 22, 2010 7:55 Printer Name: Yet to Come xP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 24, 2010 0:14 Printer Name: Yet to Come About the Author Philippe Jorion is a Professor of Finance at the Paul Merage School of Business at the University of California at Irvine. He has also been a professor at ColumbiaUniversity, Northwestern University, the University of Chicago, and the Universityof British Columbia. In addition, he taught the risk management class in the Masterof Financial Engineering programs at the University of California at Berkeley andUniversity of California at Los Angeles. He holds an M.B.A. and a Ph.D. from theUniversity of Chicago and a degree in engineering from the University of Brussels. Dr. Jorion is also a managing director at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds with approximately $10 bil-lion under management. PAAMCO is one of the few funds of funds to requireposition-level transparency from all invested hedge funds. This information is usedto provide various measures of portfolio risk as well as to develop tools that helpinvestors to understand the drivers of the funds’ alpha and to detect style drift. Dr. Jorion is the author of more than 100 publications directed to academics and practitioners on the topics of risk management and international finance. Hehas also written a number of books, including Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County, the first account of the largest municipal failurein U.S. history, and Value at Risk: The New Benchmark for Managing Financial Risk, which is aimed at finance practitioners and has become an industry standard. Philippe Jorion is a frequent speaker at academic and professional conferences. He is on the editorial board of a number of finance journals and was editor inchief of the Journal of Risk . xiP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 24, 2010 0:14 Printer Name: Yet to Come xiiP1: ABC/ABC P2: c/d QC: e/f T1: gfm JWBT422-Jorion November 24, 2010 0:14 Printer Name: Yet to Come About GARP Founded in 1996, the Global Association of Risk Professionals (GARP) is theleading not-for-profit association for world-class financial risk certification, ed- ucation, and training, with close to 100,000 members representing 167 countries.With deep expertise and a strong reputation, GARP sets global standards andcreates risk management programs valued worldwide. All GARP programs aredeveloped with input from experts around the world to ensure that concepts andcontent reflect globally accepted practices. GARP is dedicated to advancing the risk profession. For more information about GARP, please visit www.garp.com. FINANCIAL RISK MANAGER (FRM R/circlecopyrt) CERTIFICATION The benchmark FRM designation is the globally accepted risk management certifi- cation for financial risk professionals. The FRM objectively measures competency in the risk management profession based on globally accepted standards. With a compound annual growth rate of 25% over the past seven years, the FRM program has experienced significant growth in every financial center around the world. Now 16,000 + individuals hold the FRM designation in over 90 coun- tries. In addition, organizations with five or more FRM registrants grew from 105 in 2003 to 424 in 2008, further demonstrating the FRM program’s global acceptance. The FRM Continuing Professional Education (CPE) program, offered exclu- sively for certified FRM holders, provides the perspective and framework needed to further develop competencies in the ever-evolving field of risk management. For more information about the FRM program, please visit www.garp.com/ frmexam. OTHER GARP CERTIFICATIONS International Certificate in Banking Risk andRegulation (ICBRR) The ICBRR allows individuals to expand their knowledge and understanding ofthe various risks, regulations, and supervisory requirements banks must face intoday’s economy, with emphasis on the Basel II Accord. This certificate is idealfor employees who are not professional risk managers but who have a strong needto understand risk concepts. The ICBRR program is designed for employees innonrisk departments such as internal audit, accounting, information technology xiii