2021年新版FRM备考资料下载
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FRM公式在FRM考试中多吗?

FRM考试中有大量的计算题,因此是用到相关公式的。有考生咨询FRM公式在FRM考试中多吗?关于答案,随小编往下看!

FRM公式在FRM考试中是很多的,因此是需要考生记忆的,下面是小编列举的相关公式,希望对你有所帮助!

Backtesting VaR:>>>点击领取2021年FRM备考资料大礼包(戳我免·费领取)

An exception occurs if the day’s change in value exceeded the VaR estimate of the previous day. When backtesting VaR, the number of exceptions is determined for a 250-day testing period. Based on the number of exceptions, the bank’s exposure is categorized into one of three zones and VaR is scaled up by the appropriate multiplier (subject to a floor of 3).

• Green zone: 0–4 exceptions, increase in exposure multiplier is 0.

• Yellow zone: 5–9 exceptions, exposure multiplier increases between 0.4 and 0.85.

• Red zone: Greater than or equal to 10 exceptions, multiplier increases by 1.扫码抽奖

Credit Risk Capital Requirements:【资料下载】[融跃财经]FRM一级ya题-pdf版

The standardized approach incorporates risk weights based on external credit rating assessments. The amount of capital that a bank must hold is specific to the risk of credit-risky assets, the type of institution the claim is written on, and the maturity of those assets.

The internal ratings-based (IRB) approaches (foundation and advanced) use a bank’s own internal estimates of creditworthiness to determine the risk weightings in the capital calculation.

• Foundation approach: bank estimates PD.

• Advanced approach: bank estimates not only PD, but also LGD, exposure at default (EAD), and effective maturity (M).

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