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®2007 FRM Examination
Study Guide
Topic Outline, Readings, Test Weightings
The Study Guide sets forth primary topics and subtopics under the five risk-related disciplines covered in the FRM exam. The topics were selected by the FRM Committee as being representative of the theories and concepts utilized by risk management professionals as they address current issues. The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant.
FRM Examination Approach
The FRM exam is a practice-oriented examination. Its questions are derived from a combination of theory, as set forth in the readings, and “real-world” work experience. Candidates are expected to understand risk management concepts and approaches and how they would apply to a risk manager’s day-to-day activities.
The FRM examination is also a comprehensive examination, testing a risk professional on a number of risk management concepts and approaches. It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. In the real world, a risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively.
Readings
Questions for the FRM examination are derived from the readings listed under each topic outline. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam.
The Financial Risk Manager Handbook, 4th edition, by Philippe Jorion (New York: Wiley, 2007), covers most of the FRM examination topics at the appropriate level. However, FRM candidates must remember that the handbook is not a textbook. It is only designed to help candidates review the material. Alone, it is not sufficient to prepare a candidate to pass the examination. An interactive CD with questions and answers from previous FRM exams, and an FRM Readings CD are also available to assist candidates with their exam preparation.
FRM Course Providers
Some candidates may want to more formally review the materials with FRM Course Providers. Course Providers are listed on the GARP website. GARP does not endorse any Course Provider but merely lists them as a service to FRM candidates.
FRM Committee Members
No member of the GARP FRM Committee is permitted to receive royalties on books he or she has written that are part of this Study Guide. Any royalties must either be paid to GARP in support of the examination’s cost or be given to a charity.
©2007 Global Association of Risk Professionals, Inc.
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
中华金融学习网 www.100jrxx.com
2007 FRM Study Guide
Study Outline, Test Weightings, Readings
I. Quantitative Analysis – 10%
Estimating parameters of distributions
Extreme value theory; basic principles
Hypothesis testing
Linear regression and correlation
Mean, standard deviation, correlation, skewness, and kurtosis
Monte Carlo analysis
Probability distributions
Statistical properties and forecasting of correlation, covariance, and volatility
Quantitative Analysis Readings:
1. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004).
Chapter 2 – Quantifying Volatility in VaR Models
2. John Hull, Options, Futures, and Other Derivatives, 6th ed. (New York: Prentice Hall, 2006).
Chapter 19 – Estimating volatilities and correlations
3. Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed. (New York: McGraw-Hill, 2007).
Chapter 9 – Forecasting risk and correlations
Chapter 12 – Monte Carlo Methods
4. Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006).
Chapter 4 – Extreme Value Theory and in Risk Management
5. Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000).
Chapter 1 – Basic Probability
Chapter 2 – Random Variables and Probability Distributions
Chapter 3 – Mathematical Expectation
Chapter 4 – Special Probability Distributions
Chapter 5 – Sampling Theory
Chapter 6 – Estimation Theory
Chapter 7 – Tests of Hypotheses and Significance
Chapter 8 – Curve Fitting, Regression, and Correlation
NOTE: Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.
II. Market Risk Measurement and Management – 30%
Derivatives on fixed-income securities, interest rates, foreign exchange, equities, and commodities
Emerging market risks including currency crises
Identifying and measuring risk exposures
Interest rate, foreign exchange, equity, and commodity risks
Interest rates and bond pricing
Measuring and managing corporate exposures, including cash flow at risk
Risk budgeting
Stress testing
Valuation and risk analysis of futures, forwards, swaps, and options
Value-at-Risk:
1. definition, delta-normal, historical simulation, Monte Carlo
2. implementation
3. limitations and alternative risk measures, e.g., conditional Value-at-Risk
Cash-flow-at-risk, earnings-at-risk
© 2007 Global Association of Risk Professionals, Inc.
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
中华金融学习网 www.100jrxx.com
2007 FRM Study Guide
Market Risk Measurement and Management Readings:
1. Allen, Boudoukh, and Saunders, Understanding Market, Credit and Operational Risk.
Chapter 1 – Introduction to Value at Risk (VaR)
