FRM前导课程第二篇

第二篇基础FRM名词解释，由浅入深渐渐引导到正式课程，笔记完全与教学视频相符合，将千元的视频整理好，分享给大家。

FRM前导课程

Financial English

1. Financial Risk

Risk

1. What is risk

The risk, in the most basic sense, is the possibility that bad things might happen 风险是不好的事情会发生的可能性

The real risk is that these costs will suddenly rise in an entirely unexpected way, or that some other cost will appear from nowhere and steal the money we've set aside for our expected outlays. 真实的风险指的是成本会出乎意料的上涨，或其他不知从何处来的风险偷走我们原本预期支出预留的钱

2. Risk management and Risk taking

Risk management and risk taking aren't opposites, but two sides of the same coin. 风险管理及风险承担是硬币的两面

Risk management 风险管理

Includes the sequence of activities aimed to reduce or eliminate an entity's potential to incur expected losses. 一系列减少或者消除可能发生预期损失的活动

Risk taking 风险承担

Refers specifically to the active assumption of incremental risk in order to generate incremental gains 为了获得增量收益而主动承担增量风险的活动

3. Expected loss and Unexpected loss

Expected loss 预期损失

Considers how much an entity expects to lose in the normal course of business. It can often be computed in advance (and provided for) with relative ease because of the certainly involved 考虑一个实体在正常业务过程中预计会损失多少，涉及确定性所以相对容易预先计算 (风险管理不会在此过多关注)

Unexpected loss 非预期损失

Considers how much an entity could lose outside of the normal course of business. Compared to expected loss, it is generally more difficult to predict, compute, and provide for in advance because of the uncertainly involved. 一个实体在正常业务之外可能遭受的损失。 跟预期损失相比，由于涉及不确定性，通常更难预测，计算，及提前准备。

4. Types of risk

金融风险

Market risk市场风险

That changes in financial market prices and rates will reduce the value of a security or a portfolio 金融市场价格和利率变化，降低证券或投资组合价值的风险

Interest rate risk 利率风险

Equity price risk 股价风险

Foreign exchange risk外汇风险

Commodity price risk大宗商品价格风险(石油,黄金,粮食,铁矿石)

Credit risk信用风险

An economic loss from the failure of a counterparty to fulfill its contractual obligations, or from the increased risk of default during the term of the transaction. 由于交易对手方不能履行合同义务，或在交易期间违约风险增加造成的经济损失，一般指别人对自己产生的风险

Default risk违约风险

Bankruptcy risk破产风险

Downgrade risk: perceived creditworthiness of the borrower or counterparty might deteriorate 降级风险：评级机构信用降级，借款人或交易对手信誉恶化

Settlement risk： the exchange of cash flows when a transaction is settled 结算风险： 结算时不能一手交钱一手交货産生的风险

Liquidity risk流动性风险

Funding liquidity risk融资流动性风险

Occurs when an entity is unable to pay down or refinance its debt, satisfy any cash obligations to counterparties, or fund any capital withdrawals. 实体无法偿还或再融资债务，履行交易对手放方现金义务或为任何资本提取资金的时候(没有现金无法还债)

Trading liquidity risk交易流动性风险

Occurs when an entity is unable to buy or sell a security at the market price due to a temporary inability to find a counterparty to transact on the other side of the trade. 实体由于暂时无法找到交易对手进行交易，而无法以市场价格购买或出售证券时(卖不掉)(例：房地产)

Operational risk操作性风险

Such as inadequate computer system (technology risk), insufficient internal controls, incompetent management, fraud (e.g., losses due to intentional falsificational of information), human Error (e.g., losses due to incorrect data entry or accidental deletion of a file), and natural disasters. 计算机系统不完善(技术性风险)，内部控制不足，管理不善，欺诈(故意伪造信息造成损失),人为错误(数据输入错误，文件意外删除),及自然灾害

其他风险

Strategic risk战略风险

Significant investments for which there is a high uncertainty about success and profitability 对于成功和盈利的重大投资有很大不确定性

Legal and regulatory risk法律和监管风险

Highly integrated with operational and reputation risk 跟运作风险跟名誉风险高度结合

Business risk商业风险

The classic risks of the world of business, such as uncertainly about the demand for products, or the price that can be charged for those products, or the cost of producing and delivering products. 商业世界典型风险，例如産品需求，价格，生产及运输成本的不确定性

