2021年FRM一二級(jí)考綱解讀直播

FRMPartI&

II2021年考綱解讀直播直播間互動(dòng)好禮華爾街之哈mini版帆布包

*

3考綱解讀考綱導(dǎo)讀每一年考試G

A

R

P

協(xié)會(huì)都會(huì)對(duì)考綱進(jìn)行修改，

2

0

2

0

年1

1

月3

0

日G

A

R

P

協(xié)會(huì)公布了2

0

2

1

年最新考綱，

金程教育F

R

M

研發(fā)組第一時(shí)間仔細(xì)對(duì)比了G

A

R

P

協(xié)會(huì)2

0

2

0

年和2

0

2

1

年的新舊考綱，

找出了考綱更新修改部分。相比2

0

2

0

年考綱，

2

0

2

0

年F

R

M

一級(jí)二級(jí)整體變動(dòng)較小（

相較去年）

，

新增、

變更和刪除的內(nèi)容不多。整體來看，

今年考綱幅度相對(duì)較小。一級(jí)科目權(quán)重FoundationsofRisk

Management20%Quantitative

Analysis20%FinancialMarkets

and

Products30%ValuationandRisk

Models30%FoundationsofRisk

Management修改點(diǎn)評(píng)FRM考綱一級(jí)變化Chapter

1.

TheBuilding

BlocksofRiskM

nagement

;修改一條考點(diǎn)，具體LOS:Evaluateandapplytoolsandproceduresusedtomeasureandmanagerisk,includingq

antitatiem

asues,qualitativeassessmentandenterpriseriskmanagement變?yōu)镋valuate,

compareandappytoo

s

and

proceduresusedtomeasureandmanagerisk,inc

udingquantitativemeasures,qualitativeriskassessmenttechniques,andenterpriserisk

management..2021年考綱要求評(píng)估、 較和使用工具去度量和管理風(fēng)險(xiǎn)。體現(xiàn)GARP協(xié)會(huì)對(duì)度量和管

風(fēng)險(xiǎn)這一部分知識(shí)點(diǎn)定性考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FoundationsofRisk

Management刪除點(diǎn)評(píng)Chapter1.

The

Building

Blocks

of

Risk

Management;刪除一條考點(diǎn)，具體LOS:Describeelements,orbuildingblocks,oftheriskmanagementprocessandidentifyproblemsandchallengesthatcanariseintheriskmanagement

process..2021年考綱不要求描述風(fēng)險(xiǎn)管理過程的構(gòu)建，識(shí)別風(fēng)險(xiǎn)管理過程中的問題和挑戰(zhàn)。風(fēng)險(xiǎn)管理過程構(gòu)建以前是風(fēng)險(xiǎn)管理基礎(chǔ)里定性內(nèi)容中比較噩要的知識(shí)點(diǎn)，現(xiàn)在刪減這部分內(nèi)容可以減輕2021年FRM一級(jí)的一些備考?jí)毫?。FRM考綱一級(jí)變化FoundationsofRisk

Management修改點(diǎn)評(píng)Managementgovernance變?yōu)閎estpractices變?yōu)楣局卫磉@一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化;修 三條考點(diǎn)，具體LOS:Explainchanges

inChapter3.TheGovernance

of

Risk aExplain

changes

in

corporate

risk

n

eregulationsandcorporateriskgovernancethatoccurredasaresultofthe2007-2009financialcrisis.Compare

and

contrast a Describebestpracticesforthegovernanceofafirm’s

riskmanagement

processes.Assesstherole

and

responsibilitie 變?yōu)?/p>

Explain

the

risk

management

role

andresponsiblitiesofafirm’sboadof

directors.2021年考綱要求解釋由融危機(jī)而引起監(jiān)管和公司治理發(fā)生的變化；描述公司風(fēng)險(xiǎn)管解釋公司董事會(huì)的風(fēng)險(xiǎn)管理角色和責(zé)任。體現(xiàn)GARP協(xié)會(huì)對(duì)理過程治理的最 實(shí)踐FoundationsofRisk

Management修改點(diǎn)評(píng)Chapter

4.