Chapter 3 – Putting VaR to Work
2. Hull, Options, Futures, and Other Derivatives, 6th ed.
Chapter 3 – Hedging Strategies using Futures
Chapter 5 – Determination of Forward and Futures Prices
Chapter 6 – Interest Rate Futures
Chapter 7 – Swaps
Chapter 9 – Properties of Stock Options
Chapter 10 – Trading Strategies Involving Options
Chapter 11 – Binomial Trees
Chapter 13 – The Black-Scholes-Merton Model
Chapter 15 – The Greek Letters
Chapter 16 – Volatility Smiles
Chapter 22 – Exotic Options
3. Jorion, Value-at-Risk, 3rd ed.
Chapter 10 – VaR Methods
Chapter 11 – VaR Mapping
Chapter 14 – Stress Testing
4. Robert L. McDonald, Derivatives Markets, (Boston: Addison-Wesley, 2003).
Chapter 6 – Commodity Forwards and Futures
5. Anthony Saunders, Financial Institutions Management, 5th ed. (New York: McGraw-Hill, 2005).
Chapter 10 – Market Risk
Chapter 15 – Foreign Exchange Risk
6. René Stulz, Risk Management & Derivatives (Mason, Ohio: South-Western, 2003).
Chapter 4 – A Firm-Wide Approach to Risk Management
Chapter 8 – Identifying and Managing Cash Flow Exposures
Chapter 15 – The Demand and Supply for Derivative Products
7. Bruce Tuckman, Fixed Income Securities, 2nd ed. (Hoboken: John Wiley & Sons, Inc., 2002).
Chapter 1 – Bond Prices, Discount Factors, and Arbitrage
Chapter 2 – Bond Prices, Spot Rates, and Forward Rates
Chapter 3 – Yield to Maturity
Chapter 4 – Generalizations and Curve Fitting
Chapter 5 – One-Factor Measures of Price Sensitivity
Chapter 6 – Measures of Price Sensitivity Based on Parallel Yield Shifts
Chapter 7 – Key Rate and Bucket Exposures
Chapter 9 – The Science of Term Structure Models
Chapter 21 – Mortgage-Backed Securities
III. Credit Risk Measurement and Management – 25%
Analyzing special purpose vehicles and securitizations
Bankruptcy including offsets and priority rules
Contingent claim approach and the KMV Model
Counterparty risks:
1. exposures
2. recovery rates
3. risk mitigation techniques including rating triggers, collateral, and seniority clauses
Credit derivatives
1. Collateralized debt obligations
2. Collateralized default swaps
Credit ratings
Credit risk management models
Credit spreads
Default probabilities
Interest rates and yields
Margining
Netting
Portfolio credit risk
Settlement risk
© 2007 Global Association of Risk Professionals, Inc.
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
中华金融学习网 www.100jrxx.com
2007 FRM Study Guide
Credit Risk Measurement and Management Readings:
1. Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org.
2. Christopher Culp, Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken: John Wiley & Sons, Inc., 2006).
Chapter 16 – Securitization
3. Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw-Hill, 2004).
Chapter 2 – External and Internal Ratings
Chapter 3 – Default Risk: Quantitative Methodologies
Chapter 4 – Loss Given Default
Chapter 6 – Credit Risk Portfolio Models
Chapter 7 – Credit Risk Management and Strategic Capital Allocation
4. Ashish Dev, Economic Capital, (London: Risk Books, 2004).
Chapter 7 – Economic Capital for Counterparty Credit Risk, by Evan Picoult and David Lamb.
5. Gunter Meissner, Credit Derivatives, Application, Pricing and Risk Management, (Malden, MA: Blackwell Publishing, 2005).
Chapter 2 – Credit Derivatives Products
Chapter 3 – Synthetic Structures
Chapter 4 – Application of Credit Derivatives
Chapter 6 – Risk Management with Credit Derivatives
6. Saunders, Financial Institutions Management, 5th ed.
Chapter 11 – Credit Risk: Individual Loan Risk
Chapter 12 – Credit Risk: Loan Portfolio and Concentration Risk
Chapter 16 – Sovereign Risk
Chapter 27 – Loan Sales and Other Credit Risk Management Techniques
7. Stulz, Risk Management & Derivatives.
Chapter 18 – Credit Risks and Credit Derivatives
IV. Operational and Integrated Risk Management, Legal – 25%
Aggregated distributions
Allocation of risk capital across the firm
Basel II Accord
1. the three pillars
2. the internal ratings-based approach (foundation and advanced IRB)
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
®2007 FRM Examination
Study Guide
Topic Outline, Readings, Test Weightings
The Study Guide sets forth primary topics and subtopics under the five risk-related disciplines covered in the FRM exam. The topics were selected by the FRM Committee as being representative of the theories and concepts utilized by risk management professionals as they address current issues. The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant.
FRM Examination Approach
The FRM exam is a practice-oriented examination. Its questions are derived from a combination of theory, as set forth in the readings, and “real-world” work experience. Candidates are expected to understand risk management concepts and approaches and how they would apply to a risk manager’s day-to-day activities.
