數(shù)量分析

風險管理基礎

估值與風險模型

金融市場產品

模擬機考

操作風險

current issue

流動性風險

市場風險

投資風險

信用風險

模擬機考

1.Fundamentals of Probability

2.Common Distributions

3.Descriptive Statistics

4.Inferential statistics

5.Hypothesis testing

6.Correlation analysis

7.Linear regression

FRM與英語(1)

FRM與英語(2)

Grammar(1)

Grammar(2)

Financial Risk

Financial Institute(1)

Financial Institute(2)

Financial Institute(3)

Financial Products(1)

Financial Products(2)

1.Introduction

2.Calculator Version

3.Calculator overview

4.Decimal point setting

5.Priority mode setting

6.Beginning and End mode setting

7.Store and call function

8.Common Clear key

9.Exponential function

10.Logarithm, factorial, permutation and combination function

11.Poisson distribution, binomial distribution function

12.Bond price calculation and date function

13.Time value of money function

14.Practice of time value of money

15.Situations where time value of money does not apply

16.Statistics function

1.Introduction to financial market products

2.Bank

3.Insurance company and fund company

4.OTC and bond

5.Bond

6.Forward and futures

7.Swap

8.Options

1.Definition of bond

2.Face value of bonds

3.Term of repayment/Maturity and Coupon rate

4.Frequency of coupon payment

5.Issue price

6.Repayment and Liquidity

7.Safety/Security and Profitability

8.Divided by issuer

9.Divided by property guarantee

10.Divided by the rate of coupon payment

11.Bonds Versus Stocks

12.Bonds Versus Funds

13.Risks Faced

14.Risk Management

15.Pricing of Bonds

1.Bank Governance Framework

2.Bank operation model

3.Bank financial statement

前言

1-1 Typology of Risks and Risk Interactions

1-2 The Risk Management Process

1-3 quantitative risk metric

1-4 Risk Factor Breakdown and Interactions Between Factors

1-5 Structural Change From Tail Risk to Systemic Crisis

1-6 Human Agency and Conflicts of Interest

1-7 Risk Aggregation

1-8 Balancing Risk and Reward

2-1 Background The Modern Imperative to Manage Risk

2-2 Risk Appetite – What Is It

2-3 Risk Mapping

2-4 Strategy Selection Accept, Avoid, Mitigate, Transfer

2-5 Rightsizing Risk Management

2-6 Risk Transfer Toolbox

2-7 What Can Go Wrong in Corporate Hedging

3-1 The Post-Crisis Regulatory Response

3-2 Infrastructure of Risk Governance

3-3 Risk Appetite Statement

3-4 Implementing Board-Level Risk Governance

3-5 Risk Appetite and Business Strategy The Role of Incentives

3-6 Incentives and Risk-Taking

3-7 The Interdependence of Organizational Units in Risk Governance

3-8 Assessing the Bank’s Audit Function

4-1 Overview of Credit Risk Transfer Mechanisms

4-2 How Credit Risk Transfer Can Be Useful

4-3 The Mechanics of Securitization

4-4 From Buy-and-Hold to Originate-to-Distribution

5-1 Modern Portfolio Theory

5-2 The Capital Asset Pricing Model

5-3 The Capital Market Line and the Security Market Line

5-4 Performance Measures

6-1 The Arbitrage Pricing Theory

6-2 Different Types of Factor Models

7-1 Introduction

7-2 Benefits of Effective Risk Data Aggregation and Reporting

7-3 Key Governance Principles

7-4 Data Architecture and IT Infrastructure

7-5 Characteristics of a Strong Risk Data Aggregation Capability

7-6 Characteristics of Effective Risk Reporting Practices

7-6 Characteristics of Effective Risk Reporting Practices

8-1 ERM What Is It and Why Do Firms Need It

8-2 ERM – A Brief History

8-3 ERM From Vision to Action

8-4 Why Might Enterprise Risk Demand ERM Four key Reasons

8-5 The Critical Importance of Risk Culture

8-6 Scenario Analysis ERM’s Sharpest Blade

9-1 Interest Rate Risk

9-2 Funding Liquidity Risk

9-3 Constructing and Implementing a Hedging Strategy

9-4 Model Risk

9-5 Rogue Trading and Misleading Reporting

9-6 Financial Engineering

9-7 Reputation Risk

9-8 Corporate Governance

9-9 Cyber Risk

10-1 Introduction and Overview

10-2 How It All Started

10-3 The Role of Financial Intermediaries

10-4 Issues with the Rating Agencies

10-5 A Primer on the Short-Term Wholesale Debt Market

10-6 The Liquidity Crunch Hits

10-7 Central Banks to the Rescue

11-1 Introduction Statement

11-2 Rules of Conduct

0-1 Introduction

1-1 Probabilities Concepts

1-2 Total probability and Bayes’ theorem

2-1 Discrete & Continuous Random Variable

2-2 Descriptive Statistics- Four Moments

3-1 Discrete Distribution

3-2 Continuous Distribution

4-1 Discrete Bivariate Random Variable

4-2 Covariance and Correlation

4-3 Independent Identical Distributed

4-4 Cross central moment

5-1 Inferential Statistics

5-2 Properties of Estimators

5-3 LLN and CLT

6-1 Null vs. Alternative hypothesis

6-2 Test statistic

6-3 Mean Tests

6-4 Variance Test

6-5 Type I and Type II Error

7-1 Ordinary Least Squares

7-2 Measuring Model Fit

7-3 OLS Parameter Estimators

7-4 Hypothesis Testing for Regression Coefficients

8-1 Multiple Linear Regression

8-2 Measures of Fit

8-3 Hypothesis Testing in Multiple Linear Regression

8-4 ANOVA

9-1 Omitted Variables

9-2 Heteroskedasticity

9-3 Multicollinearity

9-4 Outliers

9-5 The Bias-Variance Tradeoff

10-1 Cycle

10-2 White Noise and Wold’s Theorem

10-3 AR, MA and ARMA(1)

10-3 AR, MA and ARMA(2)

