Chapter 8 of Quantitative Enterprise Risk Management
By Mary R. Hardy and David Saunders · Cambridge University Press · 2022 · CP312-103-25
Study guide: Exam CP-312
Market Risk Models, the eighth chapter (pages 227 to 261) of Quantitative Enterprise Risk Management by Mary R. Hardy and David Saunders of the University of Waterloo, published by Cambridge University Press in 2022. The chapter takes in the empirical behaviour of equity prices, geometric Brownian motion, the independent lognormal model, the GARCH model and regime-switching models, and then fitting models to returns data and choosing a model.
On the syllabus
- Exam CP-312 — CP312-103-25: Chapter 8 of Quantitative Enterprise Risk Management, Hardy and Saunders, 2022 (8.1-8.6), for outcome 2a (Topic 2).
8 Market Risk Models
- 8.1 Summary
- 8.2 Introduction
- 8.3 Empirical Behaviour of Equity Prices
- 8.4 Geometric Brownian Motion (GBM)
- 8.5 The Independent Lognormal Model (ILN)
- 8.6 The GARCH Model
- 8.7 Regime-Switching Models
- 8.8 Fitting Models to Returns Data
- 8.9 Choosing a Model
- 8.10 Notes and Further Reading
- 8.11 Exercises
Related readings
- ASTAM-22-23 - Chapter 5 of Quantitative Enterprise Risk Management — another chapter of the same book, assigned for the ASTAM exam
Sources
- Quantitative Enterprise Risk Management, front matter (Cambridge University Press, 2022) — the book's imprint (authors, © 2022, ISBN 978-1-009-09846-5 hardback) and its printed contents, from which Chapter 8's title, starting page and section headings are taken; the chapter text itself and the SOA's reprint of it were not read
- Crossref record, doi 10.1017/9781009089470.009 — the chapter's title and pages (227-261) as deposited by the publisher
- CP 312 Syllabus, Nov 2026/Mar 2027 (SOA) — the citation (Hardy, Mary and Saunders, David, 2022, sections 8.1-8.6) and the learning outcome