2005年CFA Level I 考試 CFAI指定之教科書單

書　　　　　　　名

出　　　版

版　次

01

2005CFA Level 1 Candidate Readings

AIMR

-----

02

Standards of Practice Handbook

AIMR

第8版

03

Quantitative Methods for Investment Analysis

AIMR

-----

04

Economics; Private and Public Choice

South-Western

第10版

05

Fundamentals of Financial Management

Dryden

第8版

06

International Investments

Addison Wesley

第5版

07

The Analysis and Use of Financial Statements

Wiley

第3版

08

Investment Analysis and Portfolio Management

South-Western

第7版

09

Fixed Income Analysis for the Chartered Financial Analyst Program

Fabozzi Associates

-----

10

Analysis of Derivatives for the CFA Program

AIMR

-----

2005年CFA Level I I 考試 AIMR指定之教科書單

書　　　　　　　名

出　　　　　版

01

2005 CFA Level II Candidate Readings

AIMR

02

Standards of Practice Handbook

AIMR

03

Quantitative Methods for Investment Analysis

AIMR

04

Standards of Practice Casebook

AIMR

05

International Investments

Addison Wesley

06

The Analysis and Use of Financial Statements

Wiley

07

Financial Shenanigans

McGraw-Hill

08

Investment Analysis and Portfolio Management

Dryden

09

Fundamentals of Financial Management

Dryden

10

Analysis of Equity Investments: Valuation

AIMR

11

Company Performance and Measures of Value Added

RFICFA

12

Fixed Income Analysis for the Chartered Financial Analyst Program

Fabozzi

13

Analysis of Derivatives for the CFA Program

AIMR

2005年CFA Level I I I 考試 AIMR指定之教科書單

書　　　　　　　名

出　　　　　版

01

2005 CFA Level III Candidate Readings
　

AIMR

02

Standards of Practice Handbook

AIMR

03

Standards of Practice Casebook

AIMR

04

Quantitative Methods for Investment Analysis

AIMR

05

Analysis of Derivatives for the CFA Program

AIMR

06

International Investments

Addison Wesley

07

Fixed Income Analysis for the Chartered Financial Analyst Program

Fabozzi

08

The Psychology of Investing

Prentice Hall

09

Irrational Exuberance

Broadway Books

I. Quantitative Analysis - 10%

◎Probability distributions
◎Mean, standard deviation, correlation, skewness, and kurtosis
◎Estimating parameters of distributions
◎Hypothesis testing
◎Linear regression and correlation
◎Statistical properties and forecasting of correlation, covariance, and volatility
◎Extreme value theory; basic principles
◎Monte Carlo analysis

Core Readings:

1. Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum's Outlines, 2nd ed. (New York: McGraw-Hill, 2000).

Covers all the essentials for probability and statistics - and more. It is compact. Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.

2. John Hull, Options, Futures, and Other Derivatives, 5th ed. (New York: Prentice Hall, 2002).

3. Philippe Jorion, Value at Risk, 2nd ed. (New York: McGraw-Hill, 2001).

Non-Core Reference Readings:

1. Neil D. Pearson, Risk Budgeting: Portfolio Problem Solving with Value-at-Risk (New York: Wiley, 2002), chap. 2, "Value-at-Risk of a Simple Equity Portfolio," discusses statistics and simulation in the context of VaR. Consequently, some candidates may feel more comfortable reading this chapter after having studied some of the chapters in the books recommended in the market risk section below.

2. Statsoft has a free textbook online that may be sufficient for those who need to remedy specific deficiencies in their statistical knowledge. It can be found at www.statsoftinc.com/textbook/stathome. The relevant topics are:

i. Elementary Concepts
ii. Basic Statistics
iii. Distribution Fitting
iv. Linear Regression

3. Douglas A. Lind, William G. Marchal, and Robert D. Mason, Statistical Techniques In Business and Economics, 11th ed. (New York: McGrawHill, 2001), provides a more intuitive treatment of statistical techniques but is much more expensive than Spiegel. Peter Kennedy, A Guide to Econometrics, 4th ed. (Blackwell, 2003), provides an intuitive approach to the basic results of econometrics. Some candidates may find these books useful.

