金程教育FRM全景班讲义

11AnIntroductiontoRiskManagementCopyright2009ByGFEDU2¾CFAFRMCQF¾CFA®LevelI40CFA®LevelII20CFA®Level5FRM25CFRM2MBAIMBA222¾ISTP2007¾¾86-13917952237Email:[e-mail]2009ByGFEDU3OverviewIntroductiontoFinancialRiskManagementRiskandRiskManagementFRMExamin200915KeyQuantitativeConceptsinFRM20KeyFinancialConceptsinFRMƒPart1ƒPart2ƒPart3ƒPart4HowcanweusethefinancialcalculatorƒPart5Copyright2009ByGFEDU4RiskandRiskManagementCopyright2009ByGFEDU5WhatisRiskRisk&Hazard…zWhatisrisk?Wecareabout…zWhatisthepossibilityofthisrisksoccur?zIfthishappen,whatinfluencestheymayleft?zhowbigthelosesare?zArethislosespredictable?zWhattodotomakeeffectiveriskmanagement?Copyright2009ByGFEDU6LawRiskViolationoflawAdministrativeregulationsDepartmentpoliciesandrulesCommitmentsWhichmayleadtolegalproceedingsAuditsectorRiskmanagementsectorReceptionbackstageOperationalInternalcontrolfailureArtificiallyoperationerrorsPCsystembreakdownExternalissuesAllsectorsAuditsectorRiskManagementsectorMarketRiskInterestrateriskExchangerateriskStockindexCommoditiespricesTheseFundamentalmarketfactorsadversechangeInvestmentsectorRiskmanagementsectorCreditRiskCounterpartydefaultBondissuerdefaultDistributionagencydefaultDowngradeInvestmentsectorRiskmanagementsectorLiquidityRiskAssetliquidityriskCapitalliquidityriskInvestmentsectorRiskmanagementsectorThePrimaryRisksinFinancialInstitutionsCopyright2009ByGFEDU7IntegratedRiskManagementCopyright2009ByGFEDU8BasicProcedureinRiskManagementAccessRiskIdentificationArrangeImplementReplytoRiskSetupGoalsRiskManagementCycleThisisthebasicprocedureinriskmanagementMonitorEvaluateCopyright2009ByGFEDU9FRMExamin2009Copyright2009ByGFEDU10AboutFRMExam…zWhatformatdoestheFRMExamtake?zAddArethequestionspresentedbycategory?zHowshouldIpreparethiscomprehensivetest?FRMexamisPractical-orientedSolelyreviewtheexambymechanicalmemorizingcannothelpyouTheexamisgiveninbookletformCandidatesarelikelyinahurryduringthegameinthemorningduetothelargeamountofquestionsthatrequirecalculationTheFRMExaminationisa5-hour,140questionmultiple-choiceexaminationTheexaminationissplitintotwosections,eachis2.5hoursinlength,50%questionsrequirecalculation,theotherhalfquestionsarepuzzlingCopyright2009ByGFEDU11NewTestFormin2009A.Level1A.Level1CurrentissuesinthefinancialmarketsRiskmanagementandinvestmentmanagementFoundationsofRiskManagementFinancialMarketsandproductsMarketRiskCreditRiskOperationRiskB.Level2B.Level2MarketriskmanagementCreditriskmanagementOperationalriskmanagementRisk&InvestmentmanagementCurrentissuesinfinancialmarketQuantitativeAnalysisRiskModelingBreakdownofthetopicareasthatwillbecoveredfortheFRMExamLevelIandLevelIICopyright2009ByGFEDU12TheFull2009FRMExamCopyright2009ByGFEDU13Level1Topics&Readings-1•FoundationsofRiskManagement*Creatingvaluewithriskmanagement*Marketefficiency,equilibriumandtheCAPM*Performancemeasurementandattribution*Sharperatioandinformationratio*Trackingerror*FactormodelsandArbitragePricingTheory*Riskmanagementfailures*Casestudies*EthicsLevelI:20%FullExam:10%•QuantitativeAnalysis*Mean,standarddeviation,correlation,skewness,andkurtosis*Probabilitydistributions*Estimatingparametersofdistributions*Linearregressionandcorrelation,hypothesistesting*Statisticalinference*Estimatingcorrelationandvolatility*EWMA,GARCHmodels*Maximumlikelihoodmethods*Volatilitytermstructures*SimulationmethodsLevelI:20%FullExam:10%Copyright2009ByGFEDU14Level1Topics&Readings-2•FinancialMarketsandProducts*Clearinghousemechanisms,structuralhubs,exchanges*Netting,collateralanddowngradetriggers*Futures,forwards,swaps,andoptions*Derivativesonfixed1-incomesecurities,interestrates*Derivativesonfixed2-fx,equities,andcommodities*Measuringportfolioexposures*Americanoptions,effectsofdividends,earlyexercise*Tradingstrategieswithderivatives*Minimumvariancehedgeratio*Cheapesttodeliverbond,conversionfactors*Commodityderivatives,costofcarry*leaserate,convenienceyield*Basisrisk*Foreignexchangerisk*Debtequityswaps,loansales,Bradybonds*CorporatebondsLevelI:30%FullExam:15%Copyright2009ByGFEDU15Level1Topics&Readings-3•ValuationandRiskModels*ValueatRisk(VaR)oDefinitionandmethodsoDelta1normalvaluation,fullrevaluationoDelta2historicalsimulation,MonteCarlosimulation*ApplicationsofVaRformarket,creditandoperationalrisk*VaRoflinearandnonlinearderivatives*VaRforfixedincomesecuritieswithembeddedoptions*StructuredMonteCarlo*Termstructureofinterestrates*Discountfactors,arbitrage,yieldcurves*Bondprices,spotrates,forwardrates*DV01,durationandconvexity,durationbasedhedging*Creditratingagencies,creditratings*Credittransitionmatrices*Sovereignriskandcountryriskevaluation*Binomialtrees*BSMmodel*Greeks*StresstestingandscenarioanalysisLevelI:30%FullExam:15%Copyright2009ByGFEDU16Level2Topics&Readings-1•MarketRiskMeasurementandManagement*Volatilitysmilesandvolatilitytermstructures*Exoticoptions*Durationandconvexityoffixedincomesecurities*Termstructuremodels*Back-testingVaR*Mappingfinancialinstrumentstoriskfactors*Expectedshortfallandcoherentriskmeasures*Extremevaluetheory*Copulasandtaildependence*Mort