FRM一级核心考点精要

图书在版编目（CIP）数据

FRM一级核心考点精要:英文/金程金融研究院编

著.—北京:新华出版社,2021.1

ISBN978-7-5166-5639-6

Ⅰ.①F…Ⅱ.①金…Ⅲ.①金融风险－风险管理－

资格考试－自学参考资料－英文Ⅳ.①F830.9

中国版本图书馆CIP数据核字(2021)第026160号

FRM一级核心考点精要:英文

编著：金程金融研究院

责任编辑：蒋小云封面设计：三鼎甲

出版发行：新华出版社

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成品尺寸：210mm×145mm

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版次：2021年1月第一版印次：2021年1月第一次印刷

书号：978-7-5166-5639-6

定价：129.00元

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前言

前言

《FRM一级核心考点精要》依托考纲，由金程教育专业的研发团队编纂而成。FRM一级考试共有四门

科目，每门科目囊括了大量而细碎的知识点，要在有限的学习时间内掌握如此繁杂的知识点，这对考生来说

是一个艰巨而辛苦的任务。

零散的知识点犹如散落在星盘上的星辰，闪烁着耀眼的神秘光芒，如何将它们组合排布成有规律的星系，

进行进一步研究呢？本书可以帮助考生快速完成这一步骤。金程教育的老师们根据考纲和学生学习过程中的

疑难点，整理出FRM一级核心考点的逻辑框架图，并绘制成图表，主次鲜明地标注出各科目的重要考点、

考试形式以及各知识点间的关联关系，方便考生迅速建立起系统化的知识体系。

读书是一件把书读厚再读薄的过程，要把书读薄，就是要化繁为简，直击重点。本书将FRM一级所有

考纲浓缩在一本精要手册中，让考生随时可以根据这些图表温故而知新。

在任何考试的过程中，遗忘都是学习的大敌！本书通过合理的结构布排和图像化的呈现方式，帮助考生

1

FRM一级核心考点精要

对知识点产生“形象化”记忆，针对所有FRM一级重难点进行集中式的突破和记忆，提升考生的复习的效率。

我们希望无论在哪一个学习环节，本书都可以帮助考生明确学习目标和检验学习成果。以下是本书的使

用指南。

课前预习阶段：在备考初期，本书可作为知识引导，让考生初步了解每个章节的核心内容，从而针对重

点深入学习和体悟。

课后复习阶段：在完成一个章节的学习以后，考生可以把本书作为一个自检清单，合上讲义和书本，通

过浏览本书的核心考点提纲，进行回顾和复习，从而强化记忆。

考前冲刺阶段：冲刺阶段是复习的最后阶段，考生一定不能手忙脚乱，要抓住这个可以改变结果的最后

机会。在这个阶段，考生可以把本书作为知识点的精炼总结，快速浏览回顾所有考试的重难点，从而查漏补

缺，顺利通关。

一本好书，不一定是繁杂冗长，但一定是时时都能为你提供帮助和便捷。我们由衷地望这本书可以在广

大考生的学习之路上提供更多的帮助，让学习这件事变得简单便捷。

祝广大考生取得好成绩，顺顺利利通过考试！

金程教育永远与您同在！

金程金融研究院

2

目录

Contents

StudySession1

FoundationsofRiskManagement

●Reading1

BasicSenseofRiskManagement………003

●Reading2

TheGovernanceofRiskManagement…………………007

●Reading3

MainMeasurementTools………………013

●Reading4

CreditRiskTransferMechanisms……………………016

●Reading5

EnterpriseRiskManagement(ERM)…………………019

01

●Reading6

ModernPortfolioTheoryandStandardCapitalAssetPricingModel

（MPTandCAPM）…………………021

●Reading7

ApplyingtheCAPMtoPerformanceMeasurement……028

●Reading8

ArbitragePricingTheoryandMultifactorModelsofRiskandReturn…030

●Reading9

FinancialDisasters……………………033

●Reading10

AnatomyoftheGreatFinancialCrisisof2007~2009…………………040

●Reading11

EffectiveDataAggregationandRiskReporting………045

●Reading12

GARPCodeofConduct………………049

02

StudySession2

QuantitativeAnalysis

●Reading1

FundamentalsofProbability…………052

●Reading2

RandomVariablesandBasicStatistics………………058

●Reading3

HypothesisTesting……………………074

●Reading4

LinearRegression……………………081

●Reading5

RegressionDiagnostics………………086

●Reading6

StationaryTimeSeries…………………091

●Reading7

Non-StationaryTimeSeries……………097

03

●Reading8

MeasuringReturns,VolatilityandCorrelation…………100

●Reading9

SimulationsMethod……………………103

StudySession3

FinancialMarketsandProducts

●Reading1

BondMarket…………107

●Reading2

ForwardandFutures…………………118

●Reading3

SwapMarket…………139

●Reading4

OptionMarket…………142

04

●Reading5

MBS……………………163

●Reading6

FinancialInstitution……………………168

StudySession4

ValuationandRiskModels

●Reading1

OptionValuation………………………187

●Reading2

BondValuation………………………198

