2009年FRM讲义下载

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15 Key Quantitative Concepts in FRM Exam

Subprime mortgages and subprime securitization
* Counterparty risk and OTC derivatives
* Credit derivatives, credit default swaps and credit﹍inked notes
* Structured finance, securitization, tranching and subordination
* Collateralized Debt Obligations (pricing and risk management)
* Probability of default, loss given default and recovery rates
* Credit scoring
* Credit spreads

Forward rates apply between two periods in the future but the rate is agreed today
‘Locks in’ an interest rate on a loan or deposit between two future dates
It can be shown that f12 is the market’s best forecast of what the “the one-year interest rate in one-years time” will be
Forward rates are used to “price” FRA

小数位数的设置
小数位数的设置:默认为两位小数；更改设置时,依次按2ND ·，表示调用FORMAT功能，出现DEC=2.00，若要改为四位小数，输入4，再按ENTER，出现DEC=4.0000。
考试时一般最好设为4位小数。这样输入金额时可以万元计，结果的小数点4位，答案可以精确到元。
小数位数设置将保持有效，不会因退出或重新开机而改变，要重新设置FORMAT才会改变。