Book 1: Market Risk Measurement and Management

1: Estimating Market Risk Measures: An Introduction and Overview

2: Non-parametric Approaches
3: Backtesting VaR
4: VaR Mapping
5: Messages from the Academic Literature on Risk Measurement for the Trading Book
6: Some Correlation Basics: Properties, Motivation, Terminology
7: Empirical Properties of Correlation: How Do Correlations Behave in the Real World?
8: Statistical Correlation Models Can We Apply Them to Finance?
9: Financial Correlation Modelling Bottom-Up Approaches
10: Empirical Approaches to Risk Metrics and Hedging
11: The Science of Term Structure Models
12: The Evolution of Short Rates and the Shape of the Term Structure
13: The Art of Term Structure Models: Drift
14: The Art of Term Structure Models: Volatility and Distribution
15: OIS Discounting, Credit Issues, and Funding Costs
16: Volatility Smiles
Book 2: Credit Risk Measurement and Management
17: The Credit Decision
18: The Credit Analyst
19: Classifications and Key Concepts of Credit Risk
20: Rating Assignment Methodologies
21: Credit Risks and Credit Derivatives
22: Spread Risks and Default Intensity Models
23: Portfolio Credit Risk
24: Structured Credit Risk
25: Defining Counterparty Credit Risk
26: Netting, Compression, Resets, and Termination Features
27: Collateral
28: Central Counterparties
29: Credit Exposures
30: Default Probability, Credit Spread, and Credit Derivatives
31: Credit Value Adjustment
32: Wrong-Way Risk
33: The Evolution of Stress Testing Counterparty Exposures
34: Credit Scoring and Retail Credit Risk Management
35: The Credit Transfer Markets and Their Implications
36: An Introduction to Securitization
37: Understanding the Securitization of Subprime Mortgage Credit
Book 3: Operational and Integrated Risk Management
38: Principles for the Sound Management of Operational Risk
39: Enterprise Risk Management: Theory and Practice
40: Observations on Developments in Risk Appetite Frameworks and IT Infrastructure
41: Information Risk and Data Quality Management
42: OpRisk Data and Governance
43: External Loss Data
44: Capital Modeling
45: Standardized Measurement Approach for Operational Risk
46: Parametric Approaches (II): Extreme Value
47: Validating Rating Models
48: Model Risk
49: Risk Capital Attribution and Risk-Adjusted Performance Measurement
50: Range of Practices and Issues in Economics Capital Frameworks
51: Capital Planning at Large Bank Holding Companies: Supervisory Expectations and
Range of Current Practice
52: Repurchase Agreements and Financing
53: Estimating Liquidity Risks
54: Assessing the Quality of Risk Measures
55: Liquidity and Leverage
56: The Failure Mechanics of Dealer Banks
57: Stress Testing Banks
58: Guidance on Managing Outsourcing Risk
59: Basel I, Basel II, and Solvency II
60: Basel II.5, Basel III, and Other Post-Crisis Changes
61: Fundamental Review of the Trading Book
Book 4: Risk Management and Investment Management; Current
Issues in Financial Markets
Risk Management and Investment Management
62: Factor Theory
63: Factors
64: Alpha (and the Low-Risk Anomaly)
65: Illiquid Assets
66: Portfolio Construction
67: Portfolio Risk: Analytical Methods
68: VaR and Risk Budgeting in Investment Management
69: Risk Monitoring and Performance Measurement
70: Portfolio Performance Evaluation
71: Hedge Funds
72: Performing Due Diligence on Specific Managers and Funds

Current Issues in Financial Markets

73: Bitcoin: Economics, Technology, and Governance
74: Market and Funding Liquidity An Overview
75: Market Liquidity Resilient or Fleeting?
76: Algorithmic Trading Briefing Note
77: Hanging Up the Phone Electronic Trading in Fixed Income Markets and Its
Implications
78: How Have Central Banks Implemented Negative Policy Rates?
79: Corporate Debt in Emerging Economics: A Threat to Financial Stability?