week to see the specific readings covered. Week 1: Derivatives Markets [FMP-4] John C. Hull, Chapter 1. Introduction In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-5] John C. Hull, Chapter 2. Futures Markets and Central Counterparties In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-11] John C. Hull, Chapter 10. Mechanics of Options Markets In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-16] Jon Gregory, Chapter 2. Exchanges, OTC Derivatives, DPCs and SPVs In Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives, (New York: John Wiley & Sons, 2014). [FMP-17] Jon Gregory, Ch3 Basic Principles of Central Clearing In Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives, (New York: John Wiley & Sons, 2014). [FMP-18] Jon Gregory, Ch14(section 14.4 only). Risks Caused by CCPs: Risks Faced by CCPs In Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives, (New York: John Wiley & Sons, 2014). Week 2: Probability and Statistics [QA-1] Michael Miller, Chapter 2. Probabilities In Mathematics and Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2013). [QA-2] Michael Miller, Chapter 3. Basic Statistics In Mathematics and Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2013). [QA-3] Michael Miller, Chapter 4. Distributions In Mathematics and Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2013). [QA-4] Michael Miller, Chapter 6. Bayesian Analysis (pp. 113-124 only) In Mathematics and Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2013). Week 3: Linear Regression [QA-5] Michael Miller, Chapter 7. Hypothesis Testing and Confidence Intervals In Mathematics and Statistics for Financial Risk Management, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2013). [QA-6] James Stock and Mark Watson, Chapter 4. Linear Regression with One Regressor In Introduction to Econometrics, Brief Edition, (Boston: Pearson, 2008). [QA-7] James Stock and Mark Watson, Chapter 5. Regression with a Single Regressor In Introduction to Econometrics, Brief Edition, (Boston: Pearson, 2008). [QA-8] James Stock and Mark Watson, Chapter 6. Linear Regression with Multiple Regressors In Introduction to Econometrics, Brief Edition, (Boston: Pearson, 2008). [QA-9] James Stock and Mark Watson, Chapter 7. Hypothesis Tests and Confidence Intervals in Multiple Regression In Introduction to Econometrics, Brief Edition, (Boston: Pearson, 2008). Week 4: Time Series Analysis (I) [QA-10] Francis X. Diebold, Chapter 5. Modeling and Forecasting Trend In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning, 2006). [QA-11] Francis X. Diebold, Chapter 6. Modeling and Forecasting Seasonality In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning, 2006). [QA-12] Francis X. Diebold, Chapter 7. Characterizing Cycles In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning, 2006). Week 5: Time Series Analysis(II), Applications [QA-13] Francis X. Diebold, Chapter 8. Modeling Cycles: MA, AR, and ARMA Models In Elements of Forecasting, 4th Edition, (Mason, Ohio: Cengage Learning, 2006). [QA-14] John C. Hull, Chapter 10. Volatility In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). [QA-15] John C. Hull, Chapter 11. Correlations and Copulas In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). Week 6: Fixed Income (Introduction) [VRM-7] Bruce Tuckman, Chapter 1. Prices, Discount Factors, and Arbitrage In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011). [VRM-8] Bruce Tuckman, Chapter 2. Spot, Forward and Par Rates In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011). [VRM-9] Bruce Tuckman, Chapter 3. Returns, Spreads and Yields In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011). [FMP-7] John C. Hull, Chapter 4. Interest Rates In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). Week 7: Portfolio Theory [FRM-10] Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, The Standard Capital Asset Pricing Model In Modern Portfolio Theory and Investment Analysis, 9th Edition, (Hoboken, NJ: John Wiley & Sons, 2014). [FRM-11] Noel Amenc and Veronique Le Sourd, Chapter 4. Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators (Section 4.2 only) In Portfolio Theory and Performance Analysis, (West Sussex, England: John Wiley & Sons, 2003). [FRM-12] Zvi Bodie, Alex Kane, and Alan J. Marcus, Chapter 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return In Investments, 10th Edition, (New York: McGraw-Hill, 2013). Week 8: Investing in Bonds [FMP-18] Frank Fabozzi (editor), Chapter 12. Corporate Bonds In The Handbook of Fixed Income Securities, 8th Edition, (New York: McGraw-Hill, 2012). [FMP-19] Bruce Tuckman, Angel Serrat, Chapter 20. Mortgages and Mortgage-Backed Securities In Fixed Income Securities: Tools for Today’s Markets, 3rd Edition, (New York: John Wiley & Sons, 2011). [VRM-13] Arnaud de Servigny and Olivier Renault, Chapter 2. External and Internal Ratings In Measuring and Managing Credit Risk, (New York: McGraw- Hill, 2004). [VRM-12] Aswath Damodaran, Country Risk: Determinants, Measures and Implications – The 2017 Edition, (July 19, 2017). Week 9: Futures, Forwards and their Applications [FMP-6] John C. Hull, Chapter 3. Hedging Strategies Using Futures In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-8] John C. Hull, Chapter 5. Determination of