CreditRisk

Transfer

Mechanisms;修改一條考點(diǎn)，具體LOS:Comparedifferenttypesofcreditderivatives,explainhoweachonetransferscreditriskanddescribetheiradvantagesand

disadvantages

改為Compare

different

typesofcreditderivatives,explaintheirapplications,anddescribetheir

advantages.2021年考綱要求比較不同類型的信用衍生品，解釋他們的應(yīng)用，并描述他們的優(yōu)勢(shì)。體現(xiàn)GARP協(xié)會(huì)對(duì)信用衍生產(chǎn)品的考察更加細(xì)化，更有用針對(duì)性。FRM考綱一級(jí)變化

FoundationsofRisk

Management修改點(diǎn)評(píng))修改一條考點(diǎn)line改為andCML和SMLFRM考綱一級(jí)變化Chapter5.ModernPortfolioTheory(MP

)and

theCapital

AssetPricing

Model(CAPM

;

改

，具體LOS:Interpretthecapital

marketInterpret

andthesecuritymarket

line.comparethecapitalmarket

line2021年考綱要求比較 M

。體 GARP協(xié)會(huì)對(duì)資產(chǎn)組合理論這一部分知識(shí)點(diǎn)考察難度的增加，明確區(qū)分CML和SML更能體現(xiàn)考生在這部分知識(shí)點(diǎn)的扎 程度。FoundationsofRisk

Management修改點(diǎn)評(píng)Chapter6.TheArbitragePricingTheoryand

MultifactorModels

of

Risk

and

Return;修改一條考點(diǎn)，具體LOS:Describetheinputs(includingfactorbetas)toa

multifactormodel變?yōu)?/p>

Describe

the

inputs

(including

factorbetas)

to

amultifactormodelandexplainthechallengesofusingmultifactormodelsin

hedging.2021年考綱要求描述多因素模型的輸入項(xiàng)(包括貝塔因素)，并解釋在對(duì)沖中使用多因素模型的挑戰(zhàn)。體現(xiàn)GARP協(xié)會(huì)對(duì)多因素模型這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

FoundationsofRisk

Management刪除點(diǎn)評(píng)Chapter6.TheArbitragePricingTheoryand

MultifactorModels

of

Risk

and

Return;刪除一條考點(diǎn)，具體LOS:Explainmodelsthataccountforcorrelationsbetweenassetreturnsinamulti-asset

portfolio.2021年考綱不要求解釋在多資產(chǎn)組合中資產(chǎn)回報(bào)之間的相關(guān)性的模型。這部分內(nèi)容是風(fēng)險(xiǎn)管理基礎(chǔ)里定性內(nèi)容中比較難的知識(shí)點(diǎn)，現(xiàn)在協(xié)會(huì)放棄這部分知識(shí)點(diǎn)，有助千可以減輕2021年FRM一級(jí)的一些備考?jí)毫?。FRM考綱一級(jí)變化Chapter7.

Principles

for

Effective

Data

Aggregation

and

Risk

Reporting;修改兩條考點(diǎn)，具體LOS:Identifythegovernanceframework,riskdataarchitectureandITinfrastructurefeaturesthat

cancontributeto

effective

riskdata

aggregation

and

riskreportingpractices變?yōu)镈escribecharacteristicsofeffectivedataarchitecture,IT

infrastructure.Describecharacteristicsofastrongriskdataaggregationcapabilityanddemonstratehowthesecharacteristicsinteractwithoneanother變?yōu)镋xplainchallengestotheimplementationofastrongriskdataaggregationandreportingprocessandthepotentialimpactsofusingpoorquality

data.2021年考綱要求描述有效數(shù)據(jù)收集的相關(guān)特點(diǎn)；解釋實(shí)施強(qiáng)大的風(fēng)險(xiǎn)數(shù)據(jù)匯總和報(bào)告流程的挑戰(zhàn)，以及使用劣質(zhì)數(shù)據(jù)的潛在影響

。體現(xiàn)GARP協(xié)會(huì)對(duì)有效數(shù)據(jù)收集這一知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化FoundationsofRisk

