■ 필수교재( Required references)
Murray R. Spiegel, John Schiller, and R. Alu Srinivasan: Probability and Statistics, Schaum’s Outlines, Second Edition, McGraw-Hill, 2000
John Hull: Options, Futures, and Other Derivatives, 5th Edition, Prentice Hall, 2002
Philippe Jorion, Value at Risk, 2nd Edition, McGraw-Hill, 2001
Neil D. Pearson, Risk Budgeting, Wiley, 2002
Bruce Tuckman, Fixed Income Securities, 2nd Edition, Wiley, 2002
Anthony Saunders, Financial Institutions Management, 3rd Edition, McGraw-Hill, 2000
Crouhy, Mark, and Galai, Risk Management, McGraw-Hill, 2000
"Identifying and Quantifying Exposures," Rene M. Stulz and Rohan Williamson, in "Financial Risk and the Corporate Treasury: New Developments in Strategy and Control," Robert Jameson, ed., Risk Publications, London, 1997, 33-51,
Caouette, Altman, and Narayanan, Managing Credit Risk, 1998, Wiley
Schwartz and Smith, Derivatives Handbook, 1997, Wiley
Managing Operational Risk by Douglas G. Hoffman, 2002, Wiley
A summary of IAS—39
FREE DOWNLOADABLE READING MATERIALS
"Rethinking Risk Management" by Ren?M. Stulz, Journal of Applied Corporate Finance
- Presents the reasons corporates benefit from hedging.
"Identifying and Quantifying Exposures," Ren?M. Stulz and Rohan Williamson, in Financial Risk and the Corporate Treasury: New Developments in Strategy and Control," Robert Jameson, ed., Risk Publications, London, 1997, 33-51,
- Discusses how to measure corporate exposures
Allayannis, George, and James Weston. "The Use of Foreign Currency Derivatives and Firm Market Value." 2001. Review of Financial Studies 14(1): 243-76.
IMF, World Economic Outlook, May 1999, Financial Contagion, Chapter III, http://www.imf.org/external/pubs/ft/weo/1999/01/0599ch3.pdf
IMF, World Economic Outlook and International Capital Markets, Interim Assessment, December 1998, Chapter 2, http://www.imf.org/external/pubs/ft/weo/weo1298/pdf/file2.pdf
IMF, World Economic Outlook, Interim Assessment, December 1997, Chapter 3, http://www.imf.org/external/pubs/ft/weo/weo1297/pdf/1297ch3.pdf
A FAS-133 overview prepared by Ira Kawaller of Kawaller & Company click here.
An analysis of the hedging implications of FAS-133 prepared by Jeffrey B. Wallace, Greenwich Treasury Advisors, entitled "Derivative Accounting & Hedging Under FAS 133" can be downloaded click here.
A summary of IAS-39 is available at http://www.iasc.org.uk/
The impact of securitization on the financial health of corporations is analyzed in "Securitization and Its Effect on the Credit Strength of Companies", Moodys, can be downloaded free of charge click here.
The Moodys report titled "Demystifying Securitization" available for download click here.
Sarbanes-Oxley, see PriceWaterhouseCoopers, The Sarbanes-Oxley Act of 2002, First white paper click here.
An overview of the Basel II accord as of 2001 is provided by the Basel Committee at http://www.bis.org/publ/bcbsca02.pdf or click here.
The current state of Basel II is summarized in Patricia Jackson, "Basel II Developments, Financial Stability Review", December 2002, Bank of England, at http://www.bankofengland.co.uk/fsr/fsr13art3.pdf or click here.
Regulatory Publications
Management and Control Guidance for Securities Firms and their Supervisors IOSCO, May 98 click here
Risk Management Guidelines for Derivatives BIS - Basel Committee, Jul. 1994 click here
Derivatives: Practices and Principles G30 / Global Derivatives Study Group, Jul. 1993 click here
Operational Risk Management BIS - Basel Committee, Sept. 1998 click here
Capital Adequacy Principles BIS - Basel Committee, Feb. 1998 click here
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