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金融风险管理师(FRM)考试2009全景班讲义

金融风险管理师(FRM)考试2009全景班讲义

Risk & Hazard …
What is risk?
We care about …
What is the possibility of this risks occur?
If this happen, what influences they may left?
how big the loses are?
Are this loses predictable?
What to do to make effective risk management?

FRM Exam in 2009

Valuation and Risk Models

Value‐at‐Risk (VaR)
o Definition and methods
o Delta 1‐normal valuation, full revaluation
o Delta 2‐historical simulation, Monte Carlo simulation
* Applications of VaR for market, credit and operational risk
* VaR of linear and non‐linear derivatives
* VaR for fixed income securities with embedded options
* Structured Monte Carlo
* Term structure of interest rates
* Discount factors, arbitrage, yield curves
* Bond prices, spot rates, forward rates
* DV01, duration and convexity, duration based hedging
* Credit rating agencies, credit ratings
* Credit transition matrices
* Sovereign risk and country risk evaluation
* Binomial trees
* BSM model
* Greeks
* Stress testing and scenario analys

Market Risk Measurement and Management

Volatility smiles and volatility term structures
* Exotic options
* Duration and convexity of fixed income securities
* Term structure models
* Back-testing VaR
* Mapping financial instruments to risk factors
* Expected shortfall and coherent risk measures
* Extreme value theory
* Copulas and tail dependence
* Mortgages and mortgage‐backed securities
o Underwriting mortgages
o Prepayment models
o Risks in mortgages and mortgage‐backed securities
o Valuation of mortgage‐backed securities


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