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2021年FRM考纲对比分析【直播回放】

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2022年FRM新考纲公布!看看都有哪些变化!

发布时间:2022-06-30 17:35来源: 融跃FRM官网

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2022年FRM新考纲公布!看看都有哪些变化!

2022年FRM已经开始报名,同时FRM考纲也已更新。下面随小编一起看看都有哪些变化!

FRM一级考纲:

2022年FRM一级考纲的变化非 常小,四门学科各自的考试占比也未发生变化。

Financial Market and Products:考纲对比

金融市场与产品这门课占比仍保持在30%,相比于2021年考纲,2022年考纲删掉了6条LOS,增加了2条LOS,其中增加的两条LOS也是对删除LOS的一个补充。

因此,整体来看LOS要求降低了,涉及修改的LOS,多为描述性词汇的调整,主体内容并没有实质性改变。综上,这门课的变动对考生备考影响不大,重点关注新增和删减的LOS即可。

删除的LOS(共6条)

Chapter 5. Exchanges and OTC Markets:

Identify the classes of derivative securities and explain the risk associated with them Chapter 10. Pricing Financial Forwards and Futures:

Differentiate between investment and consumption assets.

Calculate a forward foreign exchange rate using the interest rate parity relationship

Chapter 11. Commodity Forwards and Futures:

Compare the lease rate with the convenience yield.

Chapter 18. Mortgages and Mortgage-Backed Securities:

Describe the mortgage prepayment option and the factors that influence prepayments

Chapter 19. Interest Rate Futures :

Describe the mortgage prepayment option and the factors that influence prepayments

增加的LOS(共2条)

Chapter 5. Exchanges and OTC Markets:

Describe process of buying stock on margin without using CCP and calculate margin requirements

Chapter 10. Pricing Financial Forwards and Futures:

Define and describe financial assets

修改的LOS:(共11条)

Chapter 3. Fund Management:

Calculate the net asset value (NAV) of an open-end mutual fund. (2021)

Explain the concept of net asset value (NAV) of an open-end mutual fund and how it relates to share price. (2022)

Chapter 4. Introduction to Derivatives:

Calculate an arbitrage payoff and describe how arbitrage opportunities are temporary. (2021)

Describe arbitrageurs' strategy and calculate an arbitrage payoff. (2022)

Chapter 5. Exchanges and OTC Markets:

Describe netting and describe a netting process(2021)

Define netting and describe a netting process. (2022)FRM通 关备考礼包

Chapter 6. Central Clearing:

Compare and contrast bilateral markets to the use of novation and netting(2021)

Compare netting in bilateral markets vs centrally cleared(2022)

Chapter 7. Futures Markets:

Evaluate the impact of different trading order types. (2021)

Describe and compare different trading order types. (2022)

Chapter 8. Using Futures for Hedging:

Define the basis and explain the various sources of basis risk and explain how basis risks arise when hedging with futures. (2021)

Define and calculate the basis, discuss various sources of basis risk, and explain how basis risks arise when hedging with futures. (2022)

Define cross hedging and compute and interpret the minimum variance hedge ratio and hedge effectiveness. (2021)

Define cross hedging and compute and interpret hedge ratio and hedge effectiveness(2022)

Chapter 11. Commodity Forwards and Futures:

Explain the relationship between current futures prices and expected future spot prices, including the impact of systematic and nonsystematic risk(2021)

Explain the impact of systematic and nonsystematic risk on current futures prices and expected future spot prices(2022)

Chapter 12. Options Markets:

Describe the various types, uses, and typical underlying assets of options. (2021)

Describe the various types and uses of options, define moneyness(2022)

Chapter 18. Mortgages and Mortgage-Backed Securities:

Explain prepayment modeling and its four components: refinancing, turnover, defaults and curtailments(2021)

Describe the mortgage prepayment option and factors that affect it, explain prepayment modeling and its four components: refinancing, turnover, defaults, and curtailments(2022)

Chapter 16. Option Sensitivity Measures: The “Greeks”:

Describe how portfolio insurance can be created through option instruments and stock index futures. (2021)

Describe how to implement portfolio insurance and how this strategy compares with delta hedging. (2022)

Valuation and Risk Models:考试比重

该学科在一级考试中的占比仍然为30%,依然是一级考试的重点学科。内容上,有部分删减和调整。

考点对比:

这门课整体删减了11条考点,新增了3点考点,从LOS来看对考生的考察要求降低了。两条修改的内容,仅仅是对原有内容的补充,主体内容没有变化。主要涉及的考点并没有发生过多变化,重点章节无太大改变。

新增的LOS(共3条)

Chapter 4. External and Internal Credit Ratings

Define conditional and unconditional default probabilities and explain the distinction between the two.