●Reading3

MarketRiskModel……………………210

●Reading4

CreditRiskModel……………………218

05

●Reading5

OperationalRiskModel………………233

●Reading6

StressTesting…………238

●FUNDATIONSOFRISKMANAGEMENT

PortfolioManagementTheory…………244

MeasuresofPerformance………………244

ArbitragePricingTheory………………245

●QUANTITATIVEANALYSIS

Bayes'Formula………………………245

BasicStatistics…………245

CommonProbabilityDistributions……………………246

CentralLimitTheorem…………………247

MeasureofCentraltendency…………247

06

Measurementofdispersion……………248

Sampling&Estimation………………248

HypothesisTesting……………………249

Regression……………251

StationaryTimeSeries…………………252

Non-StationaryTimeSeries……………252

MeasuringReturns,VolatilityandCorrelation…………253

●FINANCIALMARKETSANDPRODUCTS

CompoundingInterest…………………253

ForwardRates…………253

BondMarkets…………254

MBS……………………254

Forward………………254

Futures…………………254

07

Option…………………255

●VALUATIONANDRISKMODELS

BondValuation………………………256

RiskMetrics……………256

Hedging………………256

OptionValuation………………………257

MarketRisk……………257

CreditRisk……………258

OperationalRisk………………………258

08

FRM一级核心考点精要

FoundationsofRiskManagement

FRM一级核心考点精要

Framework

StudySession1

FoundationsofRiskManagement

●R1BasicSenseofRiskManagement

●R2TheGovernanceofRiskManagement

●R3MainMeasurementTools

●R4CreditRiskTransferMechanisms

●R5EnterpriseRiskManagement(ERM)

●R6ModernPortfolioTheoryandStandardCapitalAssetPricingModel（MPTandCAPM）

●R7ApplyingtheCAPMtoPerformanceMeasurement

●R8ArbitragePricingTheoryandMultifactorModelsofRiskandReturn

●R9FinancialDisasters

●R10AnatomyoftheGreatFinancialCrisisof2007~2009

●R11EffectiveDataAggregationandRiskReporting

●R12GARPCodeofConduct

002

StudySession1

Reading1

BasicSenseofRiskManagement

TheConceptofRisk★★性质

◢Riskisnotsynonymouswiththesizeofacostorofaloss.Itisthepossibilityofthebad

TheConceptofRisk

thingsthatmighthappen.

KeyTypesofRisk★★★性质

◢Theriskthatchangesinfinancialmarketpricesandrateswillreducethevalueofa

MarketRisk

securityoraportfolio.

◢Theriskofaneconomiclossfromthefailureofacounterpartytofulfilitscontractual

CreditRisk

obligations,orfromtheincreasedriskofdefaultduringthetermofthetransaction.

003

FRM一级核心考点精要

（续表）

KeyTypesofRisk★★★性质

◢Twoparts:(1)Fundingliquidityrisk;(2)Market(Trading)liquidityrisks:Endogenousvs.

LiquidityRisk

Exogenous.

◢Referstopotentiallossesresultingfrominadequateorfailedinternalprocesses,people,

OperationalRiskandsystemsorfromexternalevents.

◢Itincludeslegalrisk,butexcludesbusiness,strategicandreputationalrisk.

KeyTypesofRisk★★性质

AMLRisk◢Antimoneylaundryandfinancingforterrorism.

CyberRisk◢Theriskofhackersstealinganddestroyingdataandcompromisingsystems.

004

StudySession1

（续表）

KeyTypesofRisk★★性质

Modelrisk◢Theriskofpotentialindirectcostsofrelyingonmodels.

◢Liesattheheartofanybusinessandincludesalltheusualworriesoffirms,suchas

BusinessRiskcustomerdemand,pricingdecisions,suppliernegotiations,competition,andmanaging

productinnovation.

