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FRM框架
FRM框架
Part 1: Probability
RAROC
Probability distribution
Special distributions
Economic Capital
Strategic Capital Allocation
Descriptive statistic
Quantitative Analysis
Regulatory Capital
Capital Allocation
Sampling Theory
Estimation Theory
Basel II
Hypothesis Testing
Market Risk
Market Risk Management
Liquidity
Operation Risk
Case Studies
Bond Pricing
Mortgage-Backed Securities
Determination of Forward and Futures Prices
External
FINANCIAL
RISK
MANAGEMENT
Rating
Internal
Loan
Default Risk
Recovery Rate and Recovery Function
Measurement
Others
Option Pricing
Counterparty Risk
Credit Risk
Options
Market Risk
Sovereign Risk
Volatility Smile
Loan Sales
Securitization
Complex Derivatives
Management
Introduction to VaR
Credit Derivatives
Local-valuation
VaR Methods
Portfolio Theory
Creating Firm Value
Full-valuation
Historical Simulation
Monte Carlo Simulation
Portfolio Management
VaR
Performance Analysis
Investment and
Risk Management
FRM
.mmap - 2007-8-22 -
random variables
outcome
important terms
events
mutually exclusive events
Basic probability
exhaustive events
Total Probability Rule
Important rules
Bay's Rules
unconditional and conditional Probabilities
Part 1: Probability
Probability distribution
Poisson distribution
Lognormal distribution
Quantitative Analysis
Frequency Distribution
Mean
Measures of central tendency
Median
Mode
Descriptive statistic
E(cX)=cE(X), E(X+Y)=E(X)+E(Y),
E(XY)=E(X)E(Y)
population proportion
difference between the means of two populations
the properties of an efficient point estimate
Incremental VaR
Portfolio VaR
Fat tail
Left skewed
Unstable
Standard Approach
RiskMetrics(EWMA)
Attractions of EWMA
GARCH(p,q)
Choose between the Models
Forecasting Correlations Can be More Important that Forecasting Volatilities
Quantifying Volatility in VaR
GARCH Model
Historical Standard Deviation Approach
Historical-based Approaches
Historic Simulation
Non-parametric
Hybrid
Advantages
Disadvantages
Implications of Mean Reversion in Returns and Return Volatility
for Forecasting VaR Over Long Time Horizons
The Non-synchronous Data Problem
Differentiate between linear and non-linear derivatives
Calculating the VaR for a Linear Derivatives
Delta-Normal
Putting VaR to Work
Delta-Gamma-Normal
Taylor Approximation
The Limitation of Taylor Approximation
The Difference Between Full-revaluation Method and Delta-normal Method for
Measuring the Risk of Non-linear Derivatives
VaR
Model Itself
Mapping System
Market Risk 1
Delta-Normal
Local-valuation
Benchmarking a Portfolio
Historical Simulation
GBM
Compute VaR Using Monte Carlo Simulation
Scenario Analysis
Prospective Scenarios
Multidimensional Scenario Analysis
Historical Scenarios
Worst Case Scenario Measure as an Extension to VaR
Peaks-Over-Threshold(POT) Models
Tail Size and Time Dependency
Clustering Analysis
Definition
Risk Budget
Conditional Scenario
On-Balance-Sheet Hedging
Off-Balance-Sheet Hedging With Forwards
Know that Liquidity Risk is Comprised of Funding Risk and Market Liquidity Risk
Alternatives for Measuring Liquidity Risk lnclude: Liquidity Gap and Liquidity Risk Elasticity
Asset's Liquidation Cost
Liquidity
Definition
Bond Valuation with a Parallel Term Structure
Yield to Maturity
Market Risk 2
Accrued Interest
Clean and Dirty(Invoice) Prices
Compounding Conventions
Discount Factors
Spot Rate Curve
Definition
Calculate a Series of Spot Rates
Forward Rates
Pricing a Bond
Determining Value Using Discount Functions
Linear Yield Interpolation
Interest Rate Tree (Binomial) Model and Risk-Neutral Interest Rate Tree
