1. Risk management basis
CAPM formula and its application
Arbitration instigation theory and multi-factor model garp code of conduct for financial disasters Review strategy for credit crisis in 2007: more qualitative chapters, focusing on the required test sites, and making a breakthrough! Other knowledge points can be understood.
2. Quantitative analysis
Expected return, correlation, standard deviation, covariance, standard error, skewness, Cotto distribution hypothesis test.
Bayesian rule
Regression: time series, autocorrelation, multilinear.
Review strategy: knowledge points are abstract, test sites are scattered, and important conclusions are memorized! Of course, it is best to understand, but it is really incomprehensible. Remember the formula and conclusion first. )
3. Financial market and product review strategy: derivative products are the top priority of FRM! The test center is fixed, with 20~30 questions per year, and the ideas and methods of writing questions are similar. Frequently asked questions, such as FRA calculation, IRP swap fixed interest rate, etc.
Futures (basic concepts, futures pricing, futures hedging, interest rate futures) forward (basic concepts, forward pricing, FRA) option (basic concepts, option portfolio strategy, exotic options) swap (basic concepts, fixed interest rate pricing of interest rate swap) central counterparty (FRM level 1 and level 2 new knowledge points) foreign exchange risk MBS.
rating organization
4. Valuation and risk model
Fixed income (many basic knowledge points)
Option valuation (binary tree, bsm, Greek alphabet) market risk (introduction to var, EWMA, GARCH) credit risk.
operating risk
Bond and option pricing is the top priority of FRM, and there are many related calculations.
5. Market risk measurement and management
Copula function
Backtracking test risk value
Overnight index swap (OIS)
VaR mapping
Extreme value theory (GPD threshold)
Why BSM is not suitable for evaluating Zhan Sen inequality of fixed income securities?
6. Credit risk measurement and management
Credit value adjustment (PD, EAD, LGD)
Credit risk is calculated by default probability of counterparty risk (liquidation clause, net settlement coefficient).
Influence of correlation on expected and unexpected loss share (secondary CDS)
7. Operational risk measurement and management
ARAROC Ararock (calculation+concept)
LVaR calculation
Frequency and severity distribution
load test
Basel Accord (three pillars, market risk cost in Basel 2.5)
8. Calculation of risk value and marginal risk value in risk management and investment management.
Financing risk (earnings calculation)
hedge fund
9. Frontier topics in financial markets
This part has changed a lot, so there is no fixed test center.