Management修改點(diǎn)評(píng)FoundationsofRisk

Management刪除點(diǎn)評(píng)Chapter7.PrinciplesforEffectiveDataAggregation

andRisk

Reporting;刪除兩條考點(diǎn)，具體LOS:Describetheimpactofdataqualityonmodelriskandthemodeldevelopment

process.Describetherolethatsupervisorsplayinthemonitoringandimplementationoftheriskdataaggregationandreportingpractices.2021年考綱不要求描述數(shù)據(jù)質(zhì)量對(duì)模型風(fēng)險(xiǎn)和模型開發(fā)過程的影響；描述主管在監(jiān)測(cè)和實(shí)施風(fēng)險(xiǎn)數(shù)據(jù)匯總和報(bào)告實(shí)踐中所扮演的角色。刪減這部分內(nèi)容可以一定程度上減輕大家的學(xué)習(xí)壓力。FRM考綱一級(jí)變化

FoundationsofRisk

Management修改點(diǎn)評(píng)Chapter8.EnterpriseRiskManagementand

FutureTrends;修改一條考點(diǎn)，具體LOS:ComparethebenefitsandcostsofERManddescribe

themotivations

for

afirmto

adopt

an

ERM

initiative

變?yōu)镈escribethemotivationsforafirmtoadoptanERMinitiative.2021年考綱要求描述公司采用ERM主動(dòng)性工作的動(dòng)機(jī)，實(shí)際上刪減了比較ERM的效益和成本。體現(xiàn)GARP協(xié)會(huì)對(duì)ERM這一部分知識(shí)點(diǎn)考察難度的降低，考生可以暗自慶幸一下了。FRM考綱一級(jí)變化

FoundationsofRisk

Management刪除點(diǎn)評(píng)Chapter8.EnterpriseRiskManagementand

FutureTrends;刪除一條考點(diǎn)，具體LOS:DescribeimportantdimensionsofanERMprogramandrelateERMtostrategic

planning.2021年考綱不要求描述ERM的維度，并將ERM與戰(zhàn)略計(jì)劃聯(lián)系起來。刪減這一部分內(nèi)容體現(xiàn)GARP協(xié)會(huì)對(duì)ERM這一部分知識(shí)點(diǎn)考察難度的降低，考生可以暗自慶幸一下了。FRM考綱一級(jí)變化

Quantitative

Analysis點(diǎn)評(píng)None2021年考綱在定量分析這門科目與2020考綱保持一致。這對(duì)2021年考生來說是一件值得歡呼雀躍的事情。FRM考綱一級(jí)變化

FinancialMarketsand

Products新增點(diǎn)評(píng)Chapter

2.

Insurance

Companies

and

Pension

Plans;新增一條考點(diǎn)，具體LOS:Comparethevarioustypesoflifeinsurance

policies.2021年新考綱要求比較不同類型的壽險(xiǎn)。體現(xiàn)GARP協(xié)會(huì)對(duì)壽險(xiǎn)這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

FinancialMarketsand

Products修改點(diǎn)評(píng)Chapter

4.

Introduction

to

Derivatives;修改一條考點(diǎn)，具體LOS:Describetheover-the-countermarket,distinguishitfromtradingonanexchangeandevaluateitsadvantages

anddisadvantages

改為

Describe

exchange-traded

andover-the-countermarkets,andevaluatetheadvantagesanddisadvantagesof

each.2021年考綱要求描述交易所市場(chǎng)和OTC市場(chǎng)，并評(píng)估各自的優(yōu)點(diǎn)和缺點(diǎn)，實(shí)際上刪減了二者的辨析。體現(xiàn)GARP協(xié)會(huì)對(duì)交易所市場(chǎng)和OTC市場(chǎng)這一部分知識(shí)點(diǎn)考察難度的降低。FRM考綱一級(jí)變化

FinancialMarketsand

Products修改點(diǎn)評(píng)Chapter

7.

