Books helpful for FRM

[ShaktiRathore]

I am posting the links for the books that can come handy in your preparation to FRM. You can also refer to them during your risk career after earning the frm designation: here is the list of books that can come handy i found on the net: please refer to the following links
http://www.risk256.com/writing/?gclid=CMzmrLzA57ECFc166wodsT8AsQ
http://www.goodreads.com/shelf/show/frm-exam
http://riskbooks.com/
http://www.amazon.com/GARP-FRM-Books/lm/R1ECK2B4EVRZ0
http://www.elitebook.net/frm.asp

thanks

 

[ShaktiRathore]

Its better to read and follow one or two books. Instead following many books at one i think following just one or two books is enough. Nevertheless following many books just for reference is OK but reading thoroughly only one or two books and following them religiously is the main point i want to make it clear.
I think it is nice to read ppts before and after reading the book so that the concepts can get clearified easily.
Its even better to do end of chapter exercises.
These are my personal views.
thanks

 

[Jas]

What book do you recommend for a general overview of Risk Management - not from the FRM exam point of view - but generally to keep in touch and keep fresh.

I had two books in mind... what is your opinion regarding these? Is there any other book that you would rather suggest?

1. Risk Mgmt and Financial Institutions 3E- John Hull
2. Financial Institutions Mgmt 7E - Saunders & Cornett

 

[Suzanne Evans]

FeRMioN,

Even though this is coming from a FRM perspective (which isn't what you are looking for exactly) I would have to agree with your Hull perspective as Hull is one of the major sections of the FRM. If I am correct, the Hull book that is covered in 7/9 topics is the following:

• Options, Futures & Other Derivatives, 8th Edition

I hope that helps!

Thanks,
Suzanne

 

[Jas]

Thanks @Suzanne
The HULL OFOD book is well known and as close to a "best" in derivatives as we can get. I have accumulated 3 copies of different editions over the years.

However, OFOD is concentrated only on derivatives and its coverage of Risk Management in General and of other aspects of Market Risk and Credit Risk is very limited. Financial Institutions risk perspective is totally lacking. Same author, John Hull, has another book that caters to this need - Risk Mgmt and Financial Institutions now in 3rd edition. Of the very limited reading that I have given to the book (online), it appears to be an excellent (though not in detail) text on many aspects of Risk Management including the current topics. It may prove to a heaven for anyone preparing for a Risk Management interview.

I bought the Saunders Cornett book (maybe because it was affordable) and find is also good.

Perhaps someone can suggest the best of these or other such texts.

 

[ShaktiRathore]

John C Hull's OF&OD covers the general basic concepts of risk very well. I think its an excellent book for practitioners as well as students. If someone wants to solidify his or her concepts in risk than one should choose this particular book.As far as covering market risk areas one can look to Jorion for market risk. As far as credit risk is concerned it is better to look for other better books like Credit Risk: Pricing, Measurement, and Management.
Its better to research more into the best books available for each of the risk area via operational,market , credit and investment risk and read all the best books in each area and than follow the book you liked the most or is easier for you to follow and than follow it religiously for the rest of your career. I think this would be the best strategy to go about following and reading the books in risk management.
Fore.g. if you are in market risk or interested in it than first read all the best available books in the area of market risk and than follow the book you liked the most or is suited to you and throw the rest of the books. In this way you would be able to focus and concentrate better and save your energy and gain better understanding of the book you liked. So in the end its better to follow one book rather than in the end getting confused between two or three books.

thanks

 

[freddel02]

Do you know if Jorion plan to publish an updated version of its Value At Risk book? I mean a post credit crush crises with models that take into consideration the liquidity risk?

Thanks

 

[1.645SD]

Fixed Income Securities: Tools for Today's Markets Bruce Tuckman

 

[Aleksander Hansen]

Risk and Asset Allocation
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
Implementing Models in Quantitative Finance

 

[varun34by02]

The best and the most important book from FRM perspective - http://www.garpdigitallibrary.org/display/frmhandbook.asp

 

[Aleksander Hansen]

The best and the most important book from FRM perspective - http://www.garpdigitallibrary.org/display/frmhandbook.asp

I would argue that Hull's OF&OD easily trumps this one in depth.
Jorion's handbook (or cash-cow) is more of a reference. I have it on my desk right on front of me, same with Hull, Tuckman, Meucci, Mercuri, Brigo and Fusai. The question bank in the FRM handbook is a joke though. Just a bunch of really old, non-sense questions, many of which have errors in the solution!

If you want a book to brush up on your option pricing, explain risk neutral pricing, show you Black-Scholes-Merton parial differential equation, as well as some other good stuff like Ito's lemma then this book is a great and gentle introduction to the mathematics of finance. This guy was my lecturer during my masters so I'm biased. I have not read this newest edition, but I still keep the old one near by. Never seen a better explanation of Ito's lemma and moment generating functions and multi-period self-financing, not even Shreve's two volumes come close! The book is Mathematical Techniques in Finance: Tools for Incomplete Markets by Ales Cernÿ.
One [of the many] nice things about this book is that it comes complete with Matlab code for the examples in the book

If you want to get a solid grasp of diff equation and stochastic diff eq. useful for finance I strongly recommend Oksendal's book: Stochastic Differential Equations: An introduction with applications.