Chapter 6. Measuring Credit Risk

Describe the degree of dependence typically observed among the loan defaults in a bank’s loan portfolio, and explain the implications for the portfolio’s default rate.

Chapter 8. Stress Testing

Describe the role of policies and procedures, validation, and independent review in stress testing governance.

删减的LOS(共11条)

Chapter 1. Measures of Financial Risk

Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.

Chapter 3. Measuring and Monitoring Volatility

Calculate conditional volatility using parametric and non-parametric approaches.

Calculate conditional volatility with and without mean reversion.

Describe the impact of mean reversion on long horizon conditional volatility estimation.

Chapter 4. External and Internal Credit Ratings

Describe the impact of time horizon, economic cycle, industry and geography on external ratings.

Chapter 5. Country Risk: Determinants, Measures, and Implications

Identify sources of country risk.

Chapter 6. Measuring Credit Risk

Evaluate a bank’s economic capital relative to its level of credit risk.

Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure and loss rate.

Chapter 8. Stress Testing

Identify the advantages and disadvantages of stressed risk metrics.

Identify elements of clear and comprehensive policies, procedures, and documentations for stress testing.

Identify areas of validation and independent review for stress tests that require attention from a governance perspective.


替换的LOS

Chapter 3. Measuring and Monitoring Volatility

Apply the exponentially weighted moving average (EWMA) approach and the GARCH (1,1) model to estimate volatility, and describe alternative approaches to weighting historical return data. (2022)

Apply the exponentially weighted moving average (EWMA) approach and the GARCH(1,1) model to estimate volatility. (2021)

Chapter 8. Stress Testing

Describe stressed VaR and stressed ES, including their advantages and disadvantages, and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2022)

Describe stressed VaR and stressed ES and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2021)

FRM二级考纲:

2022年FRM二级的考纲整体不大,所有学科的考试占比维持不变。

从学科内容来看,Basel Accords,Liquidity Risk Management, Investment Risk Management这三个部分考点要求完全没有变化。

Market Risk Management和Operational Risk Management做了小幅的修改,涉及修改的地方主要是描述性词汇的调整。

变化比较大的就是Credit Risk Management和Current Issue。其中Credit Risk Management一章的原版书参考发生变化,虽然内容比较类似,但是仍然需要根据zui新考纲进行学习。

Current Issue仍然结合热点来学习,去年的10篇文章中删除了9篇比较旧的文章,并新增加了和新冠疫情,数字货币,人工智能相关的zui新研究文章。

Market risk考点对比 :

市场风险这门课占比仍保持20%,2022年考纲中调整的部分为描述性词汇的调整,内容上并没有实质性改变。整体来看,今年的考纲变化对本科目的备考没有影响。

修改的LOS:(共4条)

Chapter 3. Estimating Market Risk Measures:

Define coherent risk measures. (2021)

Describe coherent risk measures. (2022)

Chapter 6. Backtesting VaR:

Define and identify Type I and Type II errors. (2021)

Identify and describe Type I and Type II errors in the context of a backtesting process. (2022)

Chapter 11. VaR Mapping:

Explain how VaR can be used as a performance benchmark(2021)

Explain how VaR can be computed and used relative to a performance benchmark. (2022)

Chapter 20. Volatility Smiles:

Define volatility smile and volatility skew(2021)

Describe a volatility smile and volatility skew(2022)

Credit Risk考点变化:

从调整上看,可以认为2022年的考纲几乎没有变化。有一个Reading因为参考书更新了版本,因此相应的章节有更新,但知识点没有调整。同时,资产证券化这一个章节引入了一个新的考纲要求,属于小知识点,涉及内容较少。剩余调整如章节的合并,对复习备考没有实质影响。

1. 教材变化

知识点结构没变,但原参考书更新了版本

Chapter 9. Counterparty risk and beyond

考纲要求描述改变,但实质知识点没变

Chapter 11. Future value and exposure

2022年要求: Explain the general impact of aggregation on exposure, and the impact of aggregation on exposure when there is correlation between transaction values.

2021年要求: Explain the impact of netting on exposure, the benefit of correlation, and calculate the netting factor.

2. 原版书结构调整,实质知识点没变

2022年将21年旧考纲中的Reading 14 Credit and Debt value adjustment以及Reading 15 Wrong way risk合并,形成2022年的Reading 13 CVA。

3. 新增考纲要求

2022年Reading 17 an introduction to securitization新引入考纲要求

Determine the notional value of the net contract resulting from trade compression and identify the counterparty with the net contract.

