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Collection of important documents for risk management

Ken Abbott

Managing Director
Below is a collection of important documents, required reading for students and professionals in the field of risk management. The list is divided into subjects and will be updated.

Overview
 

Attachments

  • EY Overview Market-Risk-Management_en_1_.pdf
    921.4 KB · Views: 2,475
  • Finance Jobs for the Uninitiated.ppt
    276.5 KB · Views: 1,844
  • Operational Risk Rutgers v2.ppt
    737.5 KB · Views: 1,169
  • Practical Guide.pdf
    2.6 MB · Views: 2,177
Last edited:

Ken Abbott

Managing Director
Commodities
 

Attachments

  • a_mean_reverting_processes_1_.pdf
    253.3 KB · Views: 697
  • Amaranth.pdf
    1 MB · Views: 569
  • Carmona-2007-04-23_1_.pdf
    876.1 KB · Views: 460
  • Commodities+for+Dummies.ppt
    116 KB · Views: 591
  • PreciousMetalsTradeHandbook_1_.pdf
    533.6 KB · Views: 501
  • 67 Hydrocarbon Fuels-From Well Fluids to Refined Products.PDF
    2 MB · Views: 429
  • 72 Characteristics of Fluctuations in the Prices of Crude Oil and Its Refined Fuels.pdf
    670.6 KB · Views: 463
  • 113 Characteristics of Fluctuations in Wheat Prices.PDF
    652.8 KB · Views: 408
  • 050518_PruittManaging CM price Risk.pdf
    2.7 MB · Views: 418
  • CM Karanjit_Singh_Research_Paper_1_.pdf
    189.9 KB · Views: 438
  • Fundamentals of the US Power Industry_EIA.pdf
    96.9 KB · Views: 463
  • The Phantom Menace Dec 00.pdf
    38 KB · Views: 408
  • UBS CM.pdf
    428.9 KB · Views: 544

Ken Abbott

Managing Director
Credit risk
 

Attachments

  • BIS+Credit+Index+Trading+2005.pdf
    110.7 KB · Views: 656
  • Creditmetrics.pdf
    1 MB · Views: 764
  • MilkenLevLoanPrimer1004.pdf
    1.2 MB · Views: 535
  • Canabarro Band Duffie paper.pdf
    83.3 KB · Views: 518
  • credit chap.pdf
    1.7 MB · Views: 547
  • Duffie Canbarro Paper.pdf
    83.3 KB · Views: 507
  • Intro to CP Credit Risk.pdf
    1.7 MB · Views: 679
  • Intro to Credit Risk Exposure Measurement.pdf
    450.5 KB · Views: 688
  • Picoult_Evan cva.pdf
    590.3 KB · Views: 531
  • Credit_Indices_Primer_Apr_2013[1].pdf
    543.8 KB · Views: 459

Ken Abbott

Managing Director
Fixed income
 

Attachments

  • lmun0915.pdf
    195.3 KB · Views: 665
  • 01 Invoice Prices_Cash Flows_Band Yields on Treasury Bonds.PDF
    818.6 KB · Views: 514
  • 02 Duration-Ban Introduction to the Concept and its Uses.PDF
    443.8 KB · Views: 627
  • muni default risk.pdf
    204 KB · Views: 475
  • PIMCO FI Risk.pdf
    1.1 MB · Views: 776
  • structured rates.pdf
    350 KB · Views: 642

Ken Abbott

Managing Director
Liquidity
These are regulatory papers on liquidity risk management.
 

Attachments

  • FIL-46-2013 Managing Sensitivity to MR in a Challenging IR Environment.pdf
    34.8 KB · Views: 155
  • FINRA 10-57.pdf
    108.4 KB · Views: 131
  • SR 10-1 Interest Rate Risk.pdf
    71.7 KB · Views: 164
  • Reg WW.pdf
    153.8 KB · Views: 135
  • SR 12-2 Interest Rate Risk Management.pdf
    129.6 KB · Views: 171
  • SR 10-06 Interagency Policy Statement on Funding and Liquidity Risk Management.pdf
    1.7 MB · Views: 162
  • SR 16-3 Interagency Guidance on Funds Transfer Pricing.pdf
    115.3 KB · Views: 123

Ken Abbott

Managing Director
Quant
 

Attachments

  • Kalman_Filter_CoursePack_08_1_.pdf
    758 KB · Views: 894
  • kalman_intro_1_.pdf
    173.4 KB · Views: 610
  • MatrixOperations.docx
    264.1 KB · Views: 620
  • NYU+VaR+paper.pdf
    465.7 KB · Views: 706
  • principal_components_1_.pdf
    117.2 KB · Views: 828
  • Backtesting Paper.pdf
    418.4 KB · Views: 684
  • Backtesting Thesis.pdf
    1.5 MB · Views: 635
  • EVT Chapter.pdf
    1.4 MB · Views: 485
  • EVT Paper.pdf
    371 KB · Views: 467
  • Froot_and_Stein Econ Cap.pdf
    1.5 MB · Views: 471
  • Managing Vanilla Options Risk 2012.ppt
    437.5 KB · Views: 596
  • NIST eda.pdf
    5.1 MB · Views: 452
  • returns vs differences.pdf
    797 KB · Views: 572
  • RiskMetrics Tech Doc.pdf
    1.2 MB · Views: 646
  • Study of Fat-tail Risk.pdf
    189.8 KB · Views: 623