As you see I like Springer's books. They tend to be more succinct and quantitative, rather than some texts that ramble on and on for pages about random stuff. Cernÿ's book is not springer though, but it might as well have been.

 

[varun34by02]

I would argue that Hull's OF&OD easily trumps this one in depth.
Jorion's handbook (or cash-cow) is more of a reference. I have it on my desk right on front of me, same with Hull, Tuckman, Meucci, Mercuri, Brigo and Fusai. The question bank in the FRM handbook is a joke though. Just a bunch of really old, non-sense questions, many of which have errors in the solution!

If you want a book to brush up on your option pricing, explain risk neutral pricing, show you Black-Scholes-Merton parial differential equation, as well as some other good stuff like Ito's lemma then this book is a great and gentle introduction to the mathematics of finance. This guy was my lecturer during my masters so I'm biased. I have not read this newest edition, but I still keep the old one near by. Never seen a better explanation of Ito's lemma and moment generating functions and multi-period self-financing, not even Shreve's two volumes come close! The book is Mathematical Techniques in Finance: Tools for Incomplete Markets by Ales Cernÿ.
One [of the many] nice things about this book is that it comes complete with Matlab code for the examples in the book

If you want to get a solid grasp of diff equation and stochastic diff eq. useful for finance I strongly recommend Oksendal's book: Stochastic Differential Equations: An introduction with applications.

As you see I like Springer's books. They tend to be more succinct and quantitative, rather than some texts that ramble on and on for pages about random stuff. Cernÿ's book is not springer though, but it might as well have been.

'Biased' is the word that you yourself use here. All of us have our favorites. Something that is a joke to you was a savior to me in May Part 1. Yes, few solutions are in correct .. that doesn't make it a Joke .. because there is no such thing as a Perfect publication esp. for such area of study. I proposed this book primarily from FRM exam perspective as it forces candidates to come out of their cofort zones and think. And that is what matters the most when you are actually sitting for those long 4 hours .. and agreed there much better books in tha are of risk management out there...

 

[Jas]

Suggest you all to have a look at this book also. I recently bought this and looks worth reading. Though it is a overview, but a very thorough overview.

http://www.amazon.com/Management-Fi...=UTF8&colid=84HM9BW0ZAHT&coliid=IM131ZUJZ41AL

 

[ShaktiRathore]

Hi
As i can infer from David notes the main books that are important in context of frm part I are:
1)Quantitative Analysis: Miller,Stock&Watson
2)Foundations:Elton,Stulz
3)Products & Markets:John.C.Hull
4)Valuation:John.C.Hull,Tuckman
Thanks

 

[Tipo]

I think some of those above are the textbook used for the exams
is there anything that'd be helpful for frm2 thats not mathematically intensive? Looking for something to read casually on my holiday trip

 

[ShaktiRathore]

Here are some u can refer to:
1) http://www.torontopubliclibrary.ca/detail.jsp?Entt=RDM2715692&R=2715692
2) Lowenstein, Roger. "When Genius Failed: The Rise and Fall of Long-Term Capital Management"(2000).
3) Bernstein, Peter L. "Against the Gods: The Remarkable Story of Risk" (1996). While the story of risk is indeed quite remarkable, Peter Bernstein’s telling of it is a pleasure to read.
4) http://www.amazon.com/Dealing-With-Financial-Risk-Economist/dp/1576601625
5) http://www.amazon.com/gp/aw/d/B00DU..._rd_t=36701&pf_rd_p=2068141862&pf_rd_i=mobile
Thanks

 

[ShaktiRathore]

Hi all,
As i went through David Noted on market risk section of part II,i found that mainly three topics rules the roost,
1) Tuckman discusses Term structure of interest rates its theory,valuation etc interest rate models as Vasicek,ho lee and ICR etc.
2) Dowd discusses Var methods both peramatric and non parametric approaches.
3) Fabbozzi discusses MBS valuation,mortgage markets and a lot about MBS.
Thanks

 

[Dr. Jayanthi Sankaran]

Hi @freddel02,

One book that I bought recently on Liquidity risk is by Leonard Matz. It is titled 'Liquidity Risk Measurement and Management'. Although, I have not read it in detail, a casual glance looks like it is a book worth buying...

Thanks!
Jayanthi

 

[ShaktiRathore]

Hi all,
As i went through the David notes on credit risk i realised that there are three main sections covered as :
1)Securitization mailny discussed by author Culp and Malz
2)Malz covers general termibologies on credit risk,quant models on credit risk as Merton model,Single factor model,Expected loss model,credit classification models etc.
3)Finally Gregory section i liked most discusses Counterparty risk ,mitigating factors,quant models on counterparty risk etc.
Thanks

 

[Dr. Jayanthi Sankaran]

Hi Shakti,

Just got the Jon Gregory book. At first glance, it looks like a terrific one! It is available freely as a pdf on the web. However, it is 450 pages....He has also made available, free spreadsheets pertaining to the text...

Thanks!
Jayanthi