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Are there any books with practice problems for Market Risk, with special emphasis on vanilla and exotic options? Or should I look into old exam papers from FRM as sold by Kaplan/GARP?

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Lookup something like "free FRM exam" or "FRM exercises". Here is a free exam from GARP itself, with explanations: http://www.garp.org/media/613028/frm%20practice%20exam052711.pdf

I hope this helps

Good luck!

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Interesting question. The one book I heard about is "Market Risk Analysis" by Carol Alexander. However I think you should try to search for some company specific materials. Sometimes big banks like Credit-Suisse or Deutche Bank publish some materials which are hard-to-find by other means.

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I'm not an expert of market risk, but, as regards the market risk references I know, the best one and more related to the question posted above is Dynamic Hedging by N. N. Taleb.

Here below you can find the full reference:

Taleb, Nassim. Dynamic hedging: managing vanilla and exotic options. Vol. 64. John Wiley & Sons, 1997.

It concentrates the book on options trading mainly, but you can find it useful in terms of risk management too, and, so I suggest you read that by integrating with more recent papers about the topic.

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    $\begingroup$ Thanks. This book does not have practice problems. $\endgroup$ – Victor123 Jun 11 '15 at 18:17
  • $\begingroup$ Sorry @Victor123, what do you mean by practice problems? Examples, exercises or codes implementation? $\endgroup$ – Quantopik Jun 11 '15 at 18:19
  • $\begingroup$ Exercises, with hopefully solutions available separately $\endgroup$ – Victor123 Jun 11 '15 at 18:24
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    $\begingroup$ Ok, so, sorry but I misunderstood the question. In such case, the only one I can suggest is the Hull's one! $\endgroup$ – Quantopik Jun 11 '15 at 18:26

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