Download e-book for iPad: FRM Exam Handbook, Financial Risk Manager Handbook by Philippe Jorion

Risk Management

By Philippe Jorion

Книга FRM examination guide 2nd version, monetary threat supervisor guide FRM examination instruction manual second version, monetary threat supervisor HandbookКниги Менеджмент Автор: Philippe Jorion Год издания: 2003 Формат: pdf Издат.:John Wiley Страниц: 733 Размер: three ISBN: 0-471-43003-X Язык: Русский0 (голосов: zero) Оценка: Эта книгаявляетсяальманахомдля риск-менеджера, который собирается войти в сообщество GARP.Есть оглавление.The monetary hazard supervisor (FRM) is the certification well-known between monetary hazard pros around the world, with 13,685 FRMs in ninety nations around the globe.The FRM examination is given yearly (2008 s examination is on November fifteenth) in checking out websites all over the world. final yr s examination was once administered in seventy three websites. The examination covers all of the key components of probability and the questions are provided within the context of real-world events candidate may perhaps face.Financial hazard administration is likely one of the preferred ability units to have within the monetary providers this day that gives very good visibility and awesome gains strength. The career has noticeable massive progress over the last 15 years fueled through the complexity of monetary items, elevated legislation and up to date extraordinary failures.Like different careers in finance, having a sophisticated measure and certification is helping to extend your occupation capability in financal probability administration. Our FRM holders have positions similar to leader danger Officer, Senior hazard Analyst, Head of Operational chance, and Director, funding hazard administration, to call a couple of. while you are in monetary chance administration, or contemplating a occupation in it, then incomes your FRM is the following average step.

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Extra resources for FRM Exam Handbook, Financial Risk Manager Handbook

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Answer IV is false because some bonds, for example MBSs or callable bonds, can have negative convexity. Answer V is correct because convexity must be positive for coupon-paying bonds. Financial Risk Manager Handbook, Second Edition CHAPTER 1. BOND FUNDAMENTALS 29 Appendix: Applications of Infinite Series When bonds have fixed coupons, the bond valuation problem often can be interpreted in terms of combinations of infinite series. 33) This can be proved, for instance, by multiplying both sides by (1 Ϫ a) and canceling out terms.

Assume a semiannual compounded rate of 8% per annum. What is the equivalent annually compounded rate? 00% Example 1-2: FRM Exam 1998----Question 28/Quant. Analysis 1-2. Assume a continuously compounded interest rate is 10% per annum. 1) can be extended to any bond with a fixed cash-flow pattern. g. half-years) to each payment T ‫ ס‬the number of periods to final maturity y ‫ ס‬the discounting factor A typical cash-flow pattern consists of a regular coupon payment plus the repayment of the principal, or face value at expiration.

25 Financial Risk Manager Handbook, Second Edition 16 PART I: QUANTITATIVE ANALYSIS Example 1-8: FRM Exam 1998----Question 21/Quant. Analysis 1-8. Coupon curve duration is a useful method to estimate convexity from market prices of an MBS. 5. What is the estimated convexity of the 7s? 4 Interpreting Duration and Convexity The preceding section has shown how to compute analytical formulas for duration and convexity in the case of a simple zero-coupon bond. We can use the same approach for coupon-paying bonds.

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