Financial risk manager FRM part II : market risk measurement and management.

Estimating market risk measures -- non-parametric approaches -- Appendix - modeling dependence : correlations and copulas -- Parametric approaches (II) : extreme value -- Backtesting VAR -- VAR mapping -- The best of both worlds -- Incorporating volatility updating into the historical simulation method for value-at-risk -- Messages from the academic literature on risk management for the trading book -- LIBOR vs. OIS : the derivatives discounting dilemma -- The science of term structure models -- The evolution of the short rates and the shape of the term structure -- The art of term structure models : drift -- The art of term structure models : volatility and distribution -- volatility smiles -- Exotic options -- Basic of residential mortgage backed securities -- Overview of mortgages and the consumer mortgage market -- Overview of the mortgage-backed securities market -- Techniques for valuing MBS.