2009 FRMŽ Core Readings
Freely Available Readings
From the 2009 FRMŽ Level I Core Readings
Foundations of Risk Management
René Stulz, "Risk Management Failures: What are They and When Do They Happen?" Fisher College of Business Working Paper Series (Oct. 2008).
GARP Code of Conduct
Valuation and Risk Models
"Principles for Sound Stress Testing Practices and Supervision" (Basel Committee on Banking Supervision Publication, Jan 2009).
From the 2009 FRMŽ Level II Core Readings
Credit Risk Measurement and Management
Adam Ashcroft and Til Schuermann, "Understanding the Securitization of Subprime Mortgage Credit", Federal Reserve Bank of New York Staff Reports, no. 318 (March 2008).
Eduardo Canabarro and Darrell Duffie, "Measuring and Marking Counterparty Risk" in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003).
"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).
Operational and Integrated Risk Management
Andrew Kuritzkes, Til Schuermann and Scott M. Weiner. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates", in Brookings Wharton Papers on Financial Services Robert E. Litan and Richard Herring (eds) (Brookings Institutional Press, Washington, DC: 2003).
Brian Nocco and René Stulz, "Enterprise Risk Management: Theory and Practice", Journal of Applied Corporate Finance 18, No. 4 (2006): 8 - 20.
Falko Aue and Michael Kalkbrener, 2007, "LDA at Work", Deutsche Bank White Paper.
Til Schuermann and Andrew Kuritzkes, "What We Know, Don't Know and Can't Know About Bank Risk: A View from the Trenches".
Readings for Basel Reference
"Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version" (Basel Committee on Banking Supervision Publication, June 2006).
"An Explanatory Note on the Basel II IRB Risk Weight Functions" (Basel Committee on Banking Supervision Publication, July 2005).
"Principles for Sound Liquidity Risk Management and Supervision" (Basel Committee on Banking Supervision Publication, September 2008).
"Guidelines for Computing Capital for Incremental Risk in the Trading Book - Consultative Document" (Basel Committee on Banking Supervision Publication, January 2009)
"Revisions to the Basel II market risk framework- Consultative Document" (Basel Committee on Banking Supervision Publication, January 2009).
Risk Management and Investment Management
René Stulz, "Hedge Funds: Past, Present and Future", Fisher College of Business Working Paper No. 2007-03-003; Charles A Dice Center WP No. 2007-3.
Current Issues in Financial Markets>
Gary Gorton, "Information, Liquidity, and the (Ongoing) Panic of 2007", (January 2009).
Raghuram Rajan, "Has Financial Development Made The World Riskier?" (September 2005).
FSA, "FSA moves to enhance supervision in wake of Northern Rock: Executive Summary".
Senior Supervisory Group, "Observations on Risk Management Practices during the Recent Market Turbulence", (March 2008).
John Martin, "A Primer on the Role of Securitization in the Credit Market Crisis of 2007", (January 2009).
UBS, "Shareholder Report on UBS's Write-Downs", (April 2008).
Andrew G. Haldane, "Why Banks Failed the Stress Test", (February 2009).
Andrew Lo, "Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds", (November 2008).
|