Reputation risk名誉风险

2. Financial Market

交易所

1. Exchange交易所交易市场(场内)

An exchange is a central financial center where parties can trade standardized contract such as futures and options at a specified price. 交易所交易市场是金融中心市场，交易对手标准化交易，例如期货期权合约

Clearing清算方式

Direct clearing 直接清算

Refers to bilateral reconciliation of commitments between the original two counterparties 指原始两个交易方之间的双边承诺 （净额结算交割差价）

Clearing rings清算环

We're relatively informal means of reducing exposure via a ring of three or more members. In a clearing ring, groups of exchange members agree to accept each others's contracts and allow counterparties to be interchanged. 多方之间的清算，非正式多个参与主题之间构造的清算系统，每个参与主体都认可双方之间的交易，并认可所有交易对手都可以互相调整的，交易直接按照净额结算

Complete clearing完全结算

Means that CCP becomes counterparty to all transaction CCP清算所引入主体

2. Over-the-counter场外交易市场

A customized trading market which is connected by telephone/ computers 用电话跟电脑联系的订制化合约

3. 场内场外交易所比较表

4. Central Counterparties（CCPs）中央对手方清算制度

1. Advantage

1. Transparency市场透明度

Offer a more transparent, safer market

2. Offsetting抵消

Increase flexibility and reduces costs增加灵活度减少成本

3. Loss mutualization风险共担

Losses are distributed throughout the CCP members成员风险共担

4. Legal and operational efficiency法律及操作有效性

5. Liquidity流动性

Improve and market liquidity

6. Default management违约管理

Smaller price disruption价格波动减少

2. Disadvantage

1. More hazard道德风险

1.1. Institutions have little incentive to monitor each other's credit quality and act appropriately because a third party is taking most of the risk在有一定的保障下，行为有可能出现大幅的偏差，有CCP就不怎么关注交易对手方风险

2. Adverse selection逆向选择

2.1. Firms may selectively pass these more risky products to CCPs due to information asymmetry当双方进行交易时，信息不对称，自身风险高的公司会积极参与CCP産品，因为风险是由CCP承担

3. Bifurcations分歧

3.1. The requirement to clear standard products may create unfortunate bifurcations between cleared and non-cleared trades清算标准产品的要求可能会在清算与非清算交易之间造成不幸的分歧

4. Procyclicality顺周期

4.1. Positive dependence with the state of the economy与市场周期正相关，好更好，坏更坏

银行

1. Commercial Banks商业银行

Take deposits and make loans 吸收存款，发放贷款

Retail bank零售银行

Serve individual/small business 向个人家庭小企业发放的贷款

Whole sale banks批发银行

Serve corporate/institution 银行间巨额款项的借入贷出

2. Investment Banks投资银行

Assist in raising capital for corporations 帮助公司进行融资业务

Issue stock/ bond代理客户发现债券股票

Advising on corporate finance 帮助客户制定金融相关的活动

Financing arrangements融资安排

Private placement私募

Securities are sold to qualified investors 证券只能卖给合格投资者

Qualified investors合格投资者

Are people with substantial wealth and higher investment knowledge, or institutional investor 对于大型机构投资者，高净值客户发售，不公开

Investment bank earns fees银行从中赚取费用

Public offering公开发行

Securities are sold to the public 对所有投资人公开发售

Best efforts代销

Sell by efforts,not obligated to buy the unsold portion (Earns fees) 投资银行代理销售，没有义务购买未销售完的份额

Firm commitment包销

Investment banks guarantees to sold the securities 投资银行保证出售证券

Agrees to purchase the entire securities at first and sell to the public latter 一次性先将要卖的证券全部买进，再以更高价格卖出

Investment bank earns price spread 投资银行赚价差

3. Initial Public Offerings (IPOs)首次公开发行

Firm issues of stock to the public by the first time

Dutch auction荷兰式拍卖 (帮助首次公开发行公司确认价格)

Begin with a high price

Price reduced till some bidders agree to buy由高到低排序满足报价

Continues until all issues are sold以此类推直到份额配送完

Price of last sold can be the price for all days

4. Potential conflicts of interest利益冲突

Conflict of interests

May arise between Commercial Banking, Investment Banking and securities services. 商业银行部门，投资银行部门，证券服务部门之间的利益冲突