Futures

Markets;修改兩條考點(diǎn)，具體LOS:Defineanddescribethekeyfeaturesofafuturescontract改為Defineanddescribethekeyfeaturesand

specificationsofafutures

contract.Describetheroleofanexchangeinfuturesandover-the-countermarkettransactions改為Describetheroleofanexchangeinfutures

transactions.2021年考綱要求定義和描述期貨合約的主要特征和規(guī)格；描述交易所在期貨交易中的作用。

實(shí)際上體現(xiàn)GARP協(xié)會(huì)對(duì)期貨合約特征的細(xì)化，考生在學(xué)習(xí)時(shí)要多注意一下。FRM考綱一級(jí)變化

FinancialMarketsand

Products刪除點(diǎn)評(píng)Chapter

7.

Futures

Markets;刪除兩條考點(diǎn)，具體LOS:Describetherationaleformarginrequirementsandexplainhowthey

work.Explainthedifferentmarket

quotes.2021年考綱不要求描述保證金的基本原理及運(yùn)作方式；解釋不同的市場(chǎng)報(bào)價(jià)。體現(xiàn)GARP協(xié)會(huì)對(duì)期貨這一部分知識(shí)點(diǎn)考察難度的降低，考生可以暗自慶幸一下了。FRM考綱一級(jí)變化

FinancialMarketsand

Products新增點(diǎn)評(píng)Chapter

12.

Options

Markets;新增一條考點(diǎn)，具體LOS:Explainthepayofffunctionandcalculatetheprofitandlossfromanoptions

position.2021年新考綱要求解釋和計(jì)算期權(quán)頭寸的損益。體現(xiàn)GARP協(xié)會(huì)對(duì)期權(quán)損益這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

FinancialMarketsand

Products修改點(diǎn)評(píng)Chapter

12.

Options

Markets;修改兩條考點(diǎn)，具體LOS:Describethetypes,positionvariations,payoffsandprofitsandtypicalunderlyingassets

of

options

變?yōu)?/p>

Describe

the

various

types,

uses,

andtypical

underlyingassets

ofoptions。Describehowtrading,commissions,marginrequirementsandexercisetypically

work

forexchange-traded

options

改為

Describe

the

application

ofcommissions,marginrequirements,andexerciseprocedurestoexchange-tradedoptionsandexplainthetradingcharacteristicsofthese

options.2020年考綱要求描述期權(quán)的類型、用途和標(biāo)的資產(chǎn)；描述傭金、保證金要求和交易所期權(quán)的應(yīng)用，并解釋這些期權(quán)的交易特征。體現(xiàn)GARP協(xié)會(huì)對(duì)期權(quán)基本特征這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

FinancialMarketsand

Products新增點(diǎn)評(píng)Chapter

16.

Properties

of

Interest

Rates;新增一條考點(diǎn)，具體LOS:Calculatezero-couponratesusingthebootstrap

method.2021年新考綱要求使用bootstrap方法計(jì)算零息利率。體現(xiàn)GARP協(xié)會(huì)對(duì)零息利率這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

FinancialMarketsand

Products修改點(diǎn)評(píng)Chapter

16.

Properties

of

Interest

Rates;修改一條考點(diǎn)，具體LOS:Calculatetheduration,modifieddurationanddollardurationof

a

bond

改為

Calculate

the

Macaulayduration,modifiedduration,anddollardurationofa

bond.2021年考綱要求計(jì)算債券的麥考利久期、修正久期和久期。實(shí)際上只對(duì)久期的描述更加細(xì)致和準(zhǔn)確，這一部分也是考試噩點(diǎn)，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

FinancialMarketsand

Products修改點(diǎn)評(píng)Chapter

17.

Corporate

Bonds;修改一條考點(diǎn)，具體LOS:Definerecoveryrateanddefaultrate,differentiatebetweenanissuedefaultrateandadollardefaultrateanddescribethe

relationshipbetweenrecovery

rates

and

seniority

改為Definerecoveryrateanddefaultrate,anddifferentiatebetweenanissuedefaultrateandadollardefault

rate.2021年考綱要求定義回收率和違約率，并區(qū)分發(fā)行人違約率和美元違約率。實(shí)際上剔除了描述回收率和資歷之間的關(guān)系。體現(xiàn)GARP協(xié)會(huì)對(duì)回收率這一部分知識(shí)點(diǎn)考察難度的降低。FRM考綱一級(jí)變化

ValuationandRisk

Models刪除點(diǎn)評(píng)Chapter1.

