|
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
|
FRM
財金風險管理師考試範圍