The FRM exam is divided into two levels. Today, let's introduce the situation of FRM level 1, and then explain the knowledge points of FRM level 2 in the next article.
Fundamentals of Risk Management-Part I Examination Weight 20%(FRM)
The reading materials related to Risk Management Basics cover a wide range of knowledge fields, including the following: basic risk types, measurement and management tools, creating value through risk management, and the role of risk management in corporate governance.
Enterprise risk management (ERM), financial disaster and risk management failure, capital asset pricing model (CAPM), risk-adjusted performance measurement, multi-factor model, data aggregation and risk reporting, ethics and GARP code of conduct.
Quantitative Analysis-Part I Check Weight 20%(QA)
Reading related to quantitative analysis covers a wide range of knowledge fields, including the following contents: discrete and continuous probability distribution, parameters of estimated distribution, population and sample statistics, Bayesian analysis, statistical inference and hypothesis testing.
Use EWMA and GARCH models to estimate correlation and volatility, volatility term structure, correlation and copulas, univariate and multivariate linear regression, time series analysis and prediction, and simulation methods.
Financial Markets and Products-Part I Examination Weight 30%(FMP)
Reading related to financial markets and products covers the following areas: the structure and function of financial institutions, the structure and mechanism of OTC market and exchange market.
Structure, mechanism and forward, valuation of futures, swaps and options, hedging of derivatives, interest rate and interest rate sensitivity measurement, foreign exchange risk, corporate bonds and mortgage-backed securities.
Valuation and Risk Model-Part I Examination Weight 30%(VRM)
The extensive knowledge fields involved in the reading materials related to valuation and risk model include:
Value at Risk (VaR), Expected Shortage (ES), Stress Testing and Scenario Analysis, Option Valuation, Fixed Income Valuation, Hedging, National and Sovereign Risk Model and Management, External and Internal Credit Rating, Expected and Unexpected Losses, Operational Risk.