The FRM Level 1 exam focuses on tools for assessing financial risks. They include:
Conceptual basis of risk management, accounting for 20%.
Quantitative analysis, accounting for 20%.
Financial markets and products, accounting for 30%.
Valuation and risk models account for 30%.
Second, the key content of FRM Level 1 exam
Financial markets and products at the FRM level are the focus of the exam. Including various derivatives, interest rate futures, mBS, etc. It is important to understand concepts and formulas.
Every year, the valuation and risk model also focuses on options, bond valuation and market risk (such as Var). The first two parts have more calculations, especially the quantitative analysis part, and there are more models.
The basic contents of financial risk management theory are also investigated, including financial risk management foundation, quantitative analysis, financial market and products, valuation and risk modeling.
Examine candidates' valuation and risk control of financial markets and products, especially derivatives.
The first-level FRM exam mainly focuses on financial markets and products, valuation and modeling, accounting for 60% of the weight. Make candidates have a basic understanding of financial products and have reasonable control over major financial risks.
Three. FRM Level 1 Examination Outline
The outline of 2065 438+08 FRM examination has been published. The following are the changes in the outline of FRM Level 1 examination in Bian Xiao:
Fundamentals of risk management: Delete: Explain how banks create debt-backed bonds.
The increase of financial markets and products: distinguish the main types of traders: hedgers, speculators and arbitrageurs.
Financial market and product increase: describe the ratio of participants in central settlement, and distinguish between bilingual settlement and centralized settlement.
Financial markets and product additions: explaining different market quotations
Added valuation and risk modeling: defining and calculating the delta of stock options.
20 18 There is no change in quantitative analysis in the new FRM examination syllabus. You can study as before. Get the latest FRM syllabus online.
FRM level 2 exam content
The FRM level 2 exam focuses on the application of the tools obtained in the FRM level 1 exam. They include:
Market risk measurement and management, credit risk measurement and management, operation and comprehensive risk management, risk management and investment management, and current problems in financial markets.
The following small series will explain the key contents of each subject for everyone:
1. Market risk measurement and management, accounting for 25%.
This field mainly studies market risk measurement and management technology. Covers a wide range of knowledge points. Measurement and management of market risks include:
VaR and other risk measures: parametric and nonparametric estimation methods, VaR mapping, back-measured VaR, expected shortage and other related risk measures.
Model correlation: correlation and Copula
Term structure model of interest rate
Volatility: Smile and Term Structure
2. Credit risk measurement and management, accounting for 25%.
This field focuses on the examinee's understanding of credit risk management, focusing on structured financing and credit products, such as mortgage debt and credit derivatives.
Reading related to credit risk management involves a wide range of knowledge fields including the following:
Credit analysis
Default risk: quantitative method
Expected and unexpected losses
Credit risk value
Counterparty risk
Credit derivatives
Structured financing and securitization
Three. Operations and integrated risk management, accounting for 25%.
This field focuses on the methods of measuring and managing operational risks and managing risks throughout the organization, including risk governance, stress testing and compliance.
Extensive knowledge points covered by operational and comprehensive risk measurement and management include:
Good operational risk management principles
Enterprise risk management and enterprise risk management
IT infrastructure and data quality
Internal and external operating loss data
Methods of determining operational risk capital for regulatory purposes
Model risk and model verification
Extreme value theory (EVT)
Risk-adjusted return on capital (RAROC)
Economic Capital Framework and Capital Planning
Liquidity risk measurement and management
Failure mechanism of dealer bank
Stress testing banks, third-party outsourcing risks, risks related to money laundering and terrorist financing, supervision and Basel Accord.
4. Risk management and investment management (risk management and investment management), accounting for 15%.
This field focuses on applying the investment management concept of risk management technology to the investment management process. Investment management and risk management cover a wide range of knowledge points, including the following:
Factor theory
Combined structure
Portfolio risk measurement
Risk budget
Risk monitoring and performance evaluation
Performance Analysis Based on Portfolio
Hedge fund
5. Current issues in financial markets, accounting for 10%.
This part of the exam will test the understanding of FRM registered candidates on the materials covered in each paper. The broad knowledge points covered by the current problem include the following:
Credit loss reserve
International Financial Reporting Standard No.9 /CECL
Machine Learning and "Big Data"
Central clearing and risk conversion
Covering up the failure of interest rate parity
Financial technology credit
corporate culture