Deal with conflicts of interest解决利益冲突

Disclosure披露

Separation of business分离各部门

If mix is allowed, must implement Chinese walls, which are internal controls to prevent information sharing between these businesses. 如果允许混合交叉，要建立中国牆，利用内部信息操作来阻止信息分享

5. Banking Book v.s. Trading Book

Banking Book银行帐户

Record loans made

Normal loans

Record principal to be repaid and interest accurued

Reflect a reserve for potential loan losses 可以估计预期风险，所以提取准备金管理风险

Tading Book交易帐户

Record trading activities记录交易操作

Trading book items are marketed-to-market daily短期内需要动用的资金，逐日盯市入帐

6. Capital requirements of commercial banks 银行资本管理

Regulatory Capital监管资本

The capital determined by regulators to hold for systemic safety 【监管层面】外部机构对金融资本金留存要求，巴赛尔协议，保守些

Economic Capital经济资本

The capital estimated by a bank's own model. (often less than regulatory capital) 【银行自身层面】 银行用自己模型得出正常运行所需的资本

7. Deposit Insurance存款保险制度

Government regulators introduced to maintain individuals' confidence. Typically has Insurance limit. 一种金融保障制度，各存款机构作为投保人，按照存款比例，向其缴纳保险费，建立存款保险准备金，当成员机构发生经营危机或者破产倒闭时，存款保险机构向存款人提供财务救助，保护存款人利益，维护银行信用，稳定金融秩序制度

保险公司

1. Categories of Insurance companies分类

1.1. Life Insurance寿险

Covering a long-term period, and make payments to policyholder's beneficiaries upon death. 承保期限较长的合约，投保人死亡时支付给受益人的赔付

Term life insurance: cover a fixed period of time 定期寿险

Whole life insurance: cover the life of the policyholder 终身寿险

1.2. Property Insurance财产险

Covers property losses from and usually lasts one year 投保人根据合同约定向保险人交付保险费，保险人按照合同约定对所承保的财产险，或者有关的利益，因为自然灾害或者以外事故造成的损失承担赔偿责任的保险

1.3. Pension plan养老金计划

Insurance arranged by a company for its employee. After retired, employees can obtain income for the rest of their lives. 公司为员工安排的保险，在员工退休后，可以得到收入

2. Mortality risk v.s. Longevity risk

2.1. Mortality risk死亡风险for寿险

Policyholder lives too short; " bad "for life insurance business 投保人寿命过短，造成赔付风险

2.2. Longevity risk长寿风险

Policyholder lives too long; " bad "for annity business 投保人寿命过长，不利于年金保险

2.3. Method to mitigate: Reinsurance 方法避免：再保险(保险的保险）

3. DB plan and DC plan

3.1. Defined Benefit plans固定收益计划

The amount of the pension after retirement is stated explicitly 职工退休后可以拿到的钱是固定的

3.2. Defined Contribution plans固定缴款(提存)计划

The amount of the pension contribution before retirement is stated explicitly在退休前，由企业与职工按固定比例出资进入个人帐户，由职工决定如何分布投资组合，投资风险由职工承担

3.3. 比较表

4. More hazard and Aderse selection

4.1. Moral hazard道德风险

Policyholder will act more recklessly once they have the Insurance 有了保险后会从事较鲁莽的行为

Methods to mitigate解决

Deductibles免赔额: policyholer pay a fixed amount of loss投保人也要支付一定损失

Coinsurance共同保险: insurance pay less than 100% 保险不赔100％

Policy limits政策限制: insurance payout has maximum limit保险公司有最大赔付额限制

4.2. Adverse selection逆向选择

When insurer is unable to differentiate good from bad, he will incur more bad risk 当保险公司无法区分好或坏时，就有可能倾向坏的

Methods to mitigate解决

Greater initial due diligance尽职调查

Ongoing due diligence

基金

Mutual Funds and Hedge Funds

1. Mutual Funds 共同基金

Pooled investment instruments that can provide diversification for the public investors 可以为大众投资者提供多样化分散化投资的集合投资工具

