Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 56 REFERENCES Campbell, J. Y., A. Lo, and A. C. Mackinlay, The Econometrics of Financial Markets, 1st Edition, Princeton University Press, 1997. − Topics covered include econometric testing of derivative/option pricing models, parameter estimation, and regression analyses Crouhy, M., D. Galai, and R. Mark, Risk Management: Comprehensive chapters on market, credit and operational risk, McGraw-Hill, 2000. − Topics covered include VaR, approach to risk management and valuation The Group of Thirty, www.group30.org. − Several white papers in the areas of market, credit, and operational risk capital for banks and financial institutions. Hamburg, M., Statistical Analysis for Decision Making, Harcourt, Brace & World, Inc., 1970. − Topics covered include chi-square test and other statistical back-testing Hull, J. C., Options, Futures and Other Derivatives, Fourth Edition, Prentice Hall, 2001. − Topics covered include MTM, valuation models for derivative instruments and products, option “Greeks”, hedging strategies including “delta” hedging, VaR Jorion, P., Value-at-Risk: The New Benchmark for Controlling Market Risk, Irwin, Chicago, 1996. − Topics covered include VaR, approach to risk management and valuation Value at Risk, 2nd Edition, McGraw–Hill, New York, 2001. − Topics covered include VaR, VaR methodologies, risk metrics such as Sharpe Ratio, etc. J.P. Morgan/Reuters, Risk Metrics-Technical Document, Fourth Edition, 1996. − Topics covered include VaR, approach to risk management and valuation Mina, J., and J. Y. Xiao, Return to Risk Metrics: The Evolution of a Standard, RiskMetrics Group, 2001.