FRM一级科目：风险管理基础内容体系

发布时间：2022-08-26 09:04编辑：融跃教育FRM

风险管理基础是是现代商业银行核心竞争力的重要组成部分，具备领先的风险管理能力和水平成为商业银行重要的核心竞争力。而在FRM考试中着重于风险管理的基本概念以及风险管理如何为组织增加价值。

下面小编介绍一下风险管理基础的内容体系

Foundations of Risk Management 风险管理基础

Chapter1 The Building Blocks of Risk Management 第一章：风险管理基础

1.1 Typology of Risk and Risk Interactions 风险类型及相互影响

Markets Risk 市场风险

Credit Risk 信用风险

Liquidity Risk 流动性风险

Operational Risk 操作风险

Business and Strategic Risk 业务和战略风险

Reputation Risk 声誉风险

1.2 The Risk Management Process 风险管理的过程

1.3 Identifying Risk: Knowns and Unknowns 识别风险：已知和未知

1.4 Quantitative Risk Metrics 定量风险度量

Expect the Unexpected 期待意外

From Unexpected to Extreme Risky Relationships 从意外到极端危险的关系

Value-at-Risk 风险价值

Expected Shortfall 预期损失，期望短缺

1.5 Risk Factor Breakdown and Interactions Between Factors 风险因素分析和因素之间的相互影响

1.6 Structural Change: From Tail Risk to Systemic Crisis 结构变化：从尾部风险到系统性危机

1.7 Human Agency and Conflicts of Interest 人事代理和利益冲突

1.8 Risk Aggregation 风险聚合

1.9 Balancing Risk and Reward 平衡风险和收益

1.10 Enterprise Risk Management (ERM): More Than Adding Up Risk? 全面风险管理：不仅仅是把风险加起来？

Chapter2 How Do Firms Manage Financial Risk? 第二章：公司如何管理财务风险（金融风险）？

2.1 Background: The Modern Imperative to Manage Risk 背景：现代风险管理的必要性

Risks from Using Risk Management Instruments 使用风险管理工具的风险

Hedging Philosophy 对冲哲学

2.2 Risk Appetite——What is It? 风险偏好——它是什么？

2.3 Risk Mapping 风险定位？

2.4 Strategy Selection: Accept, Avoid, Mitigate, Transfer 策略选择：接受、避免、缓解、转移

2.5 Rightsizing Risk Management 调整风险管理

2.6 Risk Transfer Toolbox 风险转移工具

Beer and Metal 啤酒和金属

Airline Risk Management 航空公司风险管理

Turbulence Ahead 前方的动荡

Interest Rate Risk And Foreign Exchange Risk Management 利率风险和外汇风险管理

2.7 What Can Go Wrong in Corporate Hedging? 企业套期保值会出什么问题？

Chapter3 The Governance of Risk Management 第三章：风险治理

3.1 The Post-Crisis Regulatory Response 危机后的监管对策

After the Crisis: Industry Restructuring and the Dodd-Frank Act 危机后：行业重组和多德 - 弗兰克法案

The European Regulatory Response to the GFC: SREP and EBA Stress Tests 欧洲监管机构对GFC的回应：SREP和EBA压力测试

3.2 Infrastructure of Risk Governance 风险治理的基础设施

The Board and Corporate Governance from Corporate Governance to Best-Practice Risk Management 董事会与公司治理——从公司治理到最佳实践风险管理