Forward and Futures Prices In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-15] Robert McDonald, Chapter 6. Commodity Forwards and Futures In Derivatives Markets, 3rd Edition, (Boston: Addison-Wesley, 2013). [FMP-17] Anthony Saunders and Marcia Millon Cornett, Chapter 13. Foreign Exchange Risk In Financial Institutions Management: A Risk Management Approach, 8th Edition, (New York: McGraw-Hill, 2014). Week 10: Interest Rate Risk [VRM-10] Bruce Tuckman, Chapter 4. One-Factor Risk Metrics and Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011). [FMP-9] John C. Hull, Chapter 6. Interest Rate Futures In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-10] John C. Hull, Chapter 7. Swaps In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [VRM-11] Bruce Tuckman, Chapter 5. Multi-Factor Risk Metrics and Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011). Week 11: Options(I): Products and Strategies [FMP-12] John C. Hull, Chapter 11. Properties of Stock Options In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-13] John C. Hull, Chapter 12. Trading Strategies Involving Options In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [FMP-14] John C. Hull, Chapter 26. Exotic Options In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). Week 12: Options(II): Valuation and Risk Management [VRM-4] John C. Hull, Chapter 13. Binomial Trees In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [VRM-5] John C. Hull, Chapter 15. The Black-Scholes-Merton Model In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [VRM-6] John C. Hull, Chapter 19. The Greek Letters In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). [QA-16] Chris Brooks, Chapter 13. Simulation Methods In Introductory Econometrics for Finance, 3rd Edition, (Cambridge, UK: Cambridge University Press, 2014). Week 13: Financial Institutions and Risk Management [FRM-1] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 1. Risk Management: A Helicopter View (Including Appendix 1.1) In The Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014). [FRM-2] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 2. Corporate Risk Management: A Primer In The Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014). [FRM-4] James Lam, Chapter 4. What is ERM? In Enterprise Risk Management: From Incentives to Controls, 2nd Edition, (Hoboken, NJ: John Wiley & Sons, 2014). [FMP-1] John C. Hull, Chapter 2. Banks In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). [FMP-2] John C. Hull, Chapter 3. Insurance Companies and Pension Plans In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). [FMP-3] John C. Hull, Chapter 4. Mutual Funds and Hedge Funds In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). Week 14: Risk Management in Banks + Failures [FRM-6] Steve Allen, Chapter 4. Financial Disasters In Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd Edition, (New York: John Wiley & Sons, 2013). [FRM-7] Markus K. Brunnermeier, Deciphering the Liquidity and Credit Crunch 2007—2008, Journal of Economic Perspectives 23:1, 77—100. [FRM-8] Gary Gorton and Andrew Metrick, Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader’s Guide, Journal of Economic Literature 50:1, 128—150. [FRM-9] René Stulz, Risk Management Failures: What Are They and When Do They Happen?, Fisher College of Business Working Paper Series, October 2008. [FRM-5] René Stulz, Risk Management, Governance, Culture and Risk Taking in Banks, FRBNY Economic Policy Review, (August 2016). [FRM-3] Michel Crouhy, Dan Galai, and Robert Mark, Chapter 4. Corporate Governance and Risk Management In The Essentials of Risk Management, 2nd Edition, (New York: McGraw-Hill, 2014). Week 15: Market Risk, Stress Testing [VRM-3] Kevin Dowd, Chapter 2. Measures of Financial Risk In Measuring Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005). [VRM-1] Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 2. Quantifying Volatility in VaR Models In Understanding Market, Credit and Operational Risk: The Value at Risk Approach, (New York: Wiley-Blackwell, 2004). [VRM-2] Linda Allen, Jacob Boudoukh and Anthony Saunders, Chapter 3. Putting VaR to Work In Understanding Market, Credit and Operational Risk: The Value at Risk Approach, (New York: Wiley-Blackwell, 2004). [VRM-16] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 1. Governance over Stress Testing In Stress Testing: Approaches, Methods, and Applications, (London: Risk Books, 2013). [VRM-17] Edited by Akhtar Siddique and Iftekhar Hasan, Chapter 2. Stress Testing and Other Risk Management Tools In Stress Testing: Approaches, Methods, and Applications, (London: Risk Books, 2013). [VRM-18] Principles for sound stress testing practices and supervision, (Basel Committee on Banking Supervision Publication, May 2009). Week 16: Risk Types, Misc. Topics [VRM-14] Gerhard Schroeck, Chapter 5. Capital Structure in Banks (pp. 170-186 only)In Risk Management and Value Creation in Financial Institutions, (New York: John Wiley & Sons, 2002). [VRM-15] John C. Hull, Chapter 23. Operational Risk In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). [FRM-13] Principles for Effective Data Aggregation and Risk Reporting, (Basel Committee on Banking Supervision Publication, January 2013). [FRM-14] GARP Code of Conduct.