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Financial Risk Manager Handbook, 5th Edition

ISBN: 978-0-470-52199-1
736 pages
June 2009
Financial Risk Manager Handbook, 5th Edition (0470521996) cover image


The essential reference for financial risk management

Filled with in-depth insights and practical advice, the Financial Risk Manager Handbook is the core text for risk management training programs worldwide. Presented in a clear and consistent fashion, this completely updated Fifth Edition-which comes with an interactive CD-ROM containing hundreds of multiple-choice questions from previous FRM exams-is one of the best ways to prepare for the Financial Risk Manager (FRM) exam.

Financial Risk Manager Handbook, Fifth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) annual FRM exam and prepares you to assess and control risk in today's rapidly changing financial world. Authored by renowned risk management expert Philippe Jorion-with the full support of GARP-this definitive guide summarizes the core body of knowledge for financial risk managers.

  • Offers valuable insights on managing market, credit, operational, and liquidity risk
  • Examines the importance of structured products, futures, options, and other derivative instruments
  • Identifies regulatory and legal issues
  • Addresses investment management and hedge fund risk

Financial Risk Manager Handbook is the most comprehensive guide on this subject, and will help you stay current on best practices in this evolving field. The FRM Handbook is the official reference book for GARP's FRM® certification program.

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

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Table of Contents


About the Author.

About GARP.


Part One Quantitative Analysis.

Chapter 1 Bond Fundamentals.

Chapter 2 Fundamentals of Probability.

Chapter 3 Fundamentals of Statistics.

Chapter 4 Monte Carlo Methods.

Part Two Capital Markets.

Chapter 5 Introduction to Derivatives.

Chapter 6 Options.

Chapter 7 Fixed-Income Securities.

Chapter 8 Fixed-Income Derivatives.

Chapter 9 Equity, Currency, and Commodity Markets.

Part Three Market Risk Management.

Chapter 10 Introduction to Market Risk.

Chapter 11 Sources of Market Risk.

Chapter 12 Hedging Linear Risk.

Chapter 13 Nonlinear Risk: Options.

Chapter 14 Modeling Risk Factors.

Chapter 15 VAR Methods.

Part Four Investment Risk Management.

Chapter 16 Portfolio Management.

Chapter 17 Hedge Fund Risk Management.

Part Five Credit Risk Management.

Chapter 18 Introduction to Credit Risk.

Chapter 19 Measuring Actuarial Default Risk.

Chapter 20 Measuring Default Risk from Market Prices.

Chapter 21 Credit Exposure.

Chapter 22 Credit Derivatives and Structured Products.

Chapter 23 Managing Credit Risk.

Part Six Legal, Operational and Integrated Risk Management.

Chapter 24 Operational Risk.

Chapter 25 Liquidity Risk.

Chapter 26 Firm-Wide Risk Management.

Chapter 27 Legal Issues.

Part Seven Regulation and Compliance.

Chapter 28 Regulation of Financial Institutions.

Chapter 29 The Basel Accord.

Chapter 30 The Basel Market Risk Charge.

About the CD-ROM.


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Author Information

Philippe Jorion is Professor of Finance at the Paul Merage School of Business at the University of California at Irvine. He has also taught at Columbia, Northwestern, the University of Chicago, and the University of British Columbia. He holds an MBA and a PhD from the University of Chicago and a degree in engineering from the University of Brussels. Dr. Jorion has authored more than ninety publications—directed towards academics and practitioners-on the topic of risk management and international finance. He is on the editorial board of a number of financial journals and was editor of the Journal of Risk. His work has received several prizes for research. Dr. Jorion has written the first four editions of Financial Risk Manager Handbook (Wiley), as well as Financial Risk Management: Domestic and International Dimensions; Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County; and Value at Risk: The New Benchmark for Managing Financial Risk. He is also a managing director at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds.
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