Ken Abbott

Managing Director
Regulatory
 

Attachments

  • 120703-DoddFrank-Year2Book_1_.pdf
    2.5 MB · Views: 342
  • Accenture-Basel-III-Handbook_1_.pdf
    3.6 MB · Views: 383
  • Backtesting_20Fed.pdf
    170.4 KB · Views: 320
  • CCAR+Summary+Instructions+2014+_2_.pdf
    601.8 KB · Views: 367
  • closer-look-swap-dealer-major-swap-participants_1_.pdf
    281.1 KB · Views: 288
  • Davis.Polk.Volcker.Proposal.Prop.With.Annex_1_.pdf
    1.7 MB · Views: 275
  • Dodd-Frank-at-3.pdf
    6 MB · Views: 287
  • fcic_final_report_conclusions_1_-1.pdf
    106.4 KB · Views: 276
  • fcic_final_report_full_1_.pdf
    4.9 MB · Views: 277
  • Fundamental+Review+of+the+Trading+Book+II.pdf
    1.1 MB · Views: 318
  • IIFSystemicRisk_0510.pdf
    1.6 MB · Views: 287
  • TRADING.PDF
    1.9 MB · Views: 357
  • UKTreasCommFinStab3-3-08.pdf
    2.4 MB · Views: 265
  • Basel I_Basel_II and Emerging Markets a Nontechnical Analysis052008.pdf
    207.6 KB · Views: 288
  • Basel II.pdf
    1.4 MB · Views: 340
  • Basel_III Summary.pdf
    439.8 KB · Views: 385
  • BIS Basel III.pdf
    473.4 KB · Views: 322
  • BIS Stress Testing.pdf
    90.5 KB · Views: 326
  • CFTC and SEC Joint Report.pdf
    1.2 MB · Views: 282
  • Dodd-Frank Summary.pdf
    604.1 KB · Views: 299
  • Dodd-Frank Wall Street Reform.pdf
    265.9 KB · Views: 268
  • Fed Commercial Banking Manual.pdf
    6.5 MB · Views: 264
  • Federal Register Reg Revioe.pdf
    280.5 KB · Views: 259
  • Federal Register Risk Regulation Summary%2B2011.pdf
    280.5 KB · Views: 252
  • Federal Reserve CCAR.pdf
    3.5 MB · Views: 288
  • Federal Reserve Purposes Band Functions.pdf
    2.7 MB · Views: 259
  • FSA Financial Risks 2007.pdf
    618.5 KB · Views: 268
  • Fundamental Review Trading Book BIS.pdf
    556.4 KB · Views: 280
  • IIF Restoring Confidence.pdf
    581.4 KB · Views: 252
  • Limits HKMA.pdf
    342 KB · Views: 264
  • MF Global Inc. Trustee Release 6.4.12 Regarding Investigation.pdf
    170 KB · Views: 254
  • Mofo Dodd Frank at 2.pdf
    2.5 MB · Views: 256
  • MoFo Dodd Frank Cheat Sheet.pdf
    1.1 MB · Views: 264
  • OCC bankdealer1_1_.pdf
    136.4 KB · Views: 250
  • OCC banksupervisionprocess_1_.pdf
    925.2 KB · Views: 254
  • OCC Loan Portfolio Management.pdf
    258 KB · Views: 291
  • Risks of Financial Institutions.pdf
    226.8 KB · Views: 301
  • SEC ocie_exambrochure_1_.pdf
    59.6 KB · Views: 255
  • SEC ocieoverview_1_.pdf
    260.8 KB · Views: 252
  • Enhanced Prudential Standards.pdf
    388.8 KB · Views: 259
  • Dodd-Frank-at-4.pdf
    1.5 MB · Views: 186
  • Deloitte_OCC_heightened_expectations_031914.pdf
    1.2 MB · Views: 193
  • US-regulatory-resolution-plan-guidance.pdf
    2.4 MB · Views: 91

Ken Abbott

Managing Director

Attachments

  • 2014-2A-V1_JPMorgan_Chase_London_Whale_A_-_Risky_Business_REVB_Oct2017.pdf
    5.4 MB · Views: 155
  • 2014-2B-V1_JPMorgan_Chase_London_Whale_B_-_Derivatives_Valuation_REVB_Oct2017.pdf
    4.4 MB · Views: 98
  • 2014-2C-V1_JP_Morgan_Chase_London_Whale_C_-_Risk_Limits_Metrics_and_Models_REVB_Oct2017.pdf
    5 MB · Views: 99
  • 2014-2D-V1_JP_Morgan_Chase_Whale_D_-_Risk_Management_Practices_REVB_Oct2017.pdf
    2.9 MB · Views: 117
  • 2014-2E-V1_JPMorgan_Chase_London_Whale_E_-_Supervisory_Oversight_REVB_Oct2017.pdf
    3.5 MB · Views: 94
  • 2014-2F-V1_JPmorgan_Chase_London_Whale_F_-_Required_Securities_Disclosures_REVB_Oct2017.pdf
    4.6 MB · Views: 92
  • 2014-2G-V1_JPMorgan_Chase_London_Whale_G_-_Hedging_versus_Proprietary_Trading_REVB_Oct2017.pdf
    3.3 MB · Views: 94
  • 2014-2H-V1-JPmorgan_Chase_London_Whale_H_-_Cross_Border_Regulation_REVB_Oct2017.pdf
    2.9 MB · Views: 89
  • 2014-2Z-V1_JPMorgan_Chase_London_Whale_Z_-_Background_and_Overview_REVB_Oct2017.pdf
    5 MB · Views: 93
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