11-1 Trend and Seasonality

11-2 Random Walk and Unit Roots

12-1 Returns and Volatility

12-2 Measuring Correlations

12-3 The Distribution of Financial Returns

13-1 Simulation Random Variables

13-2 Bootstrapping

1-1 Types of Banks

1-2 The risk in Banking

1-3 Bank Regulation

1-4 Deposit Insurance

1-5 Investment Banking

1-6 Conflicts of interest

1-7 The Originate-to-Distribute Model

2-1 Categories of insurance companies

2-2 Life Insurance

2-3 Pension Plans

2-4 Property and Casualty Insurance

2-5 Moral hazard and adverse slection

2-6 Regulation

3-1 Mutual funds

3-2 Exchange-Traded Funds

3-3 Undesirable Trading Behavior

3-4 Hedge funds

3-5 Types of Hedge funds

3-6 Research of Returns

4-1 Clearing

4-2 Exchanges

4-3 How CCPs handle Credit Risk

4-4 Over the Counter Markets

5-1 The operation of CCPs

5-2 Regulations of OTC derivatives Markets

5-3 Standard and Non-Standard transactions

5-4 The Move to Central Clearing

5-5 Impacts of Central Clearing on Financial Markets

5-6 Clearing Members and Non-Members

5-7 Advantages and Disadvantages of CCPs

5-8 CCP Risks

6-1 Interest rate＆Compounding

6-2 Spot rates and Forward rates

6-3 Three theories of term structure

6-4 Bond pricing ＆Quotations bond

6-5 Accrued Interest

6-6 Duration and convexity

7-1 Bond issuance

7-2 Bond trading

7-3 Bond indentures

7-4 Types of corporate bonds

7-5 Bonds retiring

7-6 Bond risk

7-7 Recovery rate and Default rate

7-8 High-yield bonds

7-9 Expected return from bond investment

8-1 Derivatives

8-2 Forward and Futures contract

8-3 Swap

8-4 Option

8-5 Market Participants

8-6 Strategies and Payoffs

9-1 Specification of Futures

9-2 Commodity Characteristics

9-3 Basis

9-4 Termination & Delivery

9-5 Margins

9-6 Marking to market

9-7 Trading orders

9-8 Contango and backwardation

10-1 Investment Assets and Consumption Assets

10-2 Short Selling and Short Squeeze

10-3 Forward Pricing

10-4 Arbitrage transaction

10-5 The Value of a Forwards Contract

10-6 Relation between forward and futures prices

11-1 Quotes

11-2 Estimating FX Risk

11-3 Multi-currency heding using options

11-4 Determinations of exchange rates

11-5 Foreign exchange exposure

11-6 Nominal and real interst rates

11-7 Interest rate parity

12-1 Forward Rate Agreements

12-2 T-Bond Futures

12-3 Eurodollar Futures

12-4 Duration-Based Hedging

13-1 Hedges basic

13-2 Basis Risk

13-3 Optimal hedge rations

13-4 Hedge Equity Positions

13-5 Duration-Based Hedging

13-6 Creating long-term hedges

14-1 Interest rate swap

14-2 Currency swap

15-1 Calls and Puts

