《金融风险管理》由会员分享，可在线阅读，更多相关《金融风险管理（20页珍藏版）》请在金锄头文库上搜索。
1、金融风险管理区国强FRMExamination介绍nGlobal Association of RiskProfessionals 为1996年成立的国际非营利组织n在1997年开始每年秋季举办一次 Financial Risk Manager (FRM)认证考试 ，迄今已成为国际财金界最权威的认证 考试之一FRM历年及格人数有关FRM认证的详细介绍n网址:n书籍：The Financial Risk Manager Handbook,3rd edition, by Philippe Jorion (New York: Wiley, 2005) 课程(考试)大纲n数量分析 10%n市场风险衡量
2、及管理 25%n信用风险衡量及管理 30%n操作及整合风险管理 25%n风险及投资管理 10%数量分析Quantitative AnalysisnEstimating parameters of distributionsnExtreme value theory; basic principlesnHypothesis testingnLinear regression and correlationnMean, standard deviation, correlation, skewness,and kurtosisnMonte Carlo analysisnProbability di
3、stributionsnStatistical properties and forecasting of correlation, covariance, and volatility市场风险衡量及管理Market Risk Measurement and ManagementnDerivatives on fixed-income securities, interest rates, foreign exchange, equities, and commoditiesnEmerging market risks including currency crisesnIdentifying
4、 and measuring risk exposuresnInterest rate, foreign exchange, equity, and commodity risksnInterest rates and bond pricingnLiquidity risknMeasuring and managing corporate exposures, including cash flow at risknRisk budgetingnStress testingnValuation and risk analysis of futures, forwards, swaps, and
5、 options nValue-at-Risk: 1. Definition, delta-normal, historical simulation,Monte Carlo 2. Implementation 3. Limitations and alternative risk measures, e.g., conditional Value-at-Risk信用风险衡量及管理Credit Risk Measurement and ManagementnActuarial approach and CreditRisk+nContingent claim approach and the
6、KMV ModelnCounterparty risks: 1. exposures 2. recovery rates 3. risk mitigation techniques including rating triggers, collateral, and seniority clausesnCredit derivatives nCredit migration, transition matrices, and CreditMetrics.nCredit ratingsnCredit spreadsnDefault probabilitiesnInterest rates and
7、 yieldsnMarginingnNettingnPortfolio credit risknSettlement risknSpecial purpose vehicles操作及整合风险管理Operational and Integrated Risk ManagementnAggregated distributionsnAllocation of risk capital across the firmnAnalyzing special purpose vehicles and securitizationsnBankruptcynCorrelations across market
8、, credit, and operational risknDefinition of risk capitalnDifferences between market and operational VaRsnEvaluating the performance of risk management systemsnHedging operational risk using financial engineeringnImplementation risks of risk managementnInternal models approach for market risk (Marke
9、t Risk Amendment 1996)nInsuring operational risknLegal risknMeasuring firm-wide risknSeverity and frequency distributions for operational risknTypes of operational risknWorkflow in financial institutions风险及投资管理Risk Management and Investment ManagementnTraditional investment risk management 1. Return
10、 metrics (Sharpe ratio, information ratio, VaR, relative VaR, tracking error, survivorship bias) 2. Implementing VaR 3. Benchmarking asset mixes 4. Risk decomposition and performance attribution 5. Risk budgeting 6. Tracking error 7. Setting risk limits 8. Risk of alpha transfer strategies 9. Risk m
11、anagement issues of pension fundsnHedge fund risk management 1.Risk-return metrics specific to hedge funds (drawdown, Sortino ratio) 2. Risks of specific strategies (fixed-income arbitrage, merger arbitrage, convert arbitrage, equity long/short-market neutral, macro, distressed debt, emerging market
12、s) 3. Asset illiquidity, valuation, and risk measurement 4. The use of leverage and derivatives and the risks they create 5. Problems in measuring exposures to risk factors (dynamic strategies, leverage, derivatives, style drift) 6. Correlations among hedge funds and between hedge funds and other assets教科书与参考数据书目n金融风险管理手册(第五版) n讲义课程进度n本课程乃整合同学们已学的统计学、财 务管理、金融市场及衍生性金融商品等 课程，为财金系学生的基本专业知识n以同学们能否吸收理解作为课程进度快 慢及内容多寡的唯一标准课程单元各课程单元皆包括:1.该单元的预期学习目标(Learningoutcome statement, LOS) 2.课程内容 3.课程练习题(含答案)；及 4.课后测验题(不含答案)评量方式n期中考(40%)、期未考(60%)n各为25题四选一的选择题n使用中文翻译的FRM历年考题n及格标準:加权五十分(期中考X 40% +期未考X 60%50 )