Measuresof

Financial

Risk;刪除一條考點(diǎn)，具體LOS:DescribespectralriskmeasuresandexplainhowVaRandESarespecialcasesofspectralrisk

measures.2021年考綱不要求描述譜風(fēng)險(xiǎn)度量，并解釋VaR和ES如何是譜風(fēng)險(xiǎn)度量的特殊情況。體現(xiàn)GARP協(xié)會(huì)對(duì)風(fēng)險(xiǎn)度量這一部分知識(shí)點(diǎn)考察難度的降低，考生可以暗自慶幸一下了。FRM考綱一級(jí)變化

ValuationandRisk

Models修改點(diǎn)評(píng)Chapter

2.

Calculating

and

Applying

VaR;修改一條考點(diǎn)，具體LOS:ExplainstructuredMonteCarloandstresstestingmethods改為ExplainthestructuredMonteCarlomethodforcomputingVaRandidentifyitsstrengthsand

weaknesses.2021年考綱只要求解釋計(jì)算VaR的蒙特卡羅方法，并識(shí)別優(yōu)缺點(diǎn)。刪去了壓力測(cè)試部分內(nèi)容，相對(duì)減輕了考生的壓力。FRM考綱一級(jí)變化

ValuationandRisk

Models刪除點(diǎn)評(píng)Chapter

2.

Calculating

and

Applying

VaR;刪除兩條考點(diǎn)，具體LOS:Explainthefullrevaluationmethodforcomputing

VaR.Comparedelta-normalandfullrevaluationapproachesforcomputing

VaR.2021年考綱不要求解釋全局定價(jià)法；比較delta-normal和全局定價(jià)法。全局定價(jià)法以前是VAR計(jì)算中比較噩要的知識(shí)點(diǎn)，現(xiàn)在協(xié)會(huì)下定決心放棄這部分知識(shí)點(diǎn)，可以減輕2021年FRM一級(jí)的一些備考?jí)毫Γ忌梢园底詰c幸一下了。FRM考綱一級(jí)變化

ValuationandRisk

Models刪除點(diǎn)評(píng)Chapter

3.Measuring

and

Monitoring

Volatility;刪除一條考點(diǎn)，具體LOS:Evaluatethevariousapproachesforestimating

VaR.2021年考綱不要求評(píng)估VaR的各種度量方法。體現(xiàn)GARP協(xié)會(huì)對(duì)VaR的度量這一部分知識(shí)點(diǎn)考察難度的降低。FRM考綱一級(jí)變化

ValuationandRisk

Models新增點(diǎn)評(píng)Chapter

4.

Externaland

Internal

Credit

Ratings;新增一條考點(diǎn)，具體LOS:Describetherelationshipsbetweenchangesincreditratingsandchangesinstockprices,bondprices,andcreditdefaultswap

spreads.2021年考綱要求描述信用評(píng)級(jí)的變化與股價(jià)、債券價(jià)格和CDS價(jià)差變化之間的關(guān)系。體現(xiàn)GARP協(xié)會(huì)對(duì)信用評(píng)級(jí)這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化ValuationandRisk

Models刪除點(diǎn)評(píng)Chapter

4.

Externaland

Internal

Credit

Ratings;刪除一條考點(diǎn)，具體LOS:Explainthepotentialimpactofratingschangesonbondandstock

prices.2021年考綱不要求解釋評(píng)級(jí)變化對(duì)債券和股栗價(jià)格的潛在影響。FRM考綱一級(jí)變化

ValuationandRisk

Models新增點(diǎn)評(píng)Chapter

8.Stress

Testing;新增一條考點(diǎn)，具體LOS:DescribestressedVaRandstressedESandcomparetheprocessofdeterminingstressedVaRandEStothatoftraditionalVaRand

ES.2021年考綱要求描述壓力VaR和壓力ES，并與傳統(tǒng)VaR和ES的過程進(jìn)行比較。體現(xiàn)GARP協(xié)會(huì)對(duì)壓力VaR和壓力ES這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱一級(jí)變化

ValuationandRisk

Models修改點(diǎn)評(píng)Chapter

8.