II. Market Risk Measurement and Management - 30%

◎Interest rates and bond pricing
◎Interest rate, foreign exchange, equity, and commodity risks
◎Valuation and risk analysis of futures, forwards, swaps, and options
◎Derivatives on fixed income securities, interest rates, foreign exchange, equities, and commodities
◎Emerging market risks including currency crises
◎Identifying and measuring risk exposures
◎Value-at-Risk:

i. Definition, delta-normal, historical simulation, Monte Carlo
ii. Implementation
iii. Limitations and alternative risk measures, e.g., conditional Value-at-Risk

◎Risk budgeting
◎Stress testing
◎Liquidity risk
◎Measuring and managing corporate exposures, including cash flow at risk

Core Readings:

1. Anthony Saunders, Financial Institutions Management, 4th ed. (New York: McGraw-Hill, 2003).

2. Hull, Options, Futures, and Other Derivatives.

3. Jorion, Value-at-Risk.

4.Pearson, Risk Budgeting.

5. Ren Stulz, Risk Management & Derivatives (Mason, Ohio: South-Western, 2003).

Note: Leslie Rahl, Risk Budgeting: A New Approach to Investing (London: Risk Books, 2000), provides a valuable collection of articles by practitioners on risk budgeting issues that may be useful to some candidates.

Non-Core Reference Readings:

1. Ren M. Stulz, "Rethinking Risk Management," Journal of Applied Corporate Finance, (Fall 1996): 8-24.

◎Presents benefits of hedging for corporations.
◎Freely available here.

2. George Allayannis and James Weston, "The Use of Foreign Currency Derivatives and Firm Market Value," Review of Financial Studies 14, no. 1 (2001): 243-76.

◎Empirical study showing increased value for firms that hedge.
◎Freely available here.

3. The next three documents from the International Monetary Fund provide information on emerging market crises and difficulties.

◎IMF, World Economic Outlook, May 1999, Financial Contagion, Chapter 3, click here.
◎IMF, World Economic Outlook and International Capital Markets, Interim Assessment, December 1998, Chapter 2, click here.
◎IMF, World Economic Outlook, Interim Assessment, December 1997, Chapter 3, click here.

General Notes:

1. Steve L. Allen, Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk (with CD-ROM) (New York: Wiley, 2003), will be useful to some candidates. It discusses many risk management issues from the perspective of a practitioner with great experience in dealing with traders and senior management.

2. Thomas L. Barton, William G. Shenkir, and Paul L. Walker, Making Enterprise Risk Management Pay Off (Upper Saddle River: Financial Times/Prentice Hall, 2002), has a collection of case discussions of enterprise-wide management that may be helpful to some candidates.

◎Credit ratings
◎Default probabilities
◎Credit spreads
◎Actuarial approach and CreditRisk+
◎Contingent claim approach and the KMV Model
◎Credit migration, transition matrices, and CreditMetrics
◎Counterparty risks:

i. Exposures
ii. Recovery rates
iii. Risk mitigation techniques including rating triggers, collateral, and seniority clauses

◎Credit derivatives
◎Margining
◎Netting
◎Portfolio credit risk
◎Settlement risk
◎Special purpose vehicles

Core Readings:

