Take the examination of 2065 438+08 1 1 FRM as an example:
FRM level 1 exam content:
The qualitative topics of risk management account for the largest proportion, and ERM, the responsibility of company management, financial disaster and code of conduct are all relatively easy to examine. CAPM, APT and multi-factor model are the few quantitative test sites in this course.
Quantitative analysis will involve basic probability calculation, Bayesian formula, probability calculation corresponding to specific distribution, linear regression and hypothesis testing, variance modeling (EWMA, GARCH, etc. ).
Long-term pricing of financial markets and products, put option parity, interest rate parity formula, option futures market concept, CCP related content are often tested.
Qualitative and quantitative investigations will be conducted on the calculation of spot forward interest rate, bond pricing, Greek alphabet and hedging, calculation of risk value, expected loss and unexpected loss, and stress testing of valuation and risk model.
FRM level 2 exam content:
Market risk: Generally speaking, the examination questions are relatively routine, and QQ chart, volatility smile, regression hedging, interest rate binary tree calculation, and historical simulation method to find the qualitative and quantitative value of VAR are all key points.
Credit risk: a lot of reading, a lot of content is based on the description of the company's business to judge whether the company is facing credit risk and how to deal with these risks. At the same time, common problems also include the wrong way risk, Wright way risk, exponential distribution of PD, CVA calculation and so on.
Operational risk: covering a wide range, including disposal of collateral, outsourcing risk, RAROC, ARROC, IT system, NSFR, EVT liquidity risk and other test points.
Investment risk: calculation of combined VAR value, risk budget, Fama-French model, reasons for market abnormality, information ratio, calculation of marginal VAR component VAR, performance attribution, etc.