◢Involvesmakingcritical,long-termdecisionsaboutthefirm'sdirection,oftenaccompanied

StrategicRisk

bymajorinvestmentsofcapital,humanresources,andmanagementreputation.

◢Thedangerthatafirmwillsufferasuddenfallinitsmarketstandingorbrandwith

ReputationRisk

economicconsequences.

◢Flighttoquality.

SystemicRisk

◢Panickedmargincallrequests.

005

FRM一级核心考点精要

ThreeLinesofDefense★★性质

FirstLine◢Businesslinethatgenerates,owns,andmanagesrisk.

SecondLine◢Riskmanagersthatspecializeinriskmanagementandday-to-dayoversight.

ThirdLine◢Periodicindependentoversightandassurance,suchasinternalaudit.

RiskManagementProcess★★性质

◢Identifytherisks.

◢Quantifyandestimatetheriskexposuresordetermineappropriatemethodsto

transfertherisks.

Steps◢Determinethecollectiveeffectsoftheriskexposuresorperformacost-benefit

analysisonrisktransfermethods.

◢Developariskmitigationstrategy(i.e.,avoid,transfer,mitigate,orassumerisk).

◢Assessperformanceandamendriskmitigationstrategyasneeded.

006

StudySession1

Reading2

TheGovernanceofRiskManagement

RiskAppetite★★★性质

◢Riskappetitedescribestheamountandtypesofriskafirmiswillingtoacceptrisk.

◢Determiningabank'sriskappetite:Abank'soptimalcreditratingapproaches:(1)

Principles

Abanktargetsacertaincreditrating;(2)AbanktargetsacertainPDdependingon

thebank'sbusinessmodel;(3)Takingsocialcostsintoaccount.

LimitsandLimitStandard

★★性质

Policies

Thetoplimitsofbankincluding:

◢Anoveralllimitbyassetclass.

Tier1limits

◢Anoverallstress-testlimit.

◢Amaximumdrawdownlimit.

007

FRM一级核心考点精要

（续表）

LimitsandLimitStandard

★★性质

Policies

Consideredassub-limitsaggregatedby:

◢Creditrating.

Tier2limits◢Industry.

◢Maturity.

◢Region,etc.

CorporateGovernance★★★性质

◢Protecttheinterestsofshareholders(gatekeeper).

◢Beresponsiblefortheconcernsofotherstakeholders.

Theboard'sresponsibility

◢Overseeexecutivemanagementandalertforanyconflictofinterestsbetweenthe

(Basic)

managementandstakeholders.

◢SeparatetheroleoftheCEOandthechairmanoftheboard.

008

StudySession1

（续表）

CorporateGovernance★★★性质

◢Decideappropriateriskappetite.

◢Assessfirm'sriskmanagementsystemsandprocedures.

◢Ensuremajortransactionsareconsistentwiththeriskauthorized.

Theboard'sresponsibility

◢Keepthedisclosureadequateandtransparent.

(Advanced)

◢Balancetheriskandrewards.

◢Taketheultimateresponsibility.

◢Betrainedonriskissues.

◢Setriskappetiteonannualbasis.

◢Translatetheoverallriskappetiteintoasetoflimits.

RiskManagementCommittee◢Approveandindependentlyreviewrisklevels.

◢Reportbacktotheboardonavarietyofitems,suchasallloansandcreditsovera

specifieddollarlimit.

009

FRM一级核心考点精要

CorporateGovernance★★性质

◢Independentlyverifywhetherthefirmisdoingwhatitclaimstobedoing.

◢Checkfordiscrepanciesandinfringementsinregulatory,legal,compliance,and

riskmanagementactivities.

AuditCommitteeoftheBoard◢Assessthequalityofreporting,compliance,internalcontrol,andriskmanagement

processes.

◢Auditcommitteemembersarerequiredtobeknowledgeable,capableof

independentjudgment,financiallyliterate,andhavetheutmostintegrity.

RiskAdvisoryDirector◢Amemberoftheboardwhospecializesinriskmatters.

◢Determinethecompensationoftopexecutives.

◢Bealignedwiththelong-terminterestsofstakeholders,andwithrisk-adjusted

CompensationCommitteereturnoncapital.

◢Removalofguaranteedbonuses.

◢Stock-basedcompensationcanencouragerisk-taking.

