FRM公式考生在备考中有必要记忆吗？

临近5月FRM考试，在剩余的时间里考生需要更加认真的备考。虽然所剩时间不多，但是只要认真，通过考试不是什么问题。在备考中，因为有大量的计算题，因此，FRM公式是比不可少的。有考生咨询FRM公式在备考中有必要记忆吗？

FRM公式考生一定要自己掌握的，并且要熟练运用，因为在实际的考试中，是不会提供相关的任何公式的。下面是小编为大家列举有关市场风险度量管理的相关公式，一起看看：》》》戳：各科视频讲义+历年真题+21年原版书（PDF版）免·费领取

Value at Risk (VaR)：

VaR for a given confidence level occurs at the cutoff point that separates the tail losses from the

remaining distribution. Historical simulation approach: order return observations and find the observation that corresponds to the VaR loss level. Parametric estimation approach: assumes a

distribution for the underlying observations.

Expected Shortfall：

Provides an estimate of tail loss by averaging the VaRs for increasing confidence levels in the tail.

Weighted Historical Simulation Approaches：

•Age-weighted: adjusts the most recent (distant) observations to be more (less) heavily weighted.【资料下载】FRM一级思维导图PDF版

• Volatility-weighted: replaces historic returns with volatility-adjusted returns; actual procedure of estimating VaR is unchanged.

• Correlation-weighted: updates the variance-covariance matrix between assets in the portfolio.

•Filtered historical simulation: relies on bootstrapping of standardized returns based on volatility forecasts; able to capture conditional volatility, volatility clustering, and/or data asymmetry.

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