Risk management and investment management will account for 10% of this year’s FRM exam. The topics in this area are reflective of the enormous growth and potential risks of hedge funds. Other major subjects covered include performance analysis, risk budgeting, and portfolio theory. The material is a mix of both highly technical and easy-to-read qualitative [...]
Entries Tagged as 'FRM'
frm（29）Operational&Integrated Risk Mgt.
十一月 17th, 2009 No Comments
Operational and integrated risk management, as well as legal issues, will account for 25% of the exam questions. Modeling operational risk is an important concept here in addition to Basel II. Expect to see questions on operational and liquidity risk case studies as well as numerous questions from the Basel readings.
The Bank of International Settlement(BIS) [...]
frm(28) credit risk
十一月 17th, 2009 1 Comment
08年FRM考试Credit Risk Mgt.考点解析
Topics in the credit risk area will account for 25% of the questions on the exam. Credit risk topics are divided into four sections: measuring credit risk, counterparty risks, manage credit risk, and securitization. There is renewed emphasis this year on being able to calculate expected loss and unexpected loss as well as [...]
Tags: Credit Risk Mgt.
frm（27）sovereign risk
十一月 17th, 2009 No Comments
sovereign risk
Sovereign risk is the risk of a government becoming unwilling or unable to meet its loan obligations, or reneging on loans it guarantees.[5] The existence of sovereign risk means that creditors should take a two-stage decision process when deciding to lend to a firm based in a foreign country. Firstly one should consider [...]
Tags: sovereign risk
frm(26) Credit Risk individual loan Risk
十一月 17th, 2009 No Comments
Contractually promised gross loan return
Per Saunders, we need five assumptions:
Base lending rate plus margin: likely the bank’s cost of capital plus a profit margin. Note this pricing already includes expected losses (EL) on the loan. The promised return is greater than the expected return due to default risk; the expected losses due to default risk [...]