Operational  risk:考点对比

总体来看,2022年操作风险的考纲有些许变化,主要变动在于操作弹性。对这个话题进行了更新和内容上的扩充。可见,协会越来越注重对于弹性这个领域的探讨和研究,这个话题无疑将成为日后这门学科的新重点。不过,这些内容上的调整对于学员备考没有太大的影响。

新增:

Chapter 25: Operational resilience: Impact tolerance for important business services

• Describe an impact tolerance; explain best practices and potential benefits for establishing the impact tolerance for a business service.

• Provide examples of important business services and explain criteria that firms should use to determine their important business services.

• Explain tools and processes, including mapping and scenario testing, that financial institutions should use to improve their operational resilience and remain within their impact tolerance.

• Describe the governance of an operational resilience policy, including the relationships between operational resilience and a firm’s risk appetite, impact tolerance, continuity planning, and outsourcing to third-party providers.

这个章节更新了表述,主要内容未发生实质性变化,依然以定性为主。探讨了在操作弹性领域的zui佳实践和指导方针这个主题在全球金融机构中变得越来越重要。

Chapter 26: Principles for Operational Resilience

• Define and describe operational resilience and explain essential elements of operational resilience.

• Explain recommended principles that banks should follow to implement an effective operational resilience approach.

这一章节是上一章节的延续,继续讨论操作弹性,阐述巴塞尔委员会对于操作弹性提出的一系列原则,可见弹性这个话题将越来越值得关注。

调整:

Chapter 5: Banking Conduct and Culture

2021:

• Explain how a bank can structure performance incentives and make staff development decisions to encourage a strong corporate culture.

• Summarize expectations by different national regulators for banks’ conduct and culture.

2022:

• Assess the role of regulators in encouraging strong conduct and culture at banks, and provide examples of regulatory initiatives in this area.

删减:

Chapter 4: Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions

• Explain the relationship between a firm’s RAF and its risk culture and between the RAF and a firm’s strategy and business planning process.

Current Issues考点变化

今年Current issues从去年的10篇文章减少到了今年的8篇文章。大部分内容都是新加入的。

今年7篇新的文章中,有2篇是和新冠疫情的大背景相关,2篇是和人工智能等新兴科技相关的,1篇气候变化,1篇参考利率,1篇数字货币。除数字化货币外,其它的文章都在过往有过讲解,这次是用新的视角重新解读。随着数字货币在全球的越来越流行,这一趋势引起了行业的重视,非 常与时俱进。

删除

去年的10篇文章中,删除了9篇,只保留了Beyond LIBOR: a primer on the new benchmark rates。

新加入以下文章

1.  Machine Learning and AI for Risk Management

这篇文章讲解了Machine Learning 和 AI的区别,以及每个类别中使用的技术。Machine Learning 和 AI在信用风险、市场风险、操作风险和监管合规等领域的应用。zui后在风险管理中Machine Learning 和 AI的作用以及局限性和挑战。

2. Artificial Intelligence Risk & Governance

这篇文章讲解了金融公司使用人工智能相关的潜在风险类别,人工智能治理的四个核心组成部分以及与每个组成部分相关的推荐做法,金融公司使用人工智能会如何产生与可解释性和歧视相关的问题,以及金融公司可以用来降低人工智能风险的做法。

3. Covid-19 and cyber risk in the financial sector

这篇文章讲解了cyber risk的原因和实施网络攻击的方法。以及COVID-19 对网络威胁级别的影响。大流行期间金融部门如何受到cyber risk的威胁。cyber risk格局的变化以及减轻风险以稳定金融系统的方法。

4. Holistic Review of the March Market Turmoil

本章主要展示了2020 年 3 月 Covid-19 市场动荡期间发生的金融市场情况和大流行对金融市场的影响,及其这期间市场压力的原因。公共部门在 Covid-19 市场动荡期间恢复金融市场运作的政策反应,以及我们应该从中吸取的教训。

5.LIBOR transition Case studies for navigating conduct risks

本章讨论了对 LIBOR 过渡的监管预期以及这些预期如何帮助市场参与者管理过渡产生的行为风险。以及从卖方和买方的角度分析 LIBOR 过渡的风险。

6.Climate-related risk drivers and their transmission channels

本章讲解了与气候相关的风险驱动因素和潜在影响以及如何给银行带来不同类型的风险。

7.The rise of digital money

本章讲解了支付方式的不同属性。数字货币快速发展的原因和对银行业面临的风险并确定减轻这些风险的方法,以及对应的监管和政策行动。

因此,一二级很多科目基本上变化不大,有变化的科目大多也是表述的变化,没什么实质性变更,新增和删除的内容也不多,准备备考明年FRM考试的小伙伴可以放心哦!

关键词 : FRM新考纲
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