2014年11月FRM考试重点解析

brooke

FRM Review

Part One：Qunats Analysis

1. Bays rules

2. Variance(ax+by)

3. Confidence interval estimate 简单的计算，已知置信水平，标准差，mean

4. P-value

5. R∧2=SSR/SST

6. Correlation coefficient 计算

7. 极值定理，比课堂讲得考的深，问到了具体的密度函数公式中的内容

Part two：market risk

1. 已知几个 bonds' effective duration, market prices, and face values. Calculate portfolio's duration

2. Convexity 对 bond 价格的影响

3. IO strips and PO strips 那个duration 是负的

4. Forward price 的计算有dividend yield 和 convenience yield

5. Commodity forward price的计算

6. 那个案例是basis risk

7. Interest swap present value的计算

8. Currency swap 单个cash flow的计算

9. AMERICAN option什么情况下可提前执行，upper and lower bounds

10. Covered call + protective put = collar

11. Strap 的运用在什么条件下

12. Binary option

13. Shout option

14. Portfolio VaR计算

15. GARCH persistence factor

16. Greek letters考gamma vega 调整，考调整vega后买stock最后delta为零

Part three：credit risk

1. 国家credit rating和6个影响国家信用的比例列表，问该投资哪国国债

2. Though the cycle，at the point哪个procyclicality

3. Merton model 计算 value of equity，没有公式一定要很清楚的记住d的求法

4. Neyman pearson decision rule.

Use the statistical concept of Type 1 and Type 2 errors

5. Altman credit scoring 没有要求计算

It is an example of a subgroup model , where as logit models give a score that can be interpreted as the probability of default.

6. probability of default 的计算3-5题

7. concentration limit 的计算

8. Novation

9. Hot collateral=“on special”

Difficult to obtain

10. 列表7笔交易5项 netting 2项non netting agreement算一方的credit exposure

11. risk neutral mean loss rate

12. multiyear resturing agreement的计算

13. ISDA TRIGGERING EVENTS

A downgrade from a rating agency is not defined as a credit enent.

14. Settlement amount of credit default swap

Note:don't forget "accrued interest"

15. n-to-default swap 和 basket default swap

Note that the probability of any one （or nth）reference entity defaulting is lower when the Assets are highly correlated，but higher when they are less correlated。

16. Cancelable default swap=having the right to cancel the swap

Callable default swap = buyer of the swap

Putable default swap = seller of the swap

17. TROR 在 libor 变化时 receiver 的cash flow 变化

Protect payers from interest risk

18. Credit spread option pay off 的计算

Schweser notes 3 / page 125

19. Cash CDOs and synthetic CDOs 区别

In Cash CDOs , the issuer directly buys the actual securities

20. BISTRO 和 j-port区别

Both are synthetic structures. Pls refer to Schweser note 3 / page 138-139

21. Dollar VaR的计算

Part four：optional risk

1. BIS定义中不包含的风险

Not include strategic and reputatiponal risk

Include legal risk

2. Connectivity model two techniques 要详细看，考的很细

3. Parametric model：convolution 的定义，案例题convolution的应用原理，公式

4. Contingent credit line 和 risk prevention control 的定义

5. Cat bond 的 payoff 免赔共保

6. LVAR的计算

7. Close out

8. Economic of scale and scope 案例题

9. Model risk 定义，案例题判断是不是model risk

10. 市场假说对 risk management 的影响

11. Flight to the quality 案例

12. Financial conglomerates diversification benefits

13. Hub and spoke 定义

14. 3+1 pillars legal firewall

15. 新 basel 风险权重函数是有basel committee给出不能自己设

16. Basel back testing 99% daily，one year historical data，time lag 6 months

17. Case study SUMITOMO , BARINGS , LTCM主要考风险原因

18. Asian crisis（Thailand）, may not be tested again

19. For 2007, Amaranth Debacle

Part five：investment management

1. Pure diversifier 的定义

2. Style drift 的表现形式，和考察方法

3. Convertible arbitrage strategy

4. Regulation D

5. ASSETS ALLOCATION 是一到案例题

6. Treynor measurement 分子上减的是risk free rate

7. Tracking error 的计算案例题 给出两组数据

8. MSD（半方差）计算给出 information ration ，sortino ratio