Stress

Testing;修改兩條考點(diǎn)，具體LOS:Identifykeyaspectsofstresstestinggovernance,includingchoiceofscenarios,regulatoryspecifications,modelbuilding,stress-testingcoverage,capitalandliquiditystresstestingandreverse

stress

testing

改為

Explainkey

considerations

andchallenges

related

to

stresstesting,includingchoiceofscenarios,regulatoryspecifications,modelbuilding,andreversestress

testing.Describetheresponsibilitiesoftheboardofdirectorsandseniormanagementinstresstestingactivities改為Describetheresponsibilitiesoftheboardofdirectors,seniormanagement,andtheinternalauditfunctioninstresstesting

governance.2021年考綱要求解釋與壓力測(cè)試相關(guān)的關(guān)鍵事項(xiàng)和挑戰(zhàn)；描述在壓力測(cè)試治理中董事會(huì)、高級(jí)管理層和內(nèi)部審計(jì)職能的職責(zé)。實(shí)際上刪減了部分關(guān)鍵事項(xiàng)，新增內(nèi)部審計(jì)職能的相關(guān)內(nèi)容。考生在學(xué)習(xí)時(shí)加以注意。FRM考綱一級(jí)變化

ValuationandRisk

Models刪除點(diǎn)評(píng)Chapter

8.Stress

Testing;刪除三條考點(diǎn)，具體LOS:ExplaintheimportanceofstressedinputsandtheirimportanceinstressedVaRandstressed

ES.Describethekeyelementsofeffectivegovernanceoverstress

testing.Describetheimportantroleoftheinternalauditinstresstestinggovernanceand

control.2021年考綱不要求解釋壓力VaR和壓力ES的噩要性；描述對(duì)壓力測(cè)試進(jìn)行有效治理的關(guān)鍵元素；描述內(nèi)部審計(jì)在壓力測(cè)試治理和控制中的噩要作用。體現(xiàn)GARP協(xié)會(huì)對(duì)壓力測(cè)試這一部分知識(shí)點(diǎn)取舍。FRM考綱一級(jí)變化

ValuationandRisk

Models修改點(diǎn)評(píng)Chapter13.ModelingNon-ParallelTermStructureShiftsand

Hedging;修改一條考點(diǎn)，具體LOS:Calculatethekeyrateexposuresforagivensecurityandcomputetheappropriatehedgingpositionsgivenaspecifickeyrateexposureprofile改為Computethepositionsinhedginginstrumentsnecessarytohedgethekeyraterisksofa

portfolio.2021年考綱要求計(jì)算在對(duì)沖組合的關(guān)鍵利率風(fēng)險(xiǎn)時(shí)對(duì)沖工具的頭寸來。體現(xiàn)GARP協(xié)會(huì)對(duì)關(guān)鍵利率對(duì)沖這一部分知識(shí)點(diǎn)的細(xì)化，考生在學(xué)習(xí)時(shí)要加以注意。FRM考綱一級(jí)變化

ValuationandRisk

Models刪除點(diǎn)評(píng)2021年考綱不要求描述和評(píng)估單因素方法的缺點(diǎn)弱點(diǎn)；描述多因素方法并總結(jié)其優(yōu)點(diǎn)和缺點(diǎn)。體現(xiàn)GARP協(xié)會(huì)對(duì)因素法這一部分知識(shí)點(diǎn)考察難度的降低，考生可以暗自慶幸一下了。FRM考綱一級(jí)變化Chapter13.ModelingNon-ParallelTermStructureShiftsand

