考綱解讀

市場風險

信用風險

操作風險

0 - Introduction

1 - Estimate market risk measurement

2 - Non-parametric approaches

3 - ParametricApproaches (II):Extreme Value

4 - backtesting VaR

5 - VaR Mapping

6 - Messages from the Academic Literature on Risk Management for the Trading Book

7 - Correlation Basics:Definitions, Applications, and Terminology

8 - Empirical Properties of Correlation: How Do Correlations Behave in the Real World?

9 - Financial Correlation Modeling-Bottom-Up Approaches

10 - Empirical Approaches to Risk Metrics and Hedging

11 - The Science ofTerm Structure Models

12 - The Evolution of Short Rates and the Shape of the Term Structure

13 - The Art of Term Structure Model： Drift

14 - The Art of Term Structure Model Volatility and Distribution

15 - Volatility Smiles

16 - FundamentalReview of theTrading Book

1 - The credit decision

2 - The credit analyst

3 - Capital Structure in Banks

4 - Rating assignment methodologies

5 - Credit risk and credit derivatives

6 - Spread risk and default intensity models

7 - Portfolio credit risk

8 - Counterparty risk and beyond

9 - Netting, close-out and related aspects

10 - Margin(Collateral) and Settlement

11 - Future Value and Exposure

12 - CVA

13 - The evolution of stress-testing counterparty exposures

14 - Credit scoring and retail credit risk management

15 - Credit transfer markets and their implications

16 - An introduction of securitization

17 - Structured credit risk

18 - Understanding the securitization of subprime mortgage credit

Introduction

Introduction

1 - Introduction to Operational Risk and Resilience

2 - Risk Governance

3 - Risk Identification

4 - Risk Identification

5 - Risk Mitigation

6 - Risk Reporting

7 - Integrated Risk Management

8 - Cyber-Resilience: Range of Practices

9 - Case Study: Cyberthreats and Information Security Risks

10 - Sound Management of Risks Related to Money Laundering and Financing of Terrorism

11 - Case Study: Financial Crime and Fraud

12 - Guidance on Managing Outsourcing Risk

13 - Case Study: Third-Party Risk Management

14 - Case Study: Investor Protection and Compliance Risks in Investment Activities

15 - Supervisory Guidance on Model Risk Management

16 - Case Study: Model Risk and Model Validation

17 - Stress Testing Banks

18 - Risk Capital Attribution and Risk-Adjusted Performance Measurement

19 - Range of Practices and Issues in Economic Capital Frameworks

20 - Capital Planning at Large Bank Holding Companies

21 - Capital Regulation Before the Global Financial Crisis

22 - Solvency, Liquidity and Other Regulation After the Global Financial Crisis

23 - High-Level Summary of Basel Ⅲ Reforms

24 - Basel Ⅲ:Finalising Post-Crisis Reforms

introduction

1 - Liquidity Risk

2 - Liquidity and Leverage

3 - Early Warning Indicators

4 - The Investment Function in Financial-services Management

5 - Liquidity and Reserves Management Strategies and Policies

6 - Intraday Liquidity Risk Management

7 - Monitoring Liquidity

8 - The Failure Mechanics of Dealer Banks

9 - liquidity Stress Testing

10 - Liquidity Risk Reporting and Stress Testing

11 - Contingency Funding Planning

12 - Managing and Pricing Deposit Services

13 - Managing Non-deposit Liabilities

14 - Repurchase Agreements and Financing

15 - Liquidity Transfer Pricing: A Guide to Better Practice

16 - The US dollar Shortage in Global Banking and International Policy Response

17 - Covered Interest Parity Lost: Understanding the Cross-Currency Basis

18 - Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques

19 - Illiquid Assets

1 - Factor theory

2 - Factors

3 - Alpha (and the Low-Risk Anomaly)

4 - Portfolio Construction

5 - Portfolio Risk：Analytical Methods

6 - VaR and Risk Budgeting in Investment Management

7 - Risk Monitoring and Performance Measurement

8 - Portfolio Performance Evaluation

9 - Hedge Funds

10 - Performing Due Diligence on Specific Managers and Funds

11 - Predicting Fraud by Investment Managers

0 - current issues

1 - paper1

2 - paper2

3 - paper3

4 - paper4

5 - paper5

6 - paper6

7 - paper7

8 - paper8

1 - Estimating Market Risk Measures

2 - orrelation Basics

3 - The Science of Term Structure Models

4 - Volatility Smiles

1 - Basics of Credit Risk

2 - Credit Risk Measurements

3 - Counterparty Risk and Mitigations

4 - Credit Derivatives and Securitization

0 - introduction

1 - part 1

2 - part 2

3 - part 3

4 - part 4

1 - Factor Theory

2 - Factors

3 - Alpha (and the Low-Risk Anomaly)

4 - Portfolio Construction

5 - Portfolio Risk：Analytical Methods

6 - VaR and Risk Budgeting in Investment Management

7 - Risk Monitoring and Performance Measurement

8 - Portfolio Performance Evaluation

9 - Hedge Funds

10 - Performing Due Diligence on Specific Managers and Funds

11 - Detecting Fraud by Investment Managers

0 - topic0

1 - topic1

2 - topic2

3 - topic3

4 - topic4

5 - topic5

6 - topic6

7 - Topic7

8 - Topic8

9 - Topic9

10 - Topic10

11- Topic11

12 - Topic12

操作風險

金融時事分析

市場風險

流動性風險

投資風險

信用風險

全景模擬機考