2010 FRM Examination Study Guide.pdf下载

Quantitative Analysis Part I Exam Weight . 20%
·Probability distributions
·Mean, standard deviation, correlation, skewness, and kurtosis
·Estimating parameters of distributions
·Linear regression
·Statistical inference and hypothesis testing
·Estimating correlation and volatility: EWMA, GARCH models
·Maximum likelihood methods
·Volatility term structures
·Simulation methods
Readings for Quantitative Analysis
8. Damodar Gujarati, Essentials of Econometrics, 3rd Edition (New York: McGraw〩ill, 2006).
·Chapter 1 . . . . . . . . . . . The Nature and Scope of Econometrics
·Chapter 2 . . . . . . . . . . . Review of Statistics: Probability and Probability Distributions
·Chapter 3 . . . . . . . . . . . Characteristics of Probability Distributions
·Chapter 4 . . . . . . . . . . . Some Important Probability Distributions
·Chapter 5 . . . . . . . . . . . Statistical Inference: Estimation and Hypothesis Testing
·Chapter 6 . . . . . . . . . . . Basic Ideas of Linear Regression: The Two Variable Model
·Chapter 7 . . . . . . . . . . . The Two Variable Model: Hypothesis Testing
·Chapter 8 . . . . . . . . . . . Multiple Regression: Estimation and Hypothesis Testing
9. Jorion, Value at Risk, 3rd Edition.
·Chapter 12 . . . . . . . . . . Monte Carlo Methods
10. John Hull, Options, Futures, and Other Derivatives, 7th Edition (New York: Prentice Hall, 2009).
·Chapter 21 . . . . . . . . . . Estimating Volatilities and Correlations
11. Svetlozar Rachev, Christian Menn, and Frank Fabozzi, Fat-Tailed and Skewed Asset Return Distributions: Implications
for Risk Management, Portfolio Selection and Option Pricing (Hoboken, NJ: Wiley, 2005).
·Chapter 2 . . . . . . . . . . . Discrete Probability Distributions
·Chapter 3 . . . . . . . . . . . Continuous Probability Distributions
12. Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value at
Risk Approach (Oxford: Blackwell Publishing, 2004).
·Chapter 2 . . . . . . . . . . . Quantifying Volatility in VaR Models