Classified by investing assests投资资産种类

Equity Funds 股票基金

Bond Funds 债券基金

Index Funds and hybrid funds 指数基金，混合基金

Classified by purchase and redemption认购赎回方式

Open-end mutual funds开放式基金

Closed-end mutual funds 封闭式基金

Exchange-traded funds交易所交易基金ETF

2. Net Asset value净值

NAV for an open-end mutual fund is only calculated after the close of trading day 开放式共同基金，资産净值只在交易日结束后计算

NAV for closed-end funds and exchange-traded funds is calculated continuously throughout the day 封闭式及ETF 净值是全天都在计算 (可以在股票市场流动)

资産—负债/对外发行总股数

3. Hedge funds对冲基金

A Hedge fund is an investment vehicle and a business structure that pools capital from a number of investors and invests in securities and other instruments 对冲基金是一种投资工具和商业结构，汇集许多投资者基金，并且投资于证券及其他工具 本义是风险对冲过的基金

Administered by a professional management firm 是由专业投资公司管理

Often structured as a limited partership, limited liability company, or similar vehicle公司结构，有限合伙制，有限责任公司及其他类似结构

4. 比较表

3. Financial Products

Interest Rates

1. Risk free rate无风险利率

Treasury rates国债利率

The rates and investor earns from Treasury bonds

LIBOR

London Interbank Offered rate 伦敦同业银行拆借利率

Repo rates回购利率

Implied Rate on a repurchase agreement回购合约

2. Norminal Interest rate名义利率

Nominal interest rate refers to the interest rate before taking inflationions into account. Nominal can also refer to the advertised or stated interest rate on a loan, without taking into account any fees or compounding of interest. Finally,The federal funds rate,the interest rate set by the Federal Reserve,can also be referred to as a nominal rate. 在考虑通货膨胀之前的利率，也可以是不考虑费用，复利的贷款利率。 最后，联邦基金利率，美联储制定的利率也可以叫做名义利率

3. Real interest rate实际利率

Interest rate is an interest rate that has been adjusted to remove the effect of inflaction to reflect the real cost of funds to the borrower and the real yield to the lender or to an investor. The real interest rate reflects the rate of time-preference for current goods over future goods. The real interest rate of an investment is calculated as the difference between the nominal interest rate and the inflation rate. 实际利率是经过调整来消除通货膨胀影响的利率，来反映借款人实际资金成本，贷款人或投资者实际收益，实际利率反应当前商品对未来商品时间偏好率

4. Real Interest Rate = Normal interest rate - inflation (expected or actual)

5. Compounding of rates

Simple interest rate 单利

Compounded interest复利

Bonds

Characteristics

1. Issuer / borrower债券发行人

Corporations, Sovereign national governments, Nonsovereign governments 公司，主权国家政府，非主权政府

Quasi-government entities 准政府实体

Not a direct obligation of a country's government or central bank. Example: Federal National Mortgage Association (Fannie Mae)信用水平跟美国政府相当

Supranational entities超国家实体

Issued by organizations that operate globally such as the world bank, the European Investment Bank, and the International Monetary Fund(IMF) 由世界银行，欧洲投资银行，国际货币基金组织，全球机构发行的债券

2. Bondholder / investor / Lender债券持有人

A bondholder is an investor or the owner of debt securities that are typically issued by corporations and governments. Bondholders are essentially lending money to the bonds issuers. In return, Bond investors receive their principal-initial Investment-back when the bonds mature. For most bonds the bondholder also receive periodic Interest payments. 债券持有人通常是政府或公司发行的债务证券的投资者或所有者，本质上是向债券发行人放贷，当债券到期时，投资者可以收回本金，对于多数的债券来说，投资者可以定期收到利息

3. Maturity持续期

The maturity date of a bond is the date on which the principal is to be repaid. Once a bond has been issued,the time remaining until maturity is referred to as the term to maturity or tenor of a bond. 诤债券到期日指债券还本的日期，债券发行后的剩余期限就称为债券到期期限

4. Face value / Par value债券面值

The par value of a bond is the principal amount that will be repaid at maturity. The par value is also referred to as the face value,maturity value,redemption value,or principal value of a bond. Bonds can have a par value of any amount，and their prices are quoted as a percentage of par. A bond with a par value of 1000 quoted at 98 is selling for 980 dollars. 债券到期时要偿还的本金，票面价值也可以指债券面值，到期价值，赎回价值，本金。 债券可以有任何金额的票面价值，价格是面值的百分比报价。

