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Financial risk manager (FRM) part I : valuation and risk management.
Material type:
TextPublication details: Boston, MA : Pearson Learning Solutions, 2012.Edition: 2nd Custom EditionDescription: ix, 301 p. ; 28 cmISBN: - 9781256406747
Contents:
Putting Var to work -- Extending the VAR approach to operational risks -- Binomial trees -- The Black-Scholes-Merton model -- The Greek letters -- Bond prices, discount factors, and arbitrage -- Bond prices, spot rates, and forward rates -- Yield-to-maturity -- One-factor measures of price sensitivity -- The rating agencies -- Country risk models -- External and internal ratings -- Loan portfolios and expected loss -- Unexpected loss -- Measures of financial risk -- Operational risk -- Stress testing -- Principles for sound stress testing practices and supervision.
| Item type | Current library | Call number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|
| Books | Main-Graduate School Library General Circulation | 332.6457 G562v (Browse shelf(Opens below)) | Available | 3BPSU00042912T |
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Putting Var to work -- Extending the VAR approach to operational risks -- Binomial trees -- The Black-Scholes-Merton model -- The Greek letters -- Bond prices, discount factors, and arbitrage -- Bond prices, spot rates, and forward rates -- Yield-to-maturity -- One-factor measures of price sensitivity -- The rating agencies -- Country risk models -- External and internal ratings -- Loan portfolios and expected loss -- Unexpected loss -- Measures of financial risk -- Operational risk -- Stress testing -- Principles for sound stress testing practices and supervision.
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