金融风险管理
FRMExamination介绍
Global Association of RiskProfessionals为1996年成立的国际非营利组织
在1997年开始每年秋季举办一次Financial Risk Manager (FRM)认证考试，迄今已成为国际财金界最权威的认证考试之一
FRM历年及格人数
有关FRM认证的详细介绍
网址:
书籍：The Financial Risk Manager Handbook, 3rd edition, by Philippe Jorion (New York: Wiley, 2005)
课程(考试)大纲
数量分析– 10%
市场风险衡量及管理– 25%
信用风险衡量及管理– 30%
操作及整合风险管理– 25%
风险及投资管理– 10%
数量分析Quantitative Analysis
Estimating parameters of distributions
Extreme value theory; basic principles
Hypothesis testing
Linear regression and correlation
Mean, standard deviation, correlation, skewness,
and kurtosis
Monte Carlo analysis
Probability distributions
Statistical properties and forecasting of correlation, covariance, and volatility
市场风险衡量及管理Market Risk Measurement and Management
Derivatives on fixed-income securities, interest rates, foreign exchange, equities, and commodities
Emerging market risks including currency crises
Identifying and measuring risk exposures
Interest rate, foreign exchange, equity, and commodity risks
Interest rates and bond pricing
Liquidity risk
Measuring and managing corporate exposures, including cash flow at risk
Risk budgeting
Stress testing
Valuation and risk analysis of futures, forwards, swaps, and options
Value-at-Risk: 1. Definition, delta-normal, historical simulation, Monte Carlo
2. Implementation 3. Limitations and alternative risk measures, ., conditional Value-at-Risk
信用风险衡量及管理Credit Risk Measurement and Management
Actuarial approach and CreditRisk+
Contingent claim approach and the KMV Model
Counterparty risks: 1. exposures
2. recovery rates
3. risk mitigation techniques including rating triggers, collateral, and seniority clauses
Credit derivatives
Credit migration, transition matrices, and CreditMetrics.
Credit ratings
Credit spreads
Default probabilities
Interest rates and yields
Margining
Netting
Portfolio credit risk
Settlement risk
Special purpose vehicles
操作及整合风险管理Operational and Integrated Risk Management
Aggregated distributions
Allocation of risk capital across the firm
Analyzing special purpose vehicles and securitizations
Bankruptcy
Correlations across market, credit, and operational risk
Definition of risk capital
Differences between market and operational VaRs
Evaluating the performance of risk management systems
Hedging operational risk using financial engineering
Implementation risks of risk management
Internal models approach for market risk (Market Risk Amendment [1996])
Insuring operational risk
Legal risk
Measuring firm-wide risk
Severity and frequency distributions for operational risk
Types of operational risk
Workflow in financial institutions
风险及投资管理Risk Management and Investment Management
Traditional investment risk management
1. Return metrics (Sharpe ratio, information ratio, VaR, relative VaR, tracking error, survivorship bias)
2. Implementing VaR
3. Benchmarking asset mixes
4. Risk decomposition and performance attribution
5. Risk budgeting
6. Tracking error
7. Setting risk limits
8. Risk of alpha transfer strategies
9. Risk management issues of pension funds
Hedge fund risk management
-return metrics specific to hedge funds (drawdown, Sortino ratio)
2. Risks of specific strategies (fixed-income arbitrage, merger arbitrage, convert arbitrage, equity long/short-market neutral, macro, distressed debt, emerging markets)
3. Asset illiquidity, valuation, and risk measurement
4. The use of leverage and derivatives and the risks they create
5. Problems in measuring exposures to risk factors (dynamic strategies, leverage, derivatives, style drift)
6. Correlations among hedge funds and between hedge funds and other assets
教科书与参考数据书目
金融风险管理手册(第五版)
讲义
课程进度
本课程乃整合同学们已学的统计学、财务管理、金融市场及衍生性金融商品等课程，为财金系学生的基本专业知识
以同学们能否吸收理解作为课程进度快慢及内容多寡的唯一标准
课程单元
各课程单元皆包括:
1.该单元的预期学习目标(Learning outcome statement, LOS)
2.课程内容
3.课程练习题(含答案)；及
4.课后测验题(不含答案)
评量方式
期中考(40%)、、期未考(60%)
各为25题四选一的选择题
使用中文翻译的FRM历年考题
及格标準:加权五十分 (期中考X 40% +期未考X 60%≧50 )
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