5. Coupon / coupon rate 息票/ 息票率

The coupon rate on a bond is the annual percentage of its par value that will be paid to bondholders. Some bonds make coupon interest payments annually, while others make semiannual, quarterly, or monthly payments 债券票面利率是票面价值的百分比，一些债券每年支付票息，也有半年，也有每季，每个月计息的

A $1000 par value semiannual-pay bond with a 5% coupon would pay 2.5% of $1000, or $25 every six months. A bond with a fixed coupon rate is called plain vanilla bond or a conventional bond.如果是固定票面利率债券，称为普通债券，常规债券

6. Frequency 付息频率

7. Yield to maturity (YTM) 到期收益率

Yield to maturity(YTM) is the total return anticipated on a bond if the bond is held until it matures. Yield to maturity is considered a long-term bond yield but is expressed as an annual rate. In other words, it is the internal rate of return(IRR) of an investment in a bond if the investor holds the bond until maturity, with all payments made as scheduled and reinvested at the same rate. 到期收益率（YTM）是债券持有至到期的债券的预期总收益。 到期收益率被认为是长期债券收益率，但以年利率表示。 换句话说，如果投资者持有债券直至到期，所有付款均按计划进行，并以相同的利率进行再投资，则这是债券投资的内部收益率（IRR）。

Yield to maturity is also referred to as "book yield" or "redemption yield" 到期收益率也等于帐面收益率及赎回收益率

Types

1. Zero-coupon bond零息债券

zero-coupon bonds are issued at discounts to par

Bonds without coupons and there is only one cashflow, so investor bears no re-investment risk

Original-issue-discount: the difference between the face amount and the offering price when first issued 最初发行折价部分：面值跟价格之间的差额

2. Discount bond折价债券

3. Premium bond溢价债券

起初发行高于面值

4. Perpetual bond永久债券

永不到期，本金不还

Corporate Bond公司债券

Bond basics

Bond indenture债券合同

The contract that contains corporate bond issuer promises and investors' right. The indenture is made out to corporate trustee, who represents bondholders' interests. 债券合同包含债券发行人的承诺和投资人权利的合同。 契约是跟公司受托人，代表债券持有人利益

Corporate trustee公司受托人

The corporate trustee is a third party to the contract合同的第三方，由发行债券公司聘请

The trustee acts in a fiduciary (legal) capacity on behalf of the investors 受托人以信托身分代表投资者办事

Typically, the trustee is a bank or trust company with a corporate trust department and officers who are experts in performing trustee functions 通常来说，受托人是一家银行或信托公司，设有公司信托部门，职员是执行受托部门的专家

Default rate and recovery rate违约率及回收率

Issuer default rate发行人违约率

Number of issuers that default divided by total number of issuers 违约发行人数量/发行人总数

Dollar default rate

Cumulative dollar value of all defaulted bonds divided by total dollar value of bonds outstanding during the year 所有违约累计债券价值/当年发行债券总价值

Recovery Rate回收率

The amount received as a proportion of the total obligation after a bond defaults 债券违约后收到金额占总债务的比例

Derivative Market

Types

Forwards远期

场外交易

A contract that specifics assets, price/quantity and trading / delivery time in the future. 交易双方约定在未来的某个确定时间，以确定的价格，买卖一定数量的某种金融资産的合约，合约规定交易的标的物，有效期，交割时执行价格等

Futures期货

场内交易

A standardized forward that trading in exchanges. 期货合约是指买卖双方在有组织的交易所内以公开竞价的形式达成的在将来某一个特定的日期。交割标准数量的特定金融资产的协议，它是在交易所内也就是场内交易的。所以是一个标准化的合约。类型有包括外汇期货，利率期货，股票指数期货等等这些合约。

Swaps交换

A series forward contracts and exchange cash flowers on period settlement date. 互换合约是指两个或者以上的交易当事人按照商定的条件。在约定的时间内交付一系列的支付款项，它的这种的叫金融交易合约。它主要包括货币互换和利率互换两类。他也可以看做就是一系列的远期合约，并且当在交割的日期，来交换现金流。

Option选择权

The buyer pays premium to the seller，to get a right to trade a specifies asset in the future. 期权合约，赋予持有人在某一个特定的日期或者该日之前的任何时间。以固定的资産已固定价格购进或售出一种资产的权利。