2017FRM一级考纲变化

 
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风险管理基础 Foundations of Risk Management 20%
 
新增：
 
Markus K. Brunnermeier, 2009. “Deciphering the Liquidity and Credit Crunch 2007—2008,”Gary Gorton and Andrew Metrick, 2012. “Getting Up to Speed on the Financial Crisis: A One-Weekend- Reader’s Guide,”
 
删除：
 
The Credit Crisis of 2007 
 
Information Risk and Data Quality Management （移动到二级操作风险）
 
定量分析 Quantitative Analysis 20%
 
新增：
 
Modeling and Forecasting trend，Seasonality，cycles
 
预测三种时间时间序列数据：趋势数据、季节性数据、周期性数据
 
参考书：Francis X. Diebold, Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006).
 
Estimating Volatilities 估计波动率
 
参考书变动，核心知识点并未变动
 
参考书变为：John C. Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken,NJ: John Wiley & Sons, 2015).
 
金融市场与产品 Financial Markets and Products 30%
 
新增：
 
Chapter 2. Banks
 
Chapter 3. Insurance Companies and Pension Plans
 
Chapter 4. Mutual Funds and Hedge Funds
 
参考书：John C. Hull, Risk Management and Financial Institutions, 4th Edition (Hoboken, NJ:John Wiley & Sons, 2015)
 
删除：
 
Introductions of CCP
 
The Rating Agencies 评级机构
 
估值与风险模型 Valuation and Risk Models 30%
 
Stress Testing 压力测试
 
参考书变动，知识点愈加系统详细。核心知识点并未变动
 
参考书变为：Stress Testing: Approaches, Methods, and Applications, Edited by Akhtar Siddique and Iftekhar Hasan (London: Risk Books, 2013).
 

2017FRM二级考纲变化

 
市场风险 Market Risk Measurement and Management 25%
 
无新增章节
 
删除
 
Parametric Approach (II): Extreme Value
 
参考书：Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley&Sons, 2005) (整体全部移动到操作风险)

信用风险 Credit Risk Measurement and Management 25%
 
新增
 
Classifications and key concepts of credit risk
 
Ratings assignment methodologies
 
参考书：Giacomo De Laurentis, Renato Maino, Luca Molteni,Developing, Validating and UsingInternal Ratings (Hoboken, NJ; John Wiley & Sons, 2010).
 
The Evolution of Stress Testing Counterparty Exposures
 
参考书：Stress Testing: Approaches, Methods, and Applications, Edite by Akhtar Siddique and Iftekhar Hasan (London: Risk Books, 2013).
 
删除
 
Default Risk: Quantitative Methodologies
 
参考书：Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk (New York: McGraw-Hill, 2004).
 
Credit and Counterparty Risk
 
参考书：Allan Malz, Risk Management: Models, History, and Institutions (Hoboken, NJ: John Wiley & Sons, 2011).
 
操作风险 Operational and Integrated Risk Management 25%
 
新增
 
“Standardised Measurement Approach for operational risk—consultative document,” (Basel Committee on Banking Supervision Publication, March 2016).
 
Validating rating models
 
参考书：Giacomo De Laurentis, Renato Maino, Luca Molteni, Developing, Validating and Using Internal Ratings (Hoboken, NJ: John Wiley & Sons, 2010).
 
“Guidance on Managing Outsourcing Risk,” Board of Governors of the Federal Reserve System, December 2013.
 
Information Risk and Data Quality Management
 
参考书：Anthony Tarantino and Deborah Cernauskas, Risk Management in Finance: Six Sigma and Other Next Generation Techniques (Hoboken, NJ: John Wiley & Sons, 2009). (风险管理基础)
 
Parametric Approaches (II): Extreme Value
 
参考书：Kevin Dowd, Measuring Market Risk, 2nd Edition (West Sussex, England: John Wiley&Sons, 2005).
 
删除
 
”Operational Risk—Supervisory Guidelines for the Advanced Measurement Approaches,”
 
Basel Committee on Banking Supervision Publication, June 2011). Paragraphs 1-42 (intro) and60-261 (Modeling) only
Paragraphs 1-42. Introduction
Paragraphs 160-261. Modeling
 
新增参考书：
 
“Minimum capital requirements for market risk” (Basel Committee on Banking Supervision Publication, January 2016).
 
投资组合风险管理 Risk Management and Investment Management 15%
 
新增
 
Factor Theory
 
Factors
 
Alpha (and the Low-Risk Anomaly)
 
Illiquid Assets (entire chapter; previously Section 13.5 was excluded)
 
Andrew Ang, Asset Management: A Systematic Approach to Factor Investing (New York:Oxford University Press, 2014).
 
无删减
 
 
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