Bond Pricing
Mortgage-Backed Securities
Arbitrage Strategy
Margins
Variation Margin
Role of the Clearinghouse
With No Cash Flows
Cost-of-Carry Model
The No-Arbitrage Bounds for the Forward Price of Commodity when Considering
a Convenience Yield
The Factors that Impact the Pricing of Gold, Corn, Natural Gas and Oil Futures
Calculate a Commodity Spread
Basis Risk and the Differential between a Strip Hedge and a Stack Hedge
Basis Risk
Definition
Types of Basis Risk
T-Bond Futures
Cheapest-to-Deliver Bond
Interest Rate Futures
Eurodollar Futures
Market Risk 3
Margins
Other Option-Like Securities
Hedge Ratio
American Options
Calculate the Value of a European Call or Put Option Using a Two-Step Binomial Model
Option Pricing
Theta
Options
Gamma
Vega
Rho
Scenario Analysis
Portfolio Insurance
Spread Strategy
Combination Strategy
Volatility Smile for Foreign Currency
Volatility Smile
Chooser Option
Barrier Option
Binary Option
Complex Derivatives
Lookback Option
Shout Option
Asian Option
Basket Options
Costs and Risks of Alternative Types of Options for Hedging
Financial Intermediaries that Sell Complex Derivatives
Issues in Hedging Exotic Options
- -
Differentiate btw. Firm Strategies and Policies to Reduce the Firm's Systematic Risk
Hedging a Firm's Price Risk with Respect to Its Output Will Not Affect Firm Value
Reducing the Potential Costs of Financial Distress and Bankruptcy
Reducing the Volatility of Taxable Income
Portfolio Management
Comparison of Approaches
Application of Multifactor
Challenges
Problems with Existing Hedge Fund Indices
Types of Risk
Asset Allocation
Due Diligence
Investment Level
Portfolio Level
Investment Style
Definition
Style Drift
Institutionalization
Regulation
- -
External
Rating
Internal
Gross Rate Of Return
Marginal Default Probability
K-nearest Neighbor
Support Vector Machines
Others
Minimum Error
Decision Rules In Credit Analysis
Minimum Risk
Neyman-Pearson
Minimax for Classification
Measurement
Counterparty Risk
One side
(EE*)x(L*)
Two side
V(B)-V(A)
CEC TCEC
Simple Transaction Method/Portfolio Simulation Method
Credit Metrics
Portfolio Manager
Portfolio Risk tracker
Credit Portfolio View
CreditRisk+
Credit Risk
Sovereign Risk
Introduction
Loan Sales
Market
Introduction
Definition
Participants
Securitization
Securitization Guidelines
FAS140
FIN46R
Management
Credit-Linked Notes
Collateralized Debt Obligations
Market Risk
Hedge
Credit Risk
Operational Risk
Using a TROR
Credit Derivatives
Cost Reduction
Application
Using TRORs
Using Credit Spread Options
CAR
Portfolio CAR
BIS definition
Definition
Incorrect Model Specification
Incorrect Model Application
Implementation Risk
Sources
Model Risk
Calibration Error
Programming Errors
Data Problems
Under the Efficient Market Hypothesis
Managing
Technology Risk
Expense-Based Models
Operating Leverage Models
Scenario Analysis
Reliability Models
Empirical Loss Distributions
Parametric Loss Distributions
Extreme Value Theory
Evolution
Insurance
Operation Risk
Operational Risk Hedging
Self-Insurance
Derivatives
Loss Data
Operational Risk and Economic Capital
Metallgesellschaft
Sumitomo Bank
Case Studies
Key Principles
Private Pools of Capital-PW G
- -
ARRAROC=(RAROC- Rf)/ e
Definition
Stand-alone Method
Scaling Method
Economic Capital
Top-Down and Bottom-Up
Six Methods
Capital Allocation
Regulatory Capital
Risk-weight Functions
Minimum Requirements
Standardized Approach(AS)
Advanced Measurement Approach(AMA)
Negative Bank Behaviors
Potential Problems
Issues About Pillar2 and Pillar 3
Silo Approach
Building-block Approach
3+1 Pillars Approach