1. Bruce Tuckman, Fixed Income Securities, 2nd ed. (New York: Wiley, 2002).

2. Pearson, Risk Budgeting

3. John B. Caouette, Edward I. Altman, and Paul Narayanan, Managing Credit Risk (New York: Wiley, 1998).

4. Saunders, Financial Institutions Management.

5. Hull, Options, Futures, and Other Derivatives.

◎Chapter 27 - Credit Derivatives

IV. Operational and Integrated Risk Management, Legal, Accounting, and Ethics - 30%
◎Types of operational risk
◎Workflow in financial institutions
◎Severity and frequency distributions for operational risk
◎Aggregated distributions
◎Differences between market and operational VaRs
◎Hedging operational risk using financial engineering
◎Insuring operational risk
◎Measuring firm-wide risk
◎Correlations across market, credit, and operational risk
◎Definition of risk capital
◎Allocation of risk capital across the firm
◎Evaluating the performance of risk management systems
◎Implementation risks of risk management
◎Accounting for derivatives

i. Hedge accounting (FAS 133 , IAS 139)
ii. Hedge effectiveness (FAS 133)
iii. Mark-to-market accounting for derivatives

◎Analyzing special purpose vehicles and securitizations
◎Reporting requirements for derivatives (SEC)
◎Bankruptcy including;

i. Offsets
ii. Priority rules

◎Basel II

i. The three pillars
ii. The internal ratings-based approach (foundation and advanced IRB)
iii. Operational risk (foundation and advanced approach)

◎Internal models approach for market risk (Market Risk Amendment [1996])
◎Group of Thirty Report
◎Legal risk including:

i. Suitability issues
ii. Disclosure of derivative positions

◎Regulation of financial institutions including:

i. Government regulatory bodies
ii. EU Capital Adequacy Directive

◎Sarbanes-Oxley

Core Readings:

1. Saunders, Financial Institutions Management.

2. Jorion, Value at Risk.

3. Carol Alexander, ed., Operational Risk (New York: Financial Times Prentice Hall, 2003).

4. Douglas G. Hoffman, Managing Operational Risk (New York: Wiley, 2002).

5. FAS-133: Overview authored by Ira Kawaller of Kawaller & Company is available here.

6. FAS 133: Hedging implications, authored by Jeffrey B. Wallace, Managing Partner of Greenwich Treasury Advisors, entitled "Derivative Accounting & Hedging Under FAS 133" can be downloaded here.

7. IAS 39: Financial Instruments: Applying IAS 32 and IAS 39 Summaries, Guidance, Examples and US GAAP Comparisons was prepared by and remains copyright of Deloitte Touche Tohmatsu. IAS 32 and IAS 39 are currently being revised by the International Accounting Standards Board. Most of the revisions were finalized in December 2003, and the remainder will be finalized during 2004. The book does not reflect the revisions. Information about the revisions may be found here. Click here to download copy of article..

8. The impact of securitization on the financial health of corporations is analyzed in "Securitization and Its Effect on the Credit Strength of Companies," Moody's Investors Services. Click here to download.

9. Securitizations: Moody's Investors Services report titled "Demystifying Securitization" is available here.

10. Sarbanes-Oxley: PriceWaterhouseCoopers, "The Sarbanes-Oxley Act of 2002," first white paper, available here.

11. Basel II: An overview as of April 2003 with more recent developments summarized in BIS press release of October 11, 2003, also available on the GARP web site under the FRM link.

12. Basel II: General review of the underpinnings for Basel II are summarized in Patricia Jackson, "Bank Capital: Basel II Developments," Financial Stability Review, (December 2002), available here.

13.Robert J. Schwartz and Clifford W. Smith, Jr., eds., Derivatives Handbook: Risk Management and Control (New York: Wiley, 1997).

Non-Core Reference Readings:

1. Marcelo G. Cruz, Modeling, Measuring, and Hedging Operational Risk (New York: Wiley, 2002) provides a more rigorous treatment of the measurement of operational risk that some candidates may prefer.

2. Regulatory Publications (available free of charge)

◎Management and Control Guidance for Securities Firms and Their Supervisors IOSCO, May 1998, available here.
◎Risk Management Guidelines for Derivatives BIS - Basel Committee, July 1994, available here.
◎Derivatives: Practices and Principles, G30 / Global Derivatives Study Group, July 1993, available here.

資料來源:GARP