澤稷網(wǎng)校解讀：2016年FRM一級(jí)考試大綱解析

FRM小編專為考友總結(jié)了Part 1 部分的5個(gè)考試側(cè)重點(diǎn)，供考友們參考對(duì)照！

Part One：Qunats Analysis

1. Bays rules

2. Variance(ax+by)

3. Confidence interval estimate 簡(jiǎn)單的計(jì)算，已知置信水平，標(biāo)準(zhǔn)差，mean

4. P-value

5. R∧2=SSR/SST

6. Correlation coefficient 計(jì)算

7. 極值定理，比課堂講得考的深，問(wèn)到了具體的密度函數(shù)公式中的內(nèi)容

Part two：market risk

1. 已知幾個(gè) bonds' effective duration, market prices, and face values. Calculate portfolio's duration

2. Convexity 對(duì) bond 價(jià)格的影響

3. IO strips and PO strips 那個(gè)duration 是負(fù)的

4. Forward price 的計(jì)算有dividend yield 和 convenience yield

5. Commodity forward price的計(jì)算

6. 那個(gè)案例是basis risk

7. Interest swap present value的計(jì)算

8. Currency swap 單個(gè)cash flow的計(jì)算

9. AMERICAN option什么情況下可提前執(zhí)行，upper and lower bounds

10. Covered call + protective put = collar

11. Strap 的運(yùn)用在什么條件下

12. Binary option

13. Shout option

14. Portfolio VaR計(jì)算

15. GARCH persistence factor

16. Greek letters考gamma vega 調(diào)整，考調(diào)整vega后買(mǎi)stock最后delta為零

Part two：market risk

1. 已知幾個(gè) bonds' effective duration, market prices, and face values. Calculate portfolio's duration

2. Convexity 對(duì) bond 價(jià)格的影響

3. IO strips and PO strips 那個(gè)duration 是負(fù)的

4. Forward price 的計(jì)算有dividend yield 和 convenience yield

5. Commodity forward price的計(jì)算

6. 那個(gè)案例是basis risk

7. Interest swap present value的計(jì)算

8. Currency swap 單個(gè)cash flow的計(jì)算

9. AMERICAN option什么情況下可提前執(zhí)行，upper and lower bounds

10. Covered call + protective put = collar

11. Strap 的運(yùn)用在什么條件下

12. Binary option

13. Shout option

14. Portfolio VaR計(jì)算

15. GARCH persistence factor

16. Greek letters考gamma vega 調(diào)整，考調(diào)整vega后買(mǎi)stock最后delta為零

Part four：optional risk

1. BIS定義中不包含的風(fēng)險(xiǎn)

Not include strategic and reputatiponal risk

Include legal risk

2. Connectivity model two techniques 要詳細(xì)看，考的很細(xì)

3. Parametric model：convolution 的定義，案例題convolution的應(yīng)用原理，公式

4. Contingent credit line 和 risk prevention control 的定義

5. Cat bond 的 payoff 免賠共保

6. LVAR的計(jì)算

7. Close out

8. Economic of scale and scope 案例題

9. Model risk 定義，案例題判斷是不是model risk

10. 市場(chǎng)假說(shuō)對(duì) risk management 的影響

11. Flight to the quality 案例

12. Financial conglomerates diversification benefits

13. Hub and spoke 定義

14. 3+1 pillars legal firewall

15. 新 basel 風(fēng)險(xiǎn)權(quán)重函數(shù)是有basel committee給出不能自己設(shè)

16. Basel back testing 99% daily，one year historical data，time lag 6 months

17. Case study SUMITOMO , BARINGS , LTCM主要考風(fēng)險(xiǎn)原因

18. Asian crisis（Thailand）, may not be tested again

19. For 2007, Amaranth Debacle

Part five：investment management

1. Pure diversifier 的定義

2. Style drift 的表現(xiàn)形式，和考察方法

3. Convertible arbitrage strategy

4. Regulation D

5. ASSETS ALLOCATION 是一到案例題

6. Treynor measurement 分子上減的是risk free rate

7. Tracking error 的計(jì)算案例題 給出兩組數(shù)據(jù)

8. MSD（半方差）計(jì)算給出 information ration ，sortino ratio

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