Hedging;刪除兩條考點(diǎn)，具體LOS:Describeandassessthemajorweaknessattributabletosingle-factorapproacheswhenhedgingportfoliosorimplementingassetliability

techniques.Describethekeyrateexposuretechniqueinmulti-factorhedgingapplications;summarizeitsadvantages

anddisadvantages.21年最新課程資料加V:xuebajun888s

科目權(quán)重MarketRiskMeasurementand

Management20%CreditRiskMeasurementand

Management20%OperationalRiskand

Resiliency20%LiquidityandTreasuryRiskMeasurementand

Management15%RiskManagementandInvestment

Management15%CurrentIssuesinFinancial

Markets10%二級(jí)

MarketRiskMeasurementand

Management修改點(diǎn)評(píng)Modeling

dependence:

correlations

and

copulas

歸到

VaRandotherrisk

measure.這部分內(nèi)容只是位置發(fā)生了變化，具體考察不變。FRM考綱二級(jí)變化MarketRiskMeasurementand

Management新增點(diǎn)評(píng)Chapter18.FundamentalReviewoftheTrading

Book;新增一條參考書目，具體LOS:.JohnC.Hull,RiskManagementandFinancialInstitutions5thEdition(Hoboken,NJ:JohnWiley&Sons,

2018).新增了一條參考書目，考察內(nèi)容基本不變。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management修改點(diǎn)評(píng)原參考書:JonGregory,ThexVAChallenge:CounterpartyCreditRisk,Funding,Collateral,andCapital,3rdEdition(WestSussex,UK:JohnWiley&Sons,2015)改為JonGregory,ThexVAChallenge:CounterpartyCreditRisk,Funding,Collateral,andCapital,4thEdition(WestSussex,UK:JohnWiley&Sons,

2020).參考書更新了版本FRM考綱二級(jí)變化CreditRiskMeasurementand

Management修改點(diǎn)評(píng)Chapter

4.Counterparty

Risk;

章節(jié)名稱變動(dòng)，改為Chapter3.CounterpartyRiskand

Beyond;章節(jié)名稱發(fā)生了變化，內(nèi)容也有所更新。體現(xiàn)GARP協(xié)會(huì)對(duì)交易對(duì)手風(fēng)險(xiǎn)這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management修改點(diǎn)評(píng)Chapter

6.

Collateral;

章節(jié)名稱變動(dòng)，改為

Chapter

7.Margin(Collateral)and

Settlement;章節(jié)名稱發(fā)生變化，考察更加具體。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management修改點(diǎn)評(píng)Chapter

7.

Credit

Exposure

and

Funding;

章節(jié)名稱變動(dòng)，改為

Chapter

11.

FutureValueand

Exposure;章節(jié)名稱發(fā)生變化，考察內(nèi)容細(xì)微變更。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management修改點(diǎn)評(píng)Chapter

14.

Credit

and

Debt

Value

Adjustments;

章節(jié)名稱變動(dòng)，改為

Chapter

17.

CVA;章節(jié)名稱發(fā)生變化，考察噩點(diǎn)集中千CVA。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management刪除點(diǎn)評(píng)Chapter

9.Counterparty

Risk

Intermediation;

整個(gè)章節(jié)刪除；這部分內(nèi)容總算離開了考試范疇，大家學(xué)的時(shí)候可以輕松一點(diǎn)了。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management新增點(diǎn)評(píng)Chapter

7.

Margin

(Collateral)

and

Settlement;新增一條考點(diǎn)，具體LOS:Describethevariousregulatorycapital

requirements.2021年考綱要求描述不同監(jiān)管資本要求?？忌趯W(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management新增點(diǎn)評(píng)Chapter

11.

Future

Value

and

Exposure;新增一條考點(diǎn)，具體LOS:Describethedifferencesbetweenfundingexposureandcredit

exposure.2021年考綱要求描述融資敞口和信用敞口的區(qū)別?？忌枰獜谋举|(zhì)上理解這兩種敞口，考試時(shí)才能做到游刃有余。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management新增點(diǎn)評(píng)Chapter

11.

CVA;新增三條考點(diǎn)，具體LOS:Identifyexamplesofwrong-way

collateral.Describethevariouswrong-waymodelingmethodsincludinghazardrateapproaches,structuralapproaches,parametricapproaches,andjump

approaches.Explaintheimplicationsofcentralclearingonwrong-wayrisk.2021年考對(duì)WWR的考察比較細(xì)致，體現(xiàn)GARP協(xié)會(huì)對(duì)這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management修改點(diǎn)評(píng)Chapter

17.

