By Philippe Jorion
Книга FRM examination guide second version, monetary threat supervisor instruction manual FRM examination instruction manual 2nd version, monetary probability 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 probability supervisor (FRM) is the certification famous between monetary threat pros all over the world, with 13,685 FRMs in ninety nations around the globe.The FRM examination is given every year (2008 s examination is on November fifteenth) in checking out websites all over the world. final 12 months 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 occasions candidate may possibly face.Financial probability administration is among the most well liked ability units to have within the monetary providers at the present time that gives very good visibility and remarkable gains power. The occupation has visible massive development over the last 15 years fueled by way of the complexity of monetary items, elevated rules and up to date awesome failures.Like different careers in finance, having a complicated measure and certification is helping to extend your occupation strength in financal probability administration. Our FRM holders have positions comparable to leader possibility Officer, Senior chance Analyst, Head of Operational threat, and Director, funding possibility administration, to call a couple of. when you are in monetary hazard administration, or contemplating a occupation in it, then incomes your FRM is the subsequent ordinary step.
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1277. 19. This is positive because modiﬁed duration is higher for a downmove than for an upmove in yields. Example 1-9: FRM Exam 2001-Question 71 d) Modiﬁed duration is D ס ءD (1 םy 200) when yields are semiannually compounded. 3716. 942 years. Note that the par value is irrelevant for the computation of duration. Example 1-11: FRM Exam 1998----Question 29/Quant. 25), we see that it does not depend on the coupon but only on the yield. Hence, the durations must be the same. The price of bond A, however, must be half that of bond B.
0556, and so on. 000. This is also the median, since the distribution is perfectly symmetric. 4152. The skewness terms sum to zero, because for each entry with a positive deviation (x Ϫ µ )3 , there is an identical one with a negative sign and with the same probability. Financial Risk Manager Handbook, Second Edition CHAPTER 2. 5. 3657. 2 Multivariate Distribution Functions In practice, portfolio payoffs depend on numerous random variables. To simplify, start with two random variables. This could represent two currencies, or two interest rate factors, or default and credit exposure, to give just a few examples.
C) Both bond A and bond B will have similar market risk. d) None of the above. Example 1-14: FRM Exam 2000----Question 106/Quant. Analysis 1-14. Consider these ﬁve bonds: Bond Number Maturity (yrs) Coupon Rate Frequency Yield (ABB) 1 10 6% 1 6% 2 10 6% 2 6% 3 10 0% 1 6% 4 10 6% 1 5% 5 9 6% 1 6% How would you rank the bonds from the shortest to longest duration? a) 5-2-1-4-3 b) 1-2-3-4-5 c) 5-4-3-1-2 d) 2-4-5-1-3 Financial Risk Manager Handbook, Second Edition CHAPTER 1. BOND FUNDAMENTALS 23 Example 1-15: FRM Exam 2001----Question 104 1-15.
FRM Exam Handbook, Financial Risk Manager Handbook by Philippe Jorion