CFA考綱剛剛更新完我們FRM的小伙伴就按奈不住來咨詢關(guān)于2019FRM一級(jí)考綱的相關(guān)問題。在今天就讓澤稷網(wǎng)校帶大家了解下2019FRM一級(jí)考綱變化，看看與2018年考綱對(duì)比變化有多大！

FRM一級(jí)考綱變化內(nèi)容：

風(fēng)險(xiǎn)管理基礎(chǔ)

占比20%，本次考綱基本沒有太大變動(dòng)，只對(duì)于部分考點(diǎn)進(jìn)行了新增、刪減和修改，具體來看。

新增考點(diǎn)

新增的考點(diǎn)是在Data aggregation and risk reporting這里，考察監(jiān)管者在監(jiān)控、實(shí)施風(fēng)險(xiǎn)數(shù)據(jù)匯總和報(bào)告中的作用。具體LOS是：Describe the role that supervisors play in the monitoring and implementation of the risk data aggregation and reporting practices.

刪減考點(diǎn)

刪減掉了Chapter 2的一條考點(diǎn)，Explain considerations and procedures in determining a firm’s risk appetite and its business objectives.

2019年對(duì)于公司風(fēng)險(xiǎn)偏好、經(jīng)營目標(biāo)的考慮因素和程序這一部分的內(nèi)容不再要求。

修改考點(diǎn)

1.Describe the economic mechanisms through which the mortgage crisis amplified into a financial crisis.

需要考生們掌握抵押貸款危機(jī)擴(kuò)大到金融危機(jī)的經(jīng)濟(jì)機(jī)制。

2.Describe the build-up to the financial crisis and the factors that played an important role.

原考綱說的描述短期債務(wù)尤其是回購協(xié)議、商業(yè)票據(jù)的脆弱性，而今年是考察金融危機(jī)的積累性，以及在其中發(fā)揮重要作用的因素，所以可以看到考察的范圍其實(shí)會(huì)更廣、涵蓋內(nèi)容更豐富。

3.Describe the historical background and provide an overview of the 2007–2009 financial crisis.

原考綱說的是觸發(fā)金融危機(jī)的機(jī)制和脆弱性，而今年的考點(diǎn)是掌握2007-2009金融危機(jī)的歷史背景和危機(jī)的整體情況。

數(shù)量分析

數(shù)量分析更新相關(guān)性和Copulas函數(shù)；

金融市場(chǎng)與產(chǎn)品

新增

1.新增了關(guān)于股票指數(shù)期貨的考綱，具體LOS：

Explain how to use stock index futures contracts to lock in the benefit of a stock selection.

今年新增查考如何用股指期貨鎖定選股的benefit。

2.新增了關(guān)于股指套利策略的考綱，具體LOS是：Explain how an index arbitrage strategy works.

3.增設(shè)了關(guān)于SPV的考點(diǎn)：

Explain the use of special purpose vehicles(SPVs)in the OTC derivatives market and the risks associated with them.

4.新增考點(diǎn)：Calculate and explain the effect of an appreciation/depreciation of a currency relative to a foreign currency.

5.新增考點(diǎn)：

Explain the purchasing power parity theorem and use this theorem to calculate the appreciation or depreciation of a foreign currency.

6.增加了關(guān)于提前償付權(quán)prepayment option對(duì)于MBS定價(jià)的影響，具體LOS如下：

Describe the effect of the prepayment option on the price-rate behavior of MBS.

7.新增考點(diǎn)：

Calculate a continuous lease rate for a commodity asset.新增了計(jì)算大宗資產(chǎn)的continuous lease rate的考點(diǎn)。

修改的內(nèi)容：

1.Describe the use of mortality tables and calculate the premium payment and the expected payout for a policy holder.

2.Explain the operation of a margin account and describe the rationale for margin requirements.

3.Describe Treasury rates,LIBOR,repo rates,and overnight indexed swap(OIS)rates,and explain what is meant by the“risk-free”rate.

4.Explain put-call parity and apply it to the valuation of European and American stock options with dividends and without dividends.

這次的考綱中特別增加了with dividends and without dividends這幾個(gè)詞，也就是，考生需要掌握在有股息和無股息兩種情況下，研究歐式、美式期權(quán)的定價(jià)。

5.Explain the relationship between the lease rate,the convenience yield,and the storage cost.要求掌握Lease rate和storage cost的關(guān)系。

估值和風(fēng)險(xiǎn)模型

新增

1.Explain how the parameters necessary to construct a binomial tree match the volatility of the underlying asset.

二叉樹一直是考察的重點(diǎn)，這次要求考生掌握如果運(yùn)用必要的參數(shù)搭建二叉樹，從而匹配資產(chǎn)的波動(dòng)率。

修改

1.Explain the estimation of conditional volatility using parametric and non-parametric approaches.

2.Define and calculate the delta of a portfolio.

增加了calculate，F(xiàn)RM要求考生們除了了解以外，還要學(xué)會(huì)計(jì)算組合的delta.

3.Apply key rate and multi-factor analysis to estimating portfolio volatility given a correlation for each pair of key rates.

》》推薦閱讀：FRM一級(jí)考試費(fèi)用是多少？有變化嗎？

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