12月1日GARP协会公布了FRMzui新考纲,整体考纲变化不大,2023年的FRM考纲中所有科目的权重没有发生变化。变化的科目主要是在一级的数量分析;二级的信用、操作和热点;其余科目基本保持不变。

》》》2023年新版FRM一二级内部资料免·费领取!【精华版】

点击领取

PART 1 #金融风险管理

01.章节的变动

新增两个章节(14、15章)关于机器学习的内容,老考纲FRM二级热点部分有关于机器学习的内容,如今也加入到数量分析当中,并且新增了两个章节,说明它的内容比较重要,也另外一个层面说明FRM考试很贴合实际生活。其他章节共新增3条新考点。

02.具体内容的变动

Chapter 7: Linear Regression [QA-7]

新增1条:

● Estimate the correlation coefficient from the R2 measure obtained in linear regressions with a single explanatory variable.

Chapter 8: Regression With Multiple Explanatory Variables [QA-8]

新增1条:

● Calculate the regression R2 using the three components of the decomposed variation of the dependent variable data: the explained sum of squares, the total sum of squares, and the residual sum of squares.

Chapter 12: Measuring Returns, Volatility, and Correlation [QA-12]

新增1条:

● Compare and contrast the different measures of correlation used to assess dependence.

新增章节

● Chapter 14: Machine-Learning Methods [QA-14]

● Chapter 15: Machine Learning and Prediction [QA-15]

PART 1 #市场风险

01.具体内容的变动

Chapter 3. Estimating Market Risk Measures: An Introduction and Overview [MR–1]

删除1条:

● Describe coherent risk measures.

总结:市场风险内容变动不大,仅仅删除一条关于一致性风险的考点。

PART 2 #信用风险

01.具体内容的变动

Chapter 9:Structured Credit Risk [CR–8]

新增1条:

● Describe the treatment of excess spread in a securitization structure and estimate the value of the overcollateralization account at the end of each year.

Chapter 6: Netting, Close-out and Related Aspects [CR–10]

新增1条:

● Provide examples of trade compression of derivative positions, calculate net notional exposure amount, and identify the party holding the net contract position in a trade compression.

Chapter 7:Margin (Collateral) and Settlement [CR–11]

新增1条:

● Calculate the credit support amount (margin) under various scenarios.

Chapter 17. CVA [CR–13]

新增1条:

● Explain the distinctions between unilateral CVA (UCVA) and BCVA, and between unilateral DVA (UDVA) and BCVA.

Chapter 12. An Introduction to Securitization [CR–17]

删除1条:

● Determine the notional value of the net contract resulting from trade compression and identify the counterparty with the net contract.

新增3条:

● Describe the various features of subprime MBS and explain how these features are designed to protect investors from losses on the underlying mortgage loans.

● Distinguish between corporate credit ratings and asset-backed securities (ABS) credit ratings.

● Explain how through-the-cycle ABS rating can amplify the housing cycle.

总结:信用风险一共新增7个考点,删除1个考点。新增的内容都可能会是未来考试的重点部分,大家要引起重视,紧跟网课复习!

PART 2 #操作风险

01.章节的变动

原来27个章节,现在变成24个章节,对于原来分散的知识点进行了整合,使得整本操作风险变得更加系统,学生学起来能够更加容易理清思路,形成学习框架,即风险管理的步骤就是:风险识别、风险测量和评估、风险缓解、风险报告、综合风险管理。

以前FRM考生在备考时,总反映操作风险难学,现在协会也是针对性对于学习内容进行了优化,让学生更有系统性的学习,明白风险管理的逻辑,也更好应用于实践。

新考纲内容变动虽然比较大,但是总体章节内容少了3章,原来复杂分散的内容也变得更加整体,对于老考生和新考生来说都是有利的,相比以前复习起来会相对容易,大家也不必对于大幅度的考纲变动太过于担忧~

02.具体内容的变动

Chapter 1. Introduction to Operational Risk and Resilience [ORR-1]

Chapter 2. Risk Governance [ORR-2]

Chapter 3. Risk Identification [ORR-3]

Chapter 4. Risk Measurement and Assessment [ORR-4]

Chapter 5. Risk Mitigation [ORR-5]

Chapter 6. Risk Reporting [ORR-6]

Chapter 7: Integrated Risk Management [ORR–7]

Chapter 9. Case Study: Cyberthreats and Information Security Risks [ORR-9]

Chapter 10. “Sound Management of Risks related to Money Laundering and Financing of Terrorism,” Basel Committee on Banking Supervision, January 2014, revised July 2020. (through p.16, para. 83) [ORR-10]

Chapter 11. Case Study: Financial Crime and Fraud [ORR-11]

Chapter 13. Case Study: Third-Party Risk Management [ORR-13]

Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities [ORR-14]

Chapter 16. Case Study: Model Risk and Model Validation [ORR-16]

总结:上面13个章节都是新增章节,考生需要重新进行复习,17-24章内容保留了老考纲的内容,大约保留了1/3的内容,分别是以下内容:

Til Schuermann, (2014), “Stress Testing Banks,” International Journal of Forecasting, 30:3, 717–728. [ORR–17]

Chapter 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement [ORR–18]

“Range of practices and issues in economic capital frameworks,” Basel Committee on Banking Supervision Publication, March 2009. [ORR–19]

“Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,” Board of Governors of the Federal Reserve System, August 2013. [ORR–20]

Mark Carey, “Capital Regulation Before the Global Financial Crisis,” GARP Risk Institute, April 2019. [ORR-21]

Mark Carey, “Solvency, Liquidity and Other Regulation After the Global Financial Crisis,” GARP Risk Institute, April 2019. [ORR-22]

“High-level summary of Basel III reforms,” Basel Committee on Banking Supervision Publication, December 2017. [ORR-23]

“Basel III: Finalising post-crisis reforms,” Basel Committee on Banking Supervision Publication, December 2017, pp. 128-136. [ORR-24]

PART 2 #热点

01.章节的变动

保留了Artificial Intelligence/Machine Learning两篇文章,删除了6篇文章,新增了6篇热点文章,关于气候风险、通货膨胀风险、区块链、加密货币和去中心化金融。热点基本上每年都会变动,FRM考试就是紧跟时事变化,贴近现实生活,考FRM对于我们工作和学习帮助都是很大的。

保留的两篇文章:

Machine Learning and AI

● Aziz, S. and M. Dowling (2019). “Machine Learning and AI for Risk Management”, in T. Lynn, G. Mooney, P. Rosati, and M. Cummins (eds.), Disrupting Finance: FinTech and Strategy in the 21st Century, Palgrave, 2019)

● “Artificial Intelligence Risk & Governance,” Artificial Intelligence/Machine Learning Risk & Security Working Group (AIRS)

02.具体内容的变动

Climate Risk

● “Climate-related risk drivers and their transmission channels,” Basel Committee on Banking Supervision Publication, April 2021

● “Climate- related financial risks – measurement methodologies,” Basel Committee on Banking Supervision Publication, April 2021

● “Principles for the effective management and supervision of climate-related financial risks,” Basel Committee on Banking Supervision Publication, June 2022

Inflation Risk

● “Inflation: a look under the hood,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 41-64

Blockchain, Cryptocurrency, and Decentralized Finance

● David Andolfatto and Fernando M. Martin, “The Blockchain Revolution: Decoding Digital Currencies,” Federal Reserve Bank of St. Louis Review, Third Quarter 2022, pp. 149-65

● “The future monetary system,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 75-103

另附详细23年FRM考纲分析》,点击在线咨询或者添加融跃FRM老师微信(rongyuejiaoyu)领取