考試資格

 考試或報名時，沒有學歷與行業上的限制，大學在學學生亦可報考

資格取得

1. 通過FRM的考試

2. 兩年財務風險管理相關的工作經驗

3. 參加GARP會員（Association Of Risk Professionals，全球風險管理專業協會 http://www.garp.com/），並繳交100元美金會費

4. 簽署職業道德公約

測驗科目

考試題型

1. FRM全部以英文出題，GARP每年都會公佈STUDY GUIDE考試內容。

2. 選擇題全部4選1單選分上、下午各2.5小時，各出70題共140題

The FRM Examination is a 5-hour, approximately 140 question multiple-choice examination. The examination is split into two sections in which each is 2.5 hours in length. The exam is given in booklet form.

3. 維持公平競爭性，GARP指定兩款的計算機TI BAII PLUS及HP12C，其他型號的計算機、個人數位助理（PDA）及其他電子設備均不得攜入試場。

4. FRM STUDY GUIDE OUTLINE下載。

報名日期與考試費用

測驗範圍

1) Quantitative Analysis 

1. Probability distributions 

2. Mean, standard deviation, correlation, skewness, and kurtosis 

3. Estimating parameters of distributions 

4. Hypothesis testing 

5. Linear regression and correlation 

6. Statistical properties and forecasting of correlation, covariance, and volatility 

7. Extreme value theory; basic principles 

8. Monte Carlo analysis 

2) Market Risk Measurement and Management

1. Interest rates and bond pricing 

2. Interest rate, foreign exchange, equity, and commodity risks

3. Valuation and risk analysis of futures, forwards, swaps, and options 

4. Derivatives on fixed income securities, interest rates, foreign exchange, equities, and commodities 

5. Emerging market risks including currency crises 

6. Identifying and measuring risk exposures 

7. Value-at-Risk: 

i. Definition, delta-normal, historical simulation, Monte Carlo 

ii. Implementation 

iii. Limitations and alternative risk measures, e.g., conditional Value-at-Risk 

8. Risk budgeting 

9. Stress testing 

10. Liquidity risk 

11. Measuring and managing corporate exposures, including cash flow at risk 

3) Credit Risk Measurement and Management

1. Credit ratings 

2. Default probabilities 

3. Credit spreads 

4. Actuarial approach and CreditRisk+ 

5. Contingent claim approach and the KMV Model 

6. Credit migration, transition matrices, and CreditMetrics

7. Counterparty risks: 

i. Exposures 

ii. Recovery rates 

iii. Risk mitigation techniques including rating triggers, collateral, and seniority clauses 

8. Credit derivatives 

9. Margining 

10. Netting 

11. Portfolio credit risk 

13. Settlement risk 

14. Special purpose vehicles

4) Operational and Integrated Risk Management, Legal, Accounting, and Ethics 

1. Types of operational risk 

2. Workflow in financial institutions 

3. Severity and frequency distributions for operational risk 

4. Aggregated distributions 

5. Differences between market and operational VaRs 

6. Hedging operational risk using financial engineering 

7. Insuring operational risk 

8. Measuring firm-wide risk 

9. Correlations across market, credit, and operational risk 

10. Definition of risk capital 

11. Allocation of risk capital across the firm 

12. Evaluating the performance of risk management systems 

13. Implementation risks of risk management 

14. Accounting for derivatives 

i. Hedge accounting (FAS 133 , IAS 139) 

ii. Hedge effectiveness (FAS 133) 

iii. Mark-to-market accounting for derivatives 

15.  Analyzing special purpose vehicles and securitizations 

16. Reporting requirements for derivatives (SEC) 

17. Bankruptcy including; 

i. Offsets 

ii. Priority rules 

18. Basel II 

i. The three pillars 

ii. The internal ratings-based approach (foundation and advanced IRB) 

iii. Operational risk (foundation and advanced approach) 

19. Internal models approach for market risk (Market Risk Amendment [1996]) 

20. Group of Thirty Report 

21. Legal risk including: 
i. Suitability issues 
ii. Disclosure of derivative positions 

22. Regulation of financial institutions including: 

i. Government regulatory bodies 

ii. EU Capital Adequacy Directive 

23. Sarbanes-Oxley 

主辦單位

GARP，全球風險專業管理協會

自1997年開始，每年以超過38%成長率的人數，參加FRM認證考試。全球已近有4000名成為FRM CHARTER HOLDER。

FRM'S FAQ : http://www.garp.com/frmexam/2004frmexamfaq.asp