金融风险管理基础

frm考试

1.风险管理基础

2.定量分析

4.估值与风险模型

3.金融市场与产品

foundaton of risk management

1.the building blocks of risk management

basic sense of risks and management

what is risk

what is risk management

risk management process

basic risk types

market risk

credit risk

liquidity risk

operational risk

business,strategic & reputaion risks

2.risk management,governance and transfer

how do firms manage financial risk

risk management strategies

risk appetite

risk management tools

hedgine philosophy

the govermance of risk management

corporate govermance

key post crisis corporate govermance concerns

revised principles on corporate govermance

infrastructure of risk govermance

the independence of functional units

credit risk transfer mechanisms

traditional credit risk mitigation approaches

credit derivatives

from buy-and hold to orginate-to-distribute

3.the standard capital asset pricing model

markowitz portfolio theory

markowit efficient frontier

minimum variance portfolio

capital market line(CML)

systematic and unsystematic risk

security market line(SML)

capial asset pricing model (CAPM)

sharpe ratio

treynor ratio

jensen's alpha

information ratio

sortino ratio

4.arbitrage pricing theory

single-factor model

multifactor model

arbitrage pricing theory

risk premium

empirical work preference(APT VS CAPM)

fama-french three-factor model

5.risk aggregation and reporting

data architecture and it infrastructure

risk data aggregation capabilities

risk reporting practices

supervisory review,tools and cooperation

6.enterprise risk management

ERM definitions

the benefits of ERM

implementation of ERM

risk culture

scenario analysis

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quantitative analysis

6.simulation and bootstrapping

monte-cario simulation

improving the accuracy of simulations

limitation of simulations

bootstrapping

i.i.d.bootstrap

circular block bootstrap

5.measuring returns,volatility,and correlation

simple returns

continuously compounded returns

measuring volatility

test for normality of a distribution

the jarque-bera test

power laws

rank correlation

spearman's correlation

kendall's t

4.time series

stationary time series

covariance stationarity

white noise

ar

ma

arma

non-stationary time series

unit roots(random walks)

seasonalities

time trends

1.probabilities

fundamentals of probability

conditional probability

joint probability

mutually exclusive

union

independent events

intersection

conditional independence

bayes'rule

random variables

cumulative distribution function

probability density function

probability mass function

moment

univariate random distributions

bemoulli distribution

binomial distribution

poisson distribution

uniform distribution

normal distribution

chi-squared distribution

student's t distribution

f-distribution

machine-learing

unsuper vised learning

principle component analysis

k-means clustering

supervised learing

decision trees

k-nearest neighbors

support vector machines

reinforcement leraning

3.linear regression

linear regression

confidence interval in linear regression

inference

measuring model fit

regression with multiple explanatory variables

test for joint hypothesis by f-test

regresion diagnostics

the bias-variance tradeoff

heteroskedasticity

multi-collinearity

outliers

2.statistics

sample moments

covariance

skewness

kurtosis

blue

law of large numbers

thecentral limit theorem

hypothesis testing

interval estimate

process

z-test

t-test

chi-squared test

f-test

financial markets and products

9.fund management

multual funds market

exchange-traded funds

undesirable trading behavior

hedge funds market

hedge funds strategies

research on returns

8.insurance

life insurance

property and casualty insurance

pension plans

risks facing insurance companies

regulation

7.banks

the originate-to-distribute model

financing arrangements of investment banking

conflicts of interest problems

the risks in banking

bank regulation

deposit insurance

6.mbs

mortgages

mortgage market

monthly payments

mortgage portfolios

mbs

dollar roll

other agency products

modeling prepayment behavior

evaluating the mbs

5.options markets

options markets

calls and puts

exchange-traded options on stocks

trading of exchange-traded options

margin requirements

warrants and convertibles

employee stock options

properties of options and trading strategies

properties of options

trading strategies

exotic options

standard and nonstandard american options

gap options

compound options

forward start options

chooser option

barrier options

binary options/digital options

lookback options

asian options

asset-exchange options

basket options

volatility and variance swaps

static options replication

4.swaps

swaps

interest rate swap

currency swap

other types of swaps

credit risk exposure

3.forward and futures

forward market

underlying assets

forward rate agreement

futures market

operation of exchanges

specification of contracts

convergance of futures and spot prices

normal and inverted futures market

delivery mechanics

trading order types

accounting

forward and futures prices

background knowledge-short selling

assumptions of pricing

forward and futures prices

forward vs.futures

expected future spot price

interest rate futures

t-bond futures

eurodollar futures

hedging strategies using futures

pros and cons hedging

basis risk

short hedge and long hedge

hedging with futures contract

creating long-term hedges

foreigh exchange markets

foreigh exchange quotes

outright(forward) vs. swap

fx risk

multi-currency hedging using options

factors that determine exchange rates

norminal and real rates

covered & uncovered interest parity

2.introduction of derivatives markets

introduction of derivatives markets

introcuction of derivatives

broad categories of traders

otc and exchange market

central counterparities

operation of ccps

regulation of otc derivatives market

advantages and disadvantages of ccps

ccp risks

1.bond markets

interest rates

market rate

compounding

spot rate and forward rate

term structure

treasury market and corporate bond

treasury market

corporate bond

valuation and risk models

7.stress testing

stress testing versus var ans es

choosing scenarios

model building and reverse stress testing

regulatory stress testing

governance

basel stress-testing principles

appendix

6.operational risk models

operational risk

basel II regulations

reducing operational risk

5.credit risk models

external and internal credit rating

rating scales

rating process

rating transition matrix

alternative to ratings

rating of structured products

internal ratings

hazard rates

country risk

evaluation of risk

composite risk measure

sovereign credit risk

credit spreads

measuring credit risk

model fordetermining capital

mean and standard deviation of credit losses

gaussian copula model

one-factor correlation model

vasicek model

risk allocation

creditmetrics

chanllenges

4.market risk models

measures of financial risk

coherent risk measure

mean-variance framework

var

expected shortfall

calculating and applying var

linear vs. nonlinear portfolios

delta-normal model

historical simulation

monte carlo simulation

stressed measures

correlation breakdowm

measuring and monitoring volatility

return distribution

volatility measurement

current volatility estimation

correlation

implied volatility

3.option valuation

binomial trees

one-step trees

multi-step trees

other assets

the black-scholes-merton model

stock price movement

model assumptions

pricing formulas

other assets

effect of dividends on american options

warrants

option sensitivity measures

hedging strategy

delta hedging

gamma hedging

vega hedging

theta

rho and portfolio

portfolio insurance

2.bond market risk

parallel term structures shifts

one-factor assumption

duration analysis

macaulay duration

modified duration and dollar duration

dv01

convexity

duration and convexity analysis

negative convexity

effective duration and effective convexity

hedging based on effective duration

hedging based on effective duration and convexity

portfolio duration and convexity

bullet versus barbell portfolio

non-parallel term strucuture shifts

modeling non-parallel term structure shifts

pricipal components analysis

key-rate exposure

forward bucket shift

estimationg portfolio volatility

1.bond valuation

valuation method

discount factor

basic valuation method

replication method

bond return

gross realized returns

net realized retursn

yield to maturlty

relationship between spot rates and ytm

coupon effecxt

the spread of a bond

p&l components

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