金融FRM一級(jí)考試是備考FRM證書的小伙伴們首先需要面臨的，一級(jí)考試的難度也是不小的。
那么frm一級(jí)考試有哪些知識(shí)點(diǎn)呢？本文高頓學(xué)姐帶大家簡(jiǎn)單地了解下吧！
高等教育FRM
一、frm一級(jí)考試有哪些知識(shí)點(diǎn)？
FRM一級(jí)考試包含四門金融FRM課程，考試試題包含了100道選擇題，一級(jí)備考需要考生掌握的知識(shí)點(diǎn)非常多，并且知識(shí)點(diǎn)也比較碎，其中很多事比較基礎(chǔ)的風(fēng)險(xiǎn)管理知識(shí)，但是并不意味著簡(jiǎn)單，還是需要考生下功夫進(jìn)行備考的，在這里學(xué)姐簡(jiǎn)單總結(jié)了一下FRM一級(jí)考試的重點(diǎn)知識(shí)點(diǎn)總結(jié)，大家可以參考一下：
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stockdelta為零
Part three：credit risk
1.credit rating和6個(gè)影響信用的比例列表，問該投資哪國國債
2.Though the cycle，at the point哪個(gè)procyclicality
3.Merton model計(jì)算value of equity，沒有公式一定要很清楚的記住d的求法
4.Neyman pearson decision rule.
Use the statistical concept of Type 1 and Type 2 errors
5.Altman credit scoring沒有要求計(jì)算>>>領(lǐng)取FRM網(wǎng)課免費(fèi)送<<<
It is an example of a subgroup model,where as logit models give a score that can be interpreted as the probability of default.
6.probability of default的計(jì)算3-5題
7.concentration limit的計(jì)算
8.Novation
9.Hot collateral=“on special”
Difficult to obtain
10.列表7筆交易5項(xiàng)netting 2項(xiàng)non netting agreement算一方的credit exposure
11.risk neutral mean loss rate
12.multiyear resturing agreement的計(jì)算
13.ISDA TRIGGERING EVENTS
A downgrade from a rating agency is not defined as a credit enent.
14.Settlement amount of credit default swap
Note:don";t forget"accrued interest"
15.n-to-default swap和basket default swap
Note that the probability of any one（or nth）reference entity defaulting is lower when the Assets are highly correlated，but higher when they are less correlated。
16.Cancelable default swap=having the right to cancel the swap
Callable default swap=buyer of the swap
Putable default swap=seller of the swap
17.TROR在libor變化時(shí)receiver的cash flow變化
Protect payers from interest risk
18.Credit spread option pay off的計(jì)算
Schweser notes 3/page 125
19.Cash CDOs and synthetic CDOs區(qū)別
In Cash CDOs,the issuer directly buys the actual securities
20.BISTRO和j-port區(qū)別
Both are synthetic structures.Pls refer to Schweser note 3/page 138-139
21.Dollar VaR的計(jì)算
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)>>>FRM五月真題
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
高等教育FRM
二、怎樣備考一級(jí)考試？
備考FRM一級(jí)考試首先大家要確定好自己所使用到的教材，一般大家選擇使用官網(wǎng)的教材，不過官網(wǎng)給出的教材是英文原版的，如果英語基礎(chǔ)欠佳，學(xué)姐也推薦大家可以結(jié)合高頓教育FRM一級(jí)中文教材進(jìn)行使用，但是在備考后期也不可過度依賴中文，還是應(yīng)當(dāng)以英文為主，同時(shí)訓(xùn)練自己的閱題速度，在備考過程當(dāng)中注意查漏補(bǔ)缺，合理安排好自己的時(shí)間！
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