About the Book
Table of Contents:
How to Study for the Exam ix
About the Instructor x
Financial Markets and Products (FMP)
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 1. Introduction 3
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 2. Mechanics of Futures Markets 13
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 3. Hedging Strategies Using Futures 17
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 4. Interest Rates 23
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 5. Determination of Forward and Futures Prices 35
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 6. Interest Rate Futures 45
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 7. Swaps 55
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 10. Mechanics of Options Markets 67
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 11. Properties of Stock Options 69
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 12. Trading Strategies Involving Options 77
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 26. Exotic Options 83
Lesson: Robert McDonald, Derivatives Markets, 3rd Edition (Boston: Pearson, 2012). Chapter 6. Commodity Forwards and Futures 87
Lesson: Anthony Saunders and Marcia Millon Cornett, Financial Institutions Management: A Risk Management Approach, 8th Edition (New York: McGraw-Hill, 2014). Chapter 13. Foreign Exchange Risk 93
Lesson: Jon Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives (West Sussex, UK: John Wiley & Sons, 2014). Chapter 1. Introduction 99
Lesson: Jon Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives (West Sussex, UK: John Wiley & Sons, 2014). Chapter 2. Exchanges, OTC Derivatives, DPCs and SPVs 101
Lesson: Jon Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives (West Sussex, UK: John Wiley & Sons, 2014). Chapter 3. Basic Principles of Central Clearing 105
Lesson: Jon Gregory, Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements
for OTC Derivatives (West Sussex, UK: John Wiley & Sons, 2014). Chapter 14 (section 14.4 only).
Risks Caused by CCPs: Risks Faced by CCPs 109
Lesson: Frank Fabozzi (editor), Steve Mann, and Adam Cohen, The Handbook of Fixed Income Securities, 8th Edition (New York: McGraw-Hill, 2012). Chapter 12. Corporate Bonds 111
Lesson: Bruce Tuckman, Angel Serrat, Fixed Income Securities: Tools for Today’s Markets, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 20. Mortgages and Mortgage-Backed Securities 115
Lesson: John B. Caouette, Edward I. Altman, Paul Narayanan, and Robert W.J. Nimmo, Managing Credit Risk: The Great Challenge for Global Financial Markets, 2nd Edition (New York: John Wiley & Sons, 2008). Chapter 6. The Rating Agencies 123
Valuation and Risk Models (VRM)
Lesson: Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach (New York: Wiley-Blackwell, 2004). Chapter 2.
Quantifying Volatility in VaR Models 127
Lesson: Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach (New York: Wiley-Blackwell, 2004). Chapter 3. Putting VaR to Work 133
Lesson: Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley & Sons, 2005). Chapter 2. Measures of Financial Risk 137
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 13. Binomial Trees 141
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 15. The Black-Scholes-Merton Model 151
Lesson: John Hull, Options, Futures, and Other Derivatives, 9th Edition (New York: Pearson, 2014). Chapter 19. Greek Letters 157
Lesson: Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 1. Prices, Discount Factors, and Arbitrage 163
Lesson: Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 2. Spot, Forward and Par Rates 169
Lesson: Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 3. Returns, Spreads and Yields 173
Lesson: Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011).Chapter 4. One-Factor Risk Metrics and Hedges 181
Lesson: Bruce Tuckman, Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). Chapter 5. Multi-Factor Risk Metrics and Hedges 191
Lesson: Aswath Damodaran, “Country Risk: Determinants, Measures and Implications - The 2015 Edition” (July 2015). 197
Lesson: Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk (New York: McGraw-Hill, 2004). Chapter 2. External and Internal Ratings 203
Lesson: Gerhard Schroeck, Risk Management and Value Creation in Financial Institutions (New York: John Wiley & Sons, 2002). Chapter 5. Capital Structure in Banks (pp. 170-186 only) 207
Lesson: John Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ: John Wiley & Sons, 2015). Chapter 23. Operational Risk 211
Lesson: Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw Hill, 2007). Chapter 14. Stress Testing. 215
Lesson: “Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on
Banking Supervision Publication,” May 2009). 219
