It is now 2 months before the August frm exam. Many test takers have already started preparing for the exam, especially those who are preparing for the exam. Today, I have compiled some first-level frm knowledge points summary, let's take a look .
First-level frm knowledge points
First-level frm knowledge points:
FRM Review
Part One：Qunats Analysis
1。 Bays rules
2。 Variance（ax+by）
3. Confidence interval estimate Simple calculation, known confidence level, standard deviation, mean
4。 P-value
5。 R∧2=SSR/SST
6. Correlation coefficient calculation
7. The extreme value theorem, which Latest Mailing Database is deeper than the class, asks about the content of the specific density function formula
Part two：market risk
1. Several bonds' are known; effective duration, market prices, and face values. Calculate portfolio';s duration
2. The impact of Convexity on bond price
3. IO strips and PO strips the duration is negative
4. The calculation of Forward price includes divide yield and convenience yield
5. Calculation of Commodity forward price
6. That case is basis risk
7. Calculation of Interest swap present value
8. Currency swap calculation of a single cash flow
9. Under what circumstances can AMERICAN option be executed in advance, upper and lower bounds
10。 Covered call + protective put = collar
11. Under what conditions is Strap used?
12。 Binary option
13。 Shout option
14. Portfolio VaR calculation
15。 GARCH persistence factor
16. Greek letters test gamma vega adjustment, buy stockdelta zero after adjusting vega test
Part three：credit risk
1. credit rating and a list of 6 ratios that affect credit, ask which country's government bonds to invest in
2。 Though the cycle，at the point
3. Merton model calculates the value of equity. If there is no formula, you must clearly remember the method of d.
4。 Neyman pearson decision rule。
Use the statistical concept of Type 1 and Type 2 errors
5. Altman credit scoring does not require calculation >>> get FRM online course for free <<<
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. Calculation of probability of default questions 3-5
7. Calculation of concentration limit
8。 Novation
9。 Hot collateral=“on special”
Difficult to obtain
10. List 7 transactions, 5 netting items, 2 items of non-netting agreement, one party's credit exposure
11。 risk neutral mean loss rate
12. Calculation of multiyear resturing agreement
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 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 Receiver's cash flow changes when libor changes
Protect payers from interest risk
18. Calculation of Credit spread option pay off
Sister notes 3 / page 125
19. Difference between Cash CDOs and synthetic CDOs
In Cash CDOs ， the issuer directly buys the actual securities
20. Difference between BISTRO and j-port
Both are synthetic structures。 Pls refer to Schweser note 3 / page 138-139
twenty one. Calculation of Dollar VaR
Part four：optional risk
1. Risks not included in the BIS definition
Not include strategic and reputatiponal risk
Include legal risk
2. Connectivity model two techniques to see in detail, the test is very detailed >>> FRM May Zhenti
3. Parametric model: the definition of convolution, the application principle of case problem convolution, the formula
4. Definition of Contingent credit line and risk prevention control
5. Cat bond payoff deductible coinsurance
6. Calculation of LVAR
7。 Close out
8. Economic of scale and scope case questions
9. Model risk definition, the case question judges whether it is model risk
10. The impact of the market hypothesis on risk management
11。 Flight to the quality
12。 Financial conglomerates diversification benefits
13. Hub and spoke Definition
14。 3+1 pillars legal firewall
15. The new basel risk weight function is given by the basel committee and cannot be set by yourself
16。 Basel back testing 99% daily，one year historical data，time lag 6 months
17. Case study SUMITOMO, BARINGS, LTCM main test risk reasons
18。 Asian crisis（Thailand）， may not be tested again
19。 For 2007， Amaranth Debacle
Part five：investment management
1. Definition of Pure Diversifier
2. Manifestations of Style drift, and methods of investigation
3。 Convertible arbitrage strategy
4。 Regulation D
5. ASSETS ALLOCATION is a case study
6. Treynor measurement numerator minus risk free rate
7. Tracking error calculation case questions give two sets of data
8. MSD (semi-variance) calculation gives information ration,