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22年FRM®考纲变化：Valuation and Risk Models（风险模型与估值）
文章来源：网络
发布时间：2021-12-02 14:51
阅读：771次
2022年FRM®考纲已经更新，及时了解新考纲变化，对备考是有帮助的。下面是22年FRM®一级Valuation and Risk Models（风险模型与估值）的考纲变化，一起来看吧。
考试比重
该学科在一级考试中的占比仍然为30%，依然是一级考试的重点学科。内容上，有部分删减和调整。
考点对比
这门课整体删减了11条考点，新增了3点考点，从LOS来看对考生的考察要求降低了。两条修改的内容，仅仅是对原有内容的补充，主体内容没有变化。主要涉及的考点并没有发生过多变化，重点章节无太大改变。
具体考纲变动
新增的LOS(共3条）
Chapter 4. External and Internal Credit Ratings
Define conditional and unconditional default probabilities and explain the distinction between the two.
Chapter 6. Measuring Credit Risk
Describe the degree of dependence typically observed among the loan defaults in a bank’s loan portfolio, and explain the implications for the portfolio’s default rate.
Chapter 8. Stress Testing
Describe the role of policies and procedures, validation, and independent review in stress testing governance.
删减的LOS（共11条）
Chapter 1. Measures of Financial Risk
Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.
Chapter 3. Measuring and Monitoring Volatility
Calculate conditional volatility using parametric and non-parametric approaches.
Calculate conditional volatility with and without mean reversion.
Describe the impact of mean reversion on long horizon conditional volatility estimation.
Chapter 4. External and Internal Credit Ratings
Describe the impact of time horizon, economic cycle, industry and geography on external ratings.
Chapter 5. Country Risk: Determinants, Measures, and Implications
Identify sources of country risk.
Chapter 6. Measuring Credit Risk
Evaluate a bank’s economic capital relative to its level of credit risk.
Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure and loss rate.
Chapter 8. Stress Testing
Identify the advantages and disadvantages of stressed risk metrics.
Identify elements of clear and comprehensive policies, procedures, and documentations for stress testing.
Identify areas of validation and independent review for stress tests that require attention from a governance perspective.【点击免费下载>>>更多FRM学习相关资料】
替换的LOS
Chapter 3. Measuring and Monitoring Volatility
Apply the exponentially weighted moving average (EWMA) approach and the GARCH (1,1) model to estimate volatility, and describe alternative approaches to weighting historical return data. (2022)
Apply the exponentially weighted moving average (EWMA) approach and the GARCH(1,1) model to estimate volatility. (2021)
Chapter 8. Stress Testing
Describe stressed VaR and stressed ES, including their advantages and disadvantages, and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2022)
Describe stressed VaR and stressed ES and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2021）
估值和风险建模这门课，考纲虽然有少量的增减和修改，但删除和增加后的新考纲对知识点的要求却下降了，涉及修改的地方也多为描述性词汇的调整。因此同学们不需要有备考压力，适当关注新增和修改的考点要求，按部就班的复习即可。
推荐阅读：【2022年FRM®考期提前公布，一级考期减少一次】
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