FRM学习资料八：2010 FRM Examination Part I AIM Statements

金融风险管理师（FRM）学习资料：2010 FRM Examination Part I AIM Statements PDF电子书

5th HANDBOOK 中FRM一级需要看的内容

PART ONE Quantitative Analysis
Chapter1—4（全部）

PART TWO Capital Markets
Chapter5—9（6.4 奇异期权除外 7.6证券化除外）

PART THREE Market Risk Management
Chapter 10、12、13、14、15

PART FOUR Investment Risk Management
Chapter 16 中的 16.1和16.2

PART FIVE Credit Risk Management
Chapter 19 中的 19.1 19.2.1 19.2.4 19.4.2 19.4.3

2010 FRM Examination Part I AIM Statements

AIMS – Candidates, after completing this reading, should be able to:
Describe the responsibility of each GARP member with respect to professional integrity,
ethical conduct, conflicts of interest, confidentiality of information and adherence to
generally accepted practices in risk management.
Describe the potential consequences of violating the GARP Code of Conduct.

         
AIM Statements, 2010 FRM Part I Page 9 of 39
2010 by Global Association of Risk Professionals, Inc.

Quantitative Analysis
Part I Exam Weight: 20%
Probability distributions
Mean, standard deviation, correlation, skewness, and kurtosis
Estimating parameters of distributions
Linear regression
Statistical inference and hypothesis testing
Estimating correlation and volatility: EWMA and GARCH Models
Maximum likelihood methods
Volatility term structures
Simulation methods
Readings for Quantitative Analysis
8. Damodar Gujarati, Essentials of Econometrics, 3rd
Edition (New York: McGraw〩ill,
2006).
Chapter 1 – The Nature and Scope of Econometrics
Chapter 2 – Review of Statistics: Probability and Probability Distributions
Chapter 3 – Characteristics of Probability Distributions
Chapter 4 – Some Important Probability Distributions
Chapter 5 – Statistical Inference: Estimation and Hypothesis Testing
Chapter 6 – Basic Ideas of Linear Regression: The Two-Variable Model
Chapter 7 – The Two-Variable Model: Hypothesis Testing
Chapter 8 – Multiple Regression: Estimation and Hypothesis Testing

9. Jorion, Value゛t㏑isk, 3rd Edition
Chapter 12- Monte Carlo Methods
10. John Hull, Options, Futures, and Other Derivatives, 7
th
Edition (New York: Pearson,
2009).
Chapter 21 – Estimating Volatilities and Correlations
11. Svetlozar Rachev, Christian Menn, and Frank Fabozzi, Fat㏕ailed and Skewed Asset
Return Distributions: Implications for Risk Management, Portfolio Selection and Option
Pricing (Hoboken, NJ: Wiley, 2005).
Chapter 2 – Discrete Probability Distributions
Chapter 3 – Continuous Probability Distributions
12. Linda Allen, Jacob Boudoukh and Anthony Saunders, Understanding Market, Credit and
Operational Risk: The Value at Risk Approach (Oxford: Blackwell Publishing, 2004).
Chapter 2 – Quantifying Volatility in VaR Models
AIM Statements, 2010 FRM Part I Page 10 of 39
2010 by Global Association of Risk Professionals, Inc.

Readings for Quantitative Analysis