CVA;修改一條考點(diǎn)，具體LOS；CalculateBCVA

andBCVA

spread

改為

CalculateDVA,

BCVA,andBCVAasa

spread.描述發(fā)生了變化，考察的也更加具體。FRM考綱二級(jí)變化

CreditRiskMeasurementand

Management新增點(diǎn)評(píng)Chapter12.TheCreditTransferMarkets—and

TheirImplications;新增一條考點(diǎn)，具體LOS:Describecoveredbonds,fundingCLOs,andothersecuritizationinstrumentsforfunding

purposes.2021年考綱要求描述不同證券化產(chǎn)品的區(qū)別。體現(xiàn)GARP協(xié)會(huì)對(duì)證券化知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱二級(jí)變化

OperationalandIntegratedRisk

Management新增點(diǎn)評(píng)Capital

Regulation

Before

the

Global

Financial

Crisis;新增一條考點(diǎn)，具體LOS:CalculatecreditriskcapitalunderBaselIIutilizingtheIRBapproach.2021年考綱新增了IRB方法的信用風(fēng)險(xiǎn)資本金的計(jì)算，體現(xiàn)GARP協(xié)會(huì)對(duì)風(fēng)險(xiǎn)因素這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱二級(jí)變化

LiquidityandTreasuryRiskMeasurementand

Management修改點(diǎn)評(píng)Chapter

6.Monitoring

Liquidity;修改一條考點(diǎn)，具體LOS:Defineliquidityrisk,fundingcostrisk,liquiditygenerationcapacity,

expected

liquidity,cash

flow

atrisk

改為

Describeandapplytheconceptsofliquidityrisk,fundingcostrisk,liquiditygenerationcapacity,expectedliquidity,andcashflowat

risk.新考綱的要求從原先的定義轉(zhuǎn)變成了現(xiàn)在的描述，體現(xiàn)GARP協(xié)會(huì)對(duì)監(jiān)控流動(dòng)性這一部分知識(shí)點(diǎn)考察難度的增加，考生在學(xué)習(xí)時(shí)要多下點(diǎn)功夫。FRM考綱二級(jí)變化

RiskManagementandInvestment

Management修改點(diǎn)評(píng)原參考書:ZviBodie,AlexKane,andAlanJ.Marcus,Investments,11thEdition(NewYork,NY:McGraw-Hill,2017)改為ZviBodie,AlexKane,andAlanJ.Marcus,Investments,12thEdition(NewYork,NY:McGraw-Hill,

2020).參考書版本有所更新。FRM考綱二級(jí)變化

RiskManagementandInvestment

Management新增點(diǎn)評(píng)FindingBernieMadoff:DetectingFraudby

InvestmentManagers;新增章節(jié)，具體LOS:Explaintheuseandefficacyofinformationdisclosuresmadebyinvestmentadvisorsinpredicting

fraud.Describethebarriersandthecostsincurredinimplementingfraudprediction

methods.Discusswaystoimproveinvestors’abilitytousediscloseddatatopredict

fraud.2021年考綱要求解釋投資顧問在預(yù)測(cè)欺詐時(shí)使用和有效的信息披露。描述實(shí)施欺詐預(yù)測(cè)方法的障礙和成本。并討論如何提高投資者使用已披露數(shù)據(jù)預(yù)測(cè)欺詐的能力。FRM考綱二級(jí)變化

RiskManagementandInvestment

Management刪除點(diǎn)評(píng)Chapter

7.

Portfolio

Risk:

Analytical

Methods;刪除一條考點(diǎn)，具體LOS:DescribethechallengesassociatedwithVaRmeasurementasportfoliosize

increases.考綱刪除是好事，考生備考可以輕松一些。FRM考綱二級(jí)變化

RiskManagementandInvestment

Management修改點(diǎn)評(píng)Chapter17.RiskMonitoringand

PerformanceMeasurement;修改一條考點(diǎn)，具體LOS:Define,com