FRM二级考试内容介绍，考友们快收

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　　FRM二级考试内容介绍：

　　01 Market Risk Measuremet and Management 25%

　　VaR and other risk measures

　　Parametric and non·parametric methods of estimation

　　VaR mapping

　　Backtesting VaR

　　Expected shortfall(ES)and other coherent risk measures

　　Extreme value theory(EVT)

　　Modeling dependence:Correlations and copulas

　　Term structure models of interest rates

　　Discount rate selection

　　Volatility:Smiles and term structures

　　02 Credit Risk Measurement and Management 25%

　　Credit analysis

　　Default risk:Quantitative methodologies

　　Expected and unexpected loss

　　Credit VaR

　　Counterparty risk

　　Credit derivatives

　　Structured finance and securitization

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　　03 Operational and Integrated Risk Management 25%

　　Principles for sound operational risk management

　　Enterprise Risk Management(ERM)

　　Risk appetite frameworks and IT infrastructure

　　Internal and external operational loss data

　　Modeling operational loss distributions

　　Model risk

　　Risk·adjusted return on capital(RAROC)

　　Economic capital frameworks and capital allocation

　　Liquidity risk:

　　Liquidity adjustments to VaR measures

　　Liquidity risk in financial and collateral markets

　　Repurchase agreements and refinancing

　　Failure mechanics of dealer banks

　　Stress testing banks

　　Regulation and the Basel Accord

　　04 Risk Management and Investment Management 25%

　　Portfolio construction

　　Portfolio risk measures

　　Risk budgeting

　　Risk monitoring and performance measurement

　　Portfolio·based performance analysis

　　Hedge funds

　　05 Current Issues in Financial Markets 10%

　　Risk measurement

　　Funding and liquidity during market shocks

　　Liquidity regulation and lender of last resort

　　Global financial markets liquidity

　　Benchmark rates

　　Risk in central counterparties

　　Regulatory stress testing

　　Cybersecurity

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FRM二级考试内容介绍，考友们快收

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