2021年新版FRM备考资料下载
  • 考纲对比
  • 学习计划
  • 思维导图
  • 复习资料
  • 历年真题
  • 词典及公式

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?

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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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