3.3 Risk Appetite Statement 风险偏好评估报告

3.4 Implementing Board-Level Risk Governance 实施董事会级别的风险治理

The Board Audit Committee 董事会审计委员会

The Evolving Role of a Risk 风险的演变作用

Advisory Director 顾问总监

The Special Role of the Board Risk Management Committee 董事会风险管理委员会的特殊作用

3.5 Risk Appetite and Business Strategy: The Role of Incentives 风险偏好与商业战略：激励的作用

The Role of the CRO 首席风险官的作用

Limits Policies 限制政策

Monitoring Risk 监控风险

3.6 Incentives and Risk-Taking 激励和冒险

3.7 The Interdependence of Organizational Units in Risk Governance 风险治理中组织单元的相互依赖性

3.8 Assessing the Bank’s Audit Function 评估银行的审计职能

Chapter4 Credit Risk Transfer Mechanisms 第四章：信用风险转移机制

4.1 Overview of Credit Risk Transfer Mechanisms 信用风险转移机制概述

4.2 How Credit Risk Transfer Can Be Useful 信用风险转移如何有用

4.3 The Mechanics of Securitization 证券化的机制

4.4 From Buy-and-Hold to Originate-to-Distribute 从买入并持有到发行

Chapter5 Modern Portfolio Theory and Capital Asset Pricing Model 第五章：现代投资组合理论和资本资产定价模型

5.1 Modern Portfolio Theory 现代投资组合理论

5.2 The Capital Asset Pricing Model 资本资产定价模型

5.3 The Capital Market Line and the Security Market Line 资本市场线和证券市场线

5.4 Estimating Beta 估计β

5.5 Performance Measures 绩效衡量

Sharpe Performance Index 夏普绩效指数

Treynor Performance Index 特雷纳性能指数

Jensen’s Performance Index 詹森绩效指数

Link Between the Treynor and Jensen’s Performance Measures

Treynor和Jensen绩效指标之间的联系

Sortino Ratio Sortino比率

Information Ratio 信息率

Chapter6 The Arbitrage Pricing Theory and Multifactor Models of Risk and Return 第六章：套利定价理论与风险与收益的多因素模型

6.1 The Arbitrage Pricing Theory 套利定价理论

Macroeconomic Factor Models 宏观经济因素模型

Fundamental Factor Models 基本因素模型

Statistical Factor Models 统计因子模型

6.2 Different Types of Factor Models 不同类型的因子模型

6.3 Factor Analysis in Hedging Exposure 套期保值风险敞口的因子分析

Chapter7 Principles for Effective Data Aggregation and Risk Reporting 第七章：有效数据汇总和风险报告的原则

7.1 Introduction 引言

7.2 Benefits of Effective Risk Data Aggregation and Reporting 有效的风险数据汇总和报告的好处

7.3 Key Governance Principles 关键治理原则

7.4 Data Architecture and IT Infrastructure 数据体系结构和IT基础设施

7.5 Characteristics of a Strong Risk Data Aggregation Capability 具有强大的风险数据聚合能力的特点

7.6 Characteristics of Effective Risk Reporting Practices 有效风险报告实践的特点

Conclusion 结论

Appendix 附录

Compliance Levels of 30 Banks 30家银行的合规水平

Chapter8 Enterprise Risk Management and Future Trends 第八章：全面风险管理和未来趋势

8.1 ERM: What Is It and Why Do Firms Need It? ERM：它是什么？企业为什么需要它？

8.2 ERM——A Brief History 简史

8.3 ERM: From Vision to Action 从愿景到行动

8.4 Why Might Enterprise Risk Demand ERM: Four Key Reasons 企业风险为何需要ERM：四个关键原因

Top to Bottom——Vertical Vision Are There Potentially Dangerous 从上到下——垂直视野是否存在潜在危险

Concentrations of Risk within the Firm? 公司内部的风险集中度？

Thinking Beyond Silos 超越西洛斯的思考

Risk Retention Decisions: Self-Insurance and Captive Insurance 风险保留决策：自我保险和专属自保

8.5 The Critical Importance of Risk Culture 风险文化的关键重要性

Discussion——Five Culture Clashes 讨论——五种文化冲突

8.6 Scenario Analysis：ERM’s Sharpest Blade? 场景分析：ERM最锋利的刀片？

Scenario Analysis Before the Global Financial Crisis 全球金融危机前的情景分析

Post-Crisis Trends in Scenario Building Stress Testing in Europe: Future 欧洲情景构建压力测试的危机后趋势：未来

