课程详情

课程目录

• 第1章 前导课
  

  第2课节    市场风险

  • 1、1.Mean-variance framework
  • 2、2.Normal distribution and Mean-variance framework limitations
  • 3、3.Value at risk (VaR) and VaR limitations
  • 4、4.Coherent risk measures and ES
  • 5、5.Linear and nonlinear derivatives and Historical simulation approach
  • 6、6.Delta-normal approach and Full revaluation method
  • 7、7.Deviations From the Normal Distribution
  • 8、8.Regime Switching
  • 9、9.Volatility Measurement
  • 10、10.The EWMA Model and GARCH (1,1) Model
  • 11、11.Mean reversion and Correlation
  • 12、12.Historical-based approach
  • 13、13.Nonparametric vs. Parametric VaR Methods and implied-volatility-based approach
  • 14、14.Arithmetic and Geometric returns
  • 15、15.Normal VaR and Lognormal VaR
  • 16、16.Bootstrap Historical Simulation Approach
  
  

  第3课节    信用风险

  • 1、 1.Basic of credit risk
  • 2、 2.Credit risk measurement
  • 3、 3.Credit risk management
  
  

  第4课节    操作风险

  • 1、1.Event classification of Operational risk
  • 2、2.Data Governance of Operational risk
  • 3、3.Measurement methods of Operational risk
  • 4、4.Organizational Structure in Operational risk
  • 5、5.Capital Planning of Operational risk
  
  
• 第2章 2023年考纲对比介绍
  

  第2课节    二级考纲对比

  • 1、 2023年FRM考纲解读