FRM学习资料九：handbook（第五版）纠错汇总，FRM主要知识点梳理

FRM学习资料九：handbook（第五版）纠错汇总，FRM主要知识点梳理

金融风险管理师（FRM）学习资料：FRM handbook fifth edition错误汇总、FRM全景班讲义主要知识点（Handbook）梳理PDF电子书

资料9：handbook纠错，知识点梳理

FRM handbook fifth edition错误汇总、FRM全景班讲义主要知识点（Handbook）梳理

1． P120 Example 5.1
答案中原为F=1000*exp(0.03*1/12)/exp(-0.06*1/12) 将12均改为4，答案为1022.8
2． P132 Example 6.4
答案中-=10-15+90exp(0.05*5)=65.09的0.05改为-0.05
3. P140 Example 6.11
答案为50-42.379=7.621
4. P197 Example 8.2
答案中V=1000000*（3.75%-3.50%）*（2-1）*exp(-3.50%*2)=2331改为V=1000000*（3.75%-3.75%）*（2-1）*exp(-3.50%*1)=2331

Management: Insurance, Self-Insurance, Derivatives
Technical Risk & Model Risk
Technical Risk
Model Risk
Integrated Risk Management and ERM
Basel II
Three pillars of Basel II
Types of institutions that the Basel II Accord will be applied to
Describe the major risk categories covered by the Basel II Accord
Major Approaches to calculating credit risk, market risk and
operational risk
Define in the context of Basel II
Module IV: Operational and Integrated Risk25
Performance Analysis
CAPM, CML and SML
Market efficiency, equilibrium
Sharpe ratio and information ratio
Tracking error
Factor models and Arbitrage Pricing Theory Portfolio construction
Portfolio Risk
Risk Budgeting
Setting risk limits
Hedge Fund Risk Management
Risk-return metrics specific to hedge funds
Risks of specific strategies
Asset illiquidity, valuation, and risk measurement
The use of leverage and derivatives and the risks they create
Measuring exposures to risk factors and Pension fund risk management
Module V: Investment and Portfolio Risk
26
How to Use the 2009 AIM Statements
27
AIMS: Applying Instructional Materials Statements, are designed to serve
as an additional study resource only and will not in and of themselves fully
prepare a candidate for the FRM examination. They should be used as
guidance and support for the readings outlined in the Study Guide to help
identify key learning objectives for each core reading.
Study guide: The FRM Study Guide sets forth primary topics and subtopics
under the risk-related disciplines covered in the FRM exam. The topics were
selected by the FRM Committee as topics that risk managers who work in
practice today have to master. The topics are reviewed yearly to ensure the
FRM exam is kept timely and relevant.
AIMS is a explanation of the Topics and Readings in Study Guide, so
AIMS is more specific material for preparation of FRM exam.
Take the first reading of Foundations of Risk Management as an example.
Philippe Jorion, Value-at-Risk: The New Benchmark for Managing
Financial Risk, 3rd Edition (New York: McGraw〩ill, 2007). Chapter
1 The Need for Risk Management.
What is AIMS?
28
AIMS: After completing this reading, candidates should be able to:
Define risk and describe some of the major sources of risk
Differentiate between business and financial risks and give examples of
each
Relate significant market events of the past several decades to the
growth of the risk management industry
Describe the functions and purposes of financial institution as they relate
to financial risk management
Define what a derivative contract is and how it differs from a security
Describe the dual role leverage plays in derivatives and why it is
relevant to a risk manager
Define financial risk management
Define VaR and describe how it is used in risk management
–
How to use the AIMS: an example29
Define risk and describe some of the major sources of risk
Risk: the volatility of unexpected outcomes, which can represent the
value of assets, equity, or earnings, including business and financial risk.
majorsourcesofrisk
Human-created
Unforeseen natural phenomena
Long-term economic growth
technological innovations
Risk and the willingness to take risk are essential to the growth of our
economy
Accumulation of assets or savings—a cushion against income risk;
Personal loan—smoothing of consumption through borrowing;
Insurance—protect against accidents and other disasters;
Modern publicly held corp. —spread the risk of ownership in a
company
Welfare state create the “safety nets”—a risk-sharing institution
How to use the AIMS: an example
30
Differentiate between business and financial risks and give examples of
each
Business risk: relates to business decisions and business environment
Financial risk: relates to possible losses owing to financial market
activities
Relate significant market events of the past several decades to the growth of
the risk management industry
The recent growth of the risk management industry can be traced
directly to the increased volatility of financial market since the early
1970s.
Describe the functions and purposes of financial institution as they relate to
financial risk management
Function: to manage financial risk actively
Purpose: to assume, intermediate, or advise on financial risks.
Financial institutions must measure financial risk as precisely as
possible in order to control and price them properly.
How to use the AIMS: an example

Define what a derivative contract is and how it differs from a security
A derivative contract can be defined generally as a private contract
deriving its value from some underlying asset price, reference rate, or
index, such as a stock, bond, currency, or commodity.
Difference: securities such as bond and stock are issued to raise capital,
derivatives are contracts or private agreements between two parties.
Describe the dual role leverage plays in derivatives and why it is relevant to
a risk manager
Leverage: no (full-amount) upfront cash flow, involves borrowing, it is no
more risky than dealing the same notional amount in the underlying cash
market.
A double-edged sword
It makes derivatives an efficient instrument for hedging and
speculation owing to very low transaction costs.
It is more difficult to assess the potential downside risk.
How to use the AIMS: an example
32
Define financial risk management
A Financial risk management refers to the design and implementation of
procedures for identifying, measuring, and managing financial risks.
Define VaR and describe how it is used in risk management
Comparison of Risk Limits
VaR is a statistical risk measure of potential losses, combines the price-
yield relationship with the probability of an adverse market movement.
VaR summarizes the worst loss over a target horizon that will not be
exceeded with given level of confidence.
How to use the AIMS: an example33
How to calculate VaR
Definition
VaR is the maximum loss over a target horizon such that there is a
low, pre-specified probability that the actual loss will be larger.
直观定义：VaR是在一定的置信水平下和一定的目标期间内，预期的
最大可能损失。
Example
1.假定JP摩根公司在2004年置信水平为95%的日VaR值为1500万
美元，其含义指该公司可以以95%的把握保证，2004年某一特
定时点上的金融资产在未来24小时内，由于市场价格变动带来
的损失不会超过1500万美元。或者说，只有5%的可能损失超过
1500万美元。
2. 用下例得到VaR的步骤的思路。
How to use the AIMS: an example
34
How to use the AIMS: an example
35
How to calculate VaR
We simulate the 1-month return on $100 million worth of medium-term
notes investment from history data.
We can get monthly returns on 5-year US Treasury notes since 1953.
The sample size is 624 months.