The FRM examination is also a comprehensive examination, testing a risk professional on a number of risk management concepts and approaches. It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. In the real world, a risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively.
Readings
Questions for the FRM examination are derived from the readings listed under each topic outline. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam.
The Financial Risk Manager Handbook, 4th edition, by Philippe Jorion (New York: Wiley, 2007), covers most of the FRM examination topics at the appropriate level. However, FRM candidates must remember that the handbook is not a textbook. It is only designed to help candidates review the material. Alone, it is not sufficient to prepare a candidate to pass the examination. An interactive CD with questions and answers from previous FRM exams, and an FRM Readings CD are also available to assist candidates with their exam preparation.
FRM Course Providers
Some candidates may want to more formally review the materials with FRM Course Providers. Course Providers are listed on the GARP website. GARP does not endorse any Course Provider but merely lists them as a service to FRM candidates.
FRM Committee Members
No member of the GARP FRM Committee is permitted to receive royalties on books he or she has written that are part of this Study Guide. Any royalties must either be paid to GARP in support of the examination’s cost or be given to a charity.
©2007 Global Association of Risk Professionals, Inc.
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
中华金融学习网 www.100jrxx.com
2007 FRM Study Guide
Study Outline, Test Weightings, Readings
I. Quantitative Analysis – 10%
Estimating parameters of distributions
Extreme value theory; basic principles
Hypothesis testing
Linear regression and correlation
Mean, standard deviation, correlation, skewness, and kurtosis
Monte Carlo analysis
Probability distributions
Statistical properties and forecasting of correlation, covariance, and volatility
Quantitative Analysis Readings:
1. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004).
Chapter 2 – Quantifying Volatility in VaR Models
2. John Hull, Options, Futures, and Other Derivatives, 6th ed. (New York: Prentice Hall, 2006).
Chapter 19 – Estimating volatilities and correlations
3. Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed. (New York: McGraw-Hill, 2007).
Chapter 9 – Forecasting risk and correlations
Chapter 12 – Monte Carlo Methods
4. Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006).
Chapter 4 – Extreme Value Theory and in Risk Management
5. Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000).
Chapter 1 – Basic Probability
Chapter 2 – Random Variables and Probability Distributions
Chapter 3 – Mathematical Expectation
Chapter 4 – Special Probability Distributions
Chapter 5 – Sampling Theory
Chapter 6 – Estimation Theory
Chapter 7 – Tests of Hypotheses and Significance
Chapter 8 – Curve Fitting, Regression, and Correlation
NOTE: Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.
II. Market Risk Measurement and Management – 30%
Derivatives on fixed-income securities, interest rates, foreign exchange, equities, and commodities
Emerging market risks including currency crises
Identifying and measuring risk exposures
Interest rate, foreign exchange, equity, and commodity risks
Interest rates and bond pricing
Measuring and managing corporate exposures, including cash flow at risk
Risk budgeting
Stress testing
Valuation and risk analysis of futures, forwards, swaps, and options
Value-at-Risk:
1. definition, delta-normal, historical simulation, Monte Carlo
2. implementation
3. limitations and alternative risk measures, e.g., conditional Value-at-Risk
Cash-flow-at-risk, earnings-at-risk
© 2007 Global Association of Risk Professionals, Inc.
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
中华金融学习网 www.100jrxx.com
2007 FRM Study Guide
Market Risk Measurement and Management Readings:
1. Allen, Boudoukh, and Saunders, Understanding Market, Credit and Operational Risk.
Chapter 1 – Introduction to Value at Risk (VaR)
