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Financial Risk Manager Handbook

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Financial Risk Manager Handbook

Financial Risk Manager Handbook

Philippe Jorion

708 pages, parution le 27/06/2003 (2eme édition)

Résumé

An essential guide to financial risk management as well as the only way to ace the GARP FRM Exam

The Financial Risk Management Exam (FRM Exam) was developed by the Global Association of Risk Professionals (GARP) as a means of establishing an industry standard of minimum professional competence in the field. It is given annually in November for risk professionals who want to earn FRM certification. Authored by renowned financial risk management guru Phillipe Jorion, with the full support of the GARP, this is the definitive guide for those preparing to take the FRM Exam. With the help of questions (and solutions) taken from previous exams, Jorion coaches readers on quantitative methods, capital markets, and market, credit, operational, and risk management concepts and assessment techniques. In addition to being the indispensable guide for those aspiring to FRM certification, Financial Risk Manager Handbook also serves as a valued working reference for risk professionals.

Phillipe Jorion, PhD (Irvine, CA), is a Professor of Finance at the Graduate School of Management at UC Irvine. He has also taught at Columbia University, Northwestern University, the University of Chicago, and the University of British Columbia.

Contents

  • Introduction
  • Part I: Quantitative Analysis
    • Bond Fundamentals
    • Fundamentals of Probability
    • Fundamentals of Statistics
    • Monte Carlo Methods
  • Part II: Capital Markets
    • Introduction to Derivatives
    • Options
    • Fixed-Income Securities
    • Fixed-Income Derivatives
    • Equity Markets
    • Currencies and Commodities Markets
  • Part III: Market Risk Management
    • Introduction to Market Risk Measurement
    • Identification of Risk Factors
    • Sources of Risk
    • Hedging Linear Risk
    • Nonlinear Risk: Options
    • Modeling Risk Factors
    • VAR Methods
  • Part IV: Credit Risk Management
    • Introduction to Credit Risk
    • Measuring Actuarial Default Risk
    • Measuring Default Risk from Market Prices
    • Credit Exposure
    • Credit Derivatives
    • Managing Credit Risk
  • Part V: Operational and Integrated Risk Management
    • Operational Risk
    • Risk Capital and RAROC
    • Best Practices Reports
    • Firmwide Risk Management
  • Part VI: Legal, Accounting, and Tax Risk Management
    • Legal Issues
    • Accounting and Tax Issues
  • Part VII: Regulation and Compliance
    • Regulation of Financial Institutions
    • The Basel Accord
    • The Basel Market Risk Charges

L'auteur - Philippe Jorion

Phillipe Jorion, PhD, MBA (Irvine, CA), is a Professor of Finance at the Graduate School of Management at UC Irvine. The Global Association of Risk Professionals (GARP) oversees the FRM(r) Certification Program and is the leading association for risk professionals, with over 38,000 members worldwide.

Caractéristiques techniques

  PAPIER
Éditeur(s) Wiley
Auteur(s) Philippe Jorion
Parution 27/06/2003
Édition  2eme édition
Nb. de pages 708
Format 21,5 x 27,5
Couverture Broché
Poids 1690g
Intérieur Noir et Blanc
EAN13 9780471430032

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