010

StudySession1

CorporateGovernance★★★性质

◢CROsshouldnotjustbeafter-the-factriskmanagersbutalsoriskstrategists.

◢Beindependentoflinebusinessmanagement.

TheRoleofCRO◢Haveastrongenoughvoice.

◢Mustevaluateallnewfinancialproductstoverifythattheexpectedreturnis

consistentwiththerisksundertaken.

◢Providingtheoverallleadershipforenterpriseriskmanagement.

◢Establishinganintegratedriskmanagementframeworkforallaspectsofrisks.

◢Allocatingeconomiccapitaltobusinessactivities.

CRO'sresponsibility◢Communicatingthecompany'sriskprofiletokeystakeholders.

◢Responsibleforriskpolicies,analysisapproaches,andmethodologies.

◢Makeday-to-daydecisionswithinthedelegationofseniorriskcommittee.(e.g.

approvetheexceptionoflimit)

011

FRM一级核心考点精要

CorporateGovernance★★★性质

◢TheheadsofindividualriskdepartmentreporttotheCRO.

CRO'sresponsibility◢TheCROreportstotheCFOorCEO.

◢Adotted-linereportingrelationshipbetweentheCROandtheboard.(dualposition)

CorporateGovernance★★性质

◢Uncoverthesourcesofriskandmeasureitsimpact:helpmakeriskmanagement

decision.

◢Balanceriskandreward.

RiskManager'sJob

◢Makerisktransparenttokeydecisionmakersandstakeholders.

◢Findtherightrelationshipbetweenbusinessleadersandthespecialist.

◢Riskmanagementfunctions.

012

StudySession1

Reading3

MainMeasurementTools

KeyMeasures★★★性质

◢EListheaveragelossexpectedtoincurfromapositionoraportfolio.Itcanbe

estimatedbyhistoricaldataofaperiodoftime.Itcanbetreatedasapredictable

ExpectedLossexpenseratherthanariskoruncertainty.

◢EL=EAD×LGD×PDforcreditrisk.

◢ELcanbecalculatedbythedistributionoflossformarketriskandoperationalrisk.

◢UListhesurprisinglossthatabovetheELinbaddays.

◢Valueatrisk(VaR)usesthelossdistributiontoestimatelossesatagivenlevelof

UnexpectedLoss

likelihood(confidence).

◢UL=VaR-EL.

013

FRM一级核心考点精要

KeyMeasures★★★性质

◢Fromthecrisislesson,wefocusonthetailriskbeyondconfidence

levelwhichcannotbeexplainedbyVaR.

ExtremeValue-TailRisk◢Extremevaluetheory(EVT)focusesontaildistributiontounderstand

theblackswans.

◢ExpectedshortfallistheELoftaildistribution.

BalanceBetweenRiskandReward★★★性质

◢Rewardshouldbeconsideredbyrisk-adjustedreturn.

◢Riskadjustedreturnoncapital(RAROC).

RAROC◢RAROC=reward/risk.

◢Reward:after-taxrisk-adjustedexpectedreturn.

◢Risk:economiccapital.

014

StudySession1

（续表）

LimitsofRiskMeasurement★★性质

◢VaRdoesnotcaptureallrisks.

◢VaRhassubstantialmodelrisk:

●Mistakesincorrelationestimates.

DifficultiesinusingVaRto

●Differentstatisticaldistributions.

measurerisk

●Nosufficienthistoricaldata.

◢Blackswans.

◢Stresstestingasacomplement.

015

FRM一级核心考点精要

Reading4

CreditRiskTransferMechanisms

CreditRiskTransferTools★★性质

◢Requiringcollateral.

◢Purchasinginsurancefromthird-partyguarantor.

◢Nettingofexposurestocounterparties.

Traditionaltransferofcreditrisk

◢Markingtomarket/Margining.

◢Termination/Putoption.

◢Reassignmentofacreditexposuretoanotherparty.

◢Forcommodityderivatives:

Creditderivativescreatenewtransfer●Aluminumswaps.

strategies●Naturalgasandenergyderivatives.

●Wheat/Corn/ricefutures/swaps.

016

StudySession1

CreditRiskTransferTools★★性质

◢Forinterestrateriskandforeignexchangerisk:

Creditderivativescreatenewtransfer

●Interestrateswaps.

strategies

●Currencyswaps.

OtherRiskTransferTools◢Forward,Future,Swap,Option,Swaption.

TheMechanicsofSecuritization★★★性质

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