Chapter 3 – Putting VaR to Work
2. Hull, Options, Futures, and Other Derivatives, 6th ed.
Chapter 3 – Hedging Strategies using Futures
Chapter 5 – Determination of Forward and Futures Prices
Chapter 6 – Interest Rate Futures
Chapter 7 – Swaps
Chapter 9 – Properties of Stock Options
Chapter 10 – Trading Strategies Involving Options
Chapter 11 – Binomial Trees
Chapter 13 – The Black-Scholes-Merton Model
Chapter 15 – The Greek Letters
Chapter 16 – Volatility Smiles
Chapter 22 – Exotic Options
3. Jorion, Value-at-Risk, 3rd ed.
Chapter 10 – VaR Methods
Chapter 11 – VaR Mapping
Chapter 14 – Stress Testing
4. Robert L. McDonald, Derivatives Markets, (Boston: Addison-Wesley, 2003).
Chapter 6 – Commodity Forwards and Futures
5. Anthony Saunders, Financial Institutions Management, 5th ed. (New York: McGraw-Hill, 2005).
Chapter 10 – Market Risk
Chapter 15 – Foreign Exchange Risk
6. René Stulz, Risk Management & Derivatives (Mason, Ohio: South-Western, 2003).
Chapter 4 – A Firm-Wide Approach to Risk Management
Chapter 8 – Identifying and Managing Cash Flow Exposures
Chapter 15 – The Demand and Supply for Derivative Products
7. Bruce Tuckman, Fixed Income Securities, 2nd ed. (Hoboken: John Wiley & Sons, Inc., 2002).
Chapter 1 – Bond Prices, Discount Factors, and Arbitrage
Chapter 2 – Bond Prices, Spot Rates, and Forward Rates
Chapter 3 – Yield to Maturity
Chapter 4 – Generalizations and Curve Fitting
Chapter 5 – One-Factor Measures of Price Sensitivity
Chapter 6 – Measures of Price Sensitivity Based on Parallel Yield Shifts
Chapter 7 – Key Rate and Bucket Exposures
Chapter 9 – The Science of Term Structure Models
Chapter 21 – Mortgage-Backed Securities
III. Credit Risk Measurement and Management – 25%
Analyzing special purpose vehicles and securitizations
Bankruptcy including offsets and priority rules
Contingent claim approach and the KMV Model
Counterparty risks:
1. exposures
2. recovery rates
3. risk mitigation techniques including rating triggers, collateral, and seniority clauses
Credit derivatives
1. Collateralized debt obligations
2. Collateralized default swaps
Credit ratings
Credit risk management models
Credit spreads
Default probabilities
Interest rates and yields
Margining
Netting
Portfolio credit risk
Settlement risk
© 2007 Global Association of Risk Professionals, Inc.
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
中华金融学习网 www.100jrxx.com
2007 FRM Study Guide
Credit Risk Measurement and Management Readings:
1. Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003). Copy of article is available at the GARP Digital Library website, www.GARPDigitalLibrary.org.
2. Christopher Culp, Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken: John Wiley & Sons, Inc., 2006).
Chapter 16 – Securitization
3. Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw-Hill, 2004).
Chapter 2 – External and Internal Ratings
Chapter 3 – Default Risk: Quantitative Methodologies
Chapter 4 – Loss Given Default
Chapter 6 – Credit Risk Portfolio Models
Chapter 7 – Credit Risk Management and Strategic Capital Allocation
4. Ashish Dev, Economic Capital, (London: Risk Books, 2004).
Chapter 7 – Economic Capital for Counterparty Credit Risk, by Evan Picoult and David Lamb.
5. Gunter Meissner, Credit Derivatives, Application, Pricing and Risk Management, (Malden, MA: Blackwell Publishing, 2005).
Chapter 2 – Credit Derivatives Products
Chapter 3 – Synthetic Structures
Chapter 4 – Application of Credit Derivatives
Chapter 6 – Risk Management with Credit Derivatives
6. Saunders, Financial Institutions Management, 5th ed.
Chapter 11 – Credit Risk: Individual Loan Risk
Chapter 12 – Credit Risk: Loan Portfolio and Concentration Risk
Chapter 16 – Sovereign Risk
Chapter 27 – Loan Sales and Other Credit Risk Management Techniques
7. Stulz, Risk Management & Derivatives.
Chapter 18 – Credit Risks and Credit Derivatives
IV. Operational and Integrated Risk Management, Legal – 25%
Aggregated distributions
Allocation of risk capital across the firm
Basel II Accord
1. the three pillars
2. the internal ratings-based approach (foundation and advanced IRB)
中华金融学习网 www.100jrxx.com 官方总站：圣才学习网 www.100xuexi.com
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2009FRM考试内容、权重及考题数量：
- 风险管理基础 10% 14题
- 数量分析 10% 14题
- 金融市场与产品 15% 21题
- 估值与风险模型 15% 21题
- 市场风险测量与管理 10% 14题
- 信用风险测量与管理 10% 14题
- 操作风险与综合风险管理 10% 14题
- 投资风险管理 10% 14题
- 金融市场前沿议题 10% 14题
更详细的考纲需在GARP网站上在线申请，网址如下（填写示意见下图）：
http://www.garp.com/frmexam/studyguide.aspx
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garp 网站上有下的
by the way,你既然要考 就要好好 看看Garp网站
再问问题
什么都靠知道很不靠谱的
by the way,你既然要考 就要好好 看看Garp网站
再问问题
什么都靠知道很不靠谱的
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