Directions 方向

8.7 ERM and Strategic Decisions 企业风险管理与战略决策

8.8 Conclusion：Risk Management and the Future 结论：风险管理与未来

Chapter9 Learning from Financial Disasters 第九章：从金融灾难中吸取教训

9.1 Interest Rate Risk 利率风险

The Savings and Loan Crisis 储蓄和贷款危机

9.2 Funding Liquidity Risk 融资流动性风险

Liquidity Crisis at Lehman Brothers 雷曼兄弟的流动性危机

Liquidity Crisis at Continental illinois Northern Rock——Liquidity and Business Models 伊利诺伊州北部岩石大陆的流动性危机——流动性和商业模式

Lessons Learned 经验教训

9.3 Constructing and Implementing a Hedging Strategy 构建和实施对冲策略

Metallgesellschaft ——How a Dynamic Hedging Strategy Can Go Wrong 金属公司——对冲策略如何出错？

Hedging Considerations 对冲考虑

9.4 Model Risk 模型风险

Wrong Assumptions——The Niederhoffer Put Options 错误的假设——尼德霍夫看跌期权

Lone Term Capital Management and Model Risk: When “Normal” Relationships Breakdown 长期资本管理和模型风险：“正常”关系破裂时

Trading Models 交易模式

Risk Measurement Models and Stress Testing 风险度量模型和压力测试

Model Risk and Governance—— The London Whale 模型风险与治理——伦敦鲸

Setting the Scene 布景

The Risk Exposure Grows 风险敞口在增加

Operational Risk 操作风险

Corporate Governance: Poor Risk Culture 公司治理：糟糕的风险文化

Model Risk: Fudging VaR Models 模型风险：伪造VaR模型

9.5 Rogue Trading and Misleading Reporting 流氓交易和误导性报道

Barings,1995 巴林，1995年

9.6 Financial Engineering 金融工程

The Risks of Complex Dervatives 复杂债务的风险

The Case of Excess Leverage and Complex Financial Instruments: Orange County 过度杠杆和复杂金融工具案例：奥兰治县

The Case of Investing in AAA Tranches of Subprime CDOs: Sachsen 投资AAA级次级CDO的案例：萨克森

9.7 Reputation Risk 声誉风险

Volkswagen Emission Cheating Scandal 大众汽车排放作弊丑闻

9.8 Corporate Governance 公司治理

Enron 安然;安隆;美国安然公司;恩隆;安隆公司

Aftermath 后果

9.9 Cyber Risk 网络风险

The SWIFT Case 斯威夫特案

Conclusion 结论

Chapter10 Anatomy of the Great Financial Crisis of 2007-2009 第十章：2007-2009年大金融危机剖析

10.1 Introduction and Overview 导言和概述

10.2 How It All Started 这一切是怎么开始的

10.3 The Role of Financial Intermediaries 金融中介机构的作用

10.4 Issues with the Rating Agencies 评级机构的问题

10.5 A Primer on the Short-Term Wholesale Debt Market 短期批发债券市场入门

10.6 The Liquidity Crunch Hits 流动性紧缩来袭

10.7 Valuation Uncertainty and Transparency Issues 估值不确定性和透明度问题

10.8 Central Banks to the Rescue 各国央行出手相救

10.9 Systemic Risk in Action 行动中的系统性风险

Chapter11 GARP Code of Conduct 第十一章：GARP行为准则

11.1 Introductory Statement 介绍性发言

11.2 Code of Conduct 行为准则

1.Principles 原则

2.Professional Standards 专业标准

11.3 Rules of Conduct 行为准则

1.Prifessional Integrity and Ethical Conduct 职业操守和道德行为

2. Conflict of Interest 利益冲突

3. Confidentiality 保密性

4. Fundamental Responsibilities 基本责任

5. General Accepted Practices 一般公认做法

11.4 Applicability and Enforcement Index 适用性和执行指数