• 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





PART 1 #金融风险管理




Chapter 7: Linear Regression [QA-7]


● 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]


● 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]


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


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

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

PART 1 #市场风险


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


● Describe coherent risk measures.


PART 2 #信用风险


Chapter 9:Structured Credit Risk [CR–8]


● 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]


● 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]


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

Chapter 17. CVA [CR–13]


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

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


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


● 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.


PART 2 #操作风险






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]


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


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。


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)


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