15-2 Exchange-traded options on stocks

15-3 Option trading

15-4 Margin requirements

15-5 Other option-like securities

16-1 Factors of option price

16-2 Price bounds of options

16-3 Put-call parity

17-1 Simple Strategies

17-2 Spread strategies

17-3 Combination strategies

18-1 Exotic Options

19-1 Mortgages types

19-2 Monthly payments

19-3 Prepayments and factors

19-4 Securitization- MBS

19-5 Agency mortgage-backed securities

19-6 Other Agency Products

19-7 Valuation of an MBS Pool

19-8 Option adjusted spread

科目介紹

1-1 The Mean-Variance Framework

1-2 VaR

1-3 Expected Shortfall

1-4 Coherent Risk Measures

2-1 Historical Simulation

2-2 The Delta-Normal Model

2-3 The Delta-Gamma Model

2-4 Monte Carlo Simulation

3-1 Deviations From Normality

3-2 Historical Standard Deviation Method

3-3 Exponentially Weighted Moving Average Model

3-4 GARCH

3-5 Implied Volatility

3-6 Correlation

4-1 Rating Scales

4-2 Historical Performance

4-3 The Rating Process

4-4 Alternative to Ratings

4-5 Internal Ratings

4-6 Ratings Transitions

4-7 The Rating of Structured Products

5-1Evaluation of Risk

5-2 Total Risk

5-3 Sovereign Credit Risk

5-4 Sovereign Credit Rating

5-5 Sovereign Default Spread

6-1 Background

6-2 The Mean and Standard Deviation of Credit losses

6-3 The Gaussian Copula Model

6-4 The Vasicek Model

6-5 Creditmetrics

6-6 Risk Allocation

6-7 Challenges

7-1 large Risks

7-2 Measure of Operational Risk Capital - BIA

7-3 Measure of Operational Risk Capital - SA

7-4 Measure of Operational Risk Capital - AMA

7-5 Measure of Operational Risk Capital - SMA

7-6 Potential Biased

7-7 Reducing Operational Risk

7-8 Insurance

8-1 Stress Testing Versus VaR and ES

8-2 Choosing Scenarios

8-3 Stress Testing

8-4 Governance

8-5 Basel Stress-Testing Principles

9-1 Treasury Bills and Treasury Bonds

9-2 The Law of One Price and Arbitrage

9-3 Discount Factors From Coupon-Bearing Bonds

10-1 Measuring Interest Rates

10-2 Spot Rates

10-3 Par Rates

10-4 Forward Rates

10-5 Properties of Spot, Forward, and Par rates

10-6 Other Rates

10-7 Flattening and Steepening Term Structures

11-1 Realized Return and Spread

11-2 Yield to Maturity

11-3 Return Decomposition

12-1 Yield Duration

12-2 Curve Duration

12-3 Convexity

12-4 Constructing Portfolio

13-1 Principal Components Analysis

13-2 Key Rate 01S

13-3 Bucketing Approach

14-1 One-step Tress

14-2 Two-step Trees

14-3 Risk Neutral Valuation

14-4 Valuation of Options

14-5 Altered Binomial Model

14-6 Binomial Trees

15-1 The Black-Scholes-Merton Model

16-1 Greeks