Carol Alexander - Market Risk Analysis

[chad007]

Hi David:

I have repeatedly heard that Carol's Alexander's 4 volumes are very useful for risk management job practitioners.

I have the "Volume I" book and find that it may have a lot of practical use in the field.

However, from an FRM exam perspective, do you think that the first volume is a good setup for Gujarati and other core readings or is it something to be tackled after the core has been well understood and there is extra time to study and you want mastery?

PS: This is not a attempt to "escape" the Gujarati readings by any means. I was just curious to see if Alexander's book can play a role in the exam and how.

Thanks,
Chad

 

[David Harper CFA FRM]

Hi Chad,

I agree with what you've heard, I think her 4-volume is the gold standard in market risk.

In regard to non-assigned texts, normally you would not want to stray from the assignments.

However, given GARPs style and tendency to test concepts as much as literal assignments, I think this book is an exception and I find much of Volume I relevant to the FRM (FWIW, my amazon review here)

... as I scan the TOC, the volume is generally useful with the semi-exceptions of 1.2 linear algebra (e.g., you won't need to know eigenvalues in 2010) and some of the numerical methods which won't find testability. But every other chapter finds at least some linkage to the FRM. The quant foundation is pretty common across the board (e.g., FRM vs PRM).

So if time permits, IMO, it is time well spent (I think she is especially strong for just the reason you suggest: applications for practioners).

FYI, you might want to grab latest errata; the only flaw in the 4-volume series is the number of typos/errors that escaped thru the first print (just my opinion).

David

 

[Bukhalid]

Hi David,

Can you update the link you previously provided? Thanks.

 

[David Harper CFA FRM]

Hi @Bukhalid The link previously went to my Amazon review attached to MAR Vol I here at https://amzn.to/2XlQ9v7 but I cannot find my review there any longer, for some reason !? My review was about ten years ago, shortly after the book was published, and my review was detailed and glowing. We recently had our Amazon account hacked and they had to re-establish for us, perhaps it is due to our re-named account, but I just cannot find the review anywhere. Sorry! Thanks,

 

[Bukhalid]

Hi @David Harper CFA FRM

No worries. I decided to buy the entire Carol Alexander set.

 

[David Harper CFA FRM]

Okay @Bukhalid I wish you would have used our affiliate link

 

[Bukhalid]

@David Harper CFA FRM I could not find it. But I am sure the investment will pay for itself.

 

[Nicole Seaman]

Just for future reference, in case any other members decide to purchase this book, here are our affiliate links for all four volumes:

• Volume 1: https://www.bionicturtle.com/partne...sis-quantitative-methods-in-finance-volume-i/
• Volume 2: https://www.bionicturtle.com/partne...s-practical-financial-econometrics-volume-ii/
• Volume 3: https://www.bionicturtle.com/partne...and-trading-financial-instruments-volume-iii/
• Volume 4: https://www.bionicturtle.com/partne...risk-analysis-value-at-risk-models-volume-iv/

As you know, using our affiliate links are a great help to us, as it allows us to continue expanding the services that we offer here at BT

 

[David Harper CFA FRM]

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