FRM二级公式，备考的你一定要掌握！

发布时间：2021-05-24 09:27编辑：融跃教育FRM

备考FRM考试中，还有什么事情是需要考生重点掌握的，那就是FRM二级公式了，因为在FRM考试中是由大量的计算题的，是需要用到公式的。因此备考的你一定要掌握，千万不能忽视！

下面是小编列举的相关FRM二级公式，希望对你有所帮助！

How to use MVaR:

• Obtain the optimal portfolio: equate the excess return/MVaR ratios of all portfolio positions.

• Obtain the lowest portfolio VaR: equate just the MVaRs of all portfolio positions. Incremental VaR: change in VaR from the addition of a new position in a portfolio.》》》戳：免·费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）

Component VaR: amount of risk a particular fund contributes to a portfolio of funds.

Time-Weighted and Dollar-Weighted Returns：

Dollar-weighted rate of return: the internal rate of return (IRR) on a portfolio taking into account

all cash inflows and outflows.

Time-weighted rate of return: measures compound growth. It is the rate at which $1 compounds over a specified time horizon.

Fama-French Model：【资料下载】点击下载GARP官方FRM二级练习题

Explains asset returns based on:

• Traditional capital asset pricing model (CAPM) market risk factor.

• Factor that captures size effect (SMB or small cap minus big cap).

• Factor that captures value/growth effect (HML or high book-to-market value minus low book-to- market value).

Momentum effect: long winners and short losers (WML or winners minus losers). This strategy has outperformed both size and value/growth effects; however, it is subject to crashes.

如果想要获得更多关于FRM考试的相关公式，点击在线咨询或者添加融跃老师微信（rongyuejiaoyu）！