课程详情

课程目录

• 第1章 前导入门课
  

  第2课节    金融数学

  • 1、1.Fundamentals of Probability
  • 2、2.Common Distributions
  • 3、3.Descriptive Statistics
  • 4、4.Inferential statistics
  • 5、5.Hypothesis testing
  • 6、6.Correlation analysis
  • 7、7.Linear regression
  
  

  第3课节    金融英语

  • 1、FRM与英语(1)
  • 2、FRM与英语(2)
  • 3、Grammar(1)
  • 4、Grammar(2)
  • 5、Financial Risk
  • 6、Financial Institute(1)
  • 7、Financial Institute(2)
  • 8、Financial Institute(3)
  • 9、Financial Products(1)
  • 10、Financial Products(2)
  
  

  第4课节    金融计算器

  • 1、1.Introduction
  • 2、2.Calculator Version
  • 3、3.Calculator overview
  • 4、4.Decimal point setting
  • 5、5.Priority mode setting
  • 6、6.Beginning and End mode setting
  • 7、7.Store and call function
  • 8、8.Common Clear key
  • 9、9.Exponential function
  • 10、10.Logarithm, factorial, permutation and combination function
  • 11、11.Poisson distribution, binomial distribution function
  • 12、12.Bond price calculation and date function
  • 13、13.Time value of money function
  • 14、14.Practice of time value of money
  • 15、15.Situations where time value of money does not apply
  • 16、16.Statistics function
  
  

  第5课节    金融市场产品

  • 1、1.Introduction to financial market products
  • 2、2.Bank
  • 3、3.Insurance company and fund company
  • 4、4.OTC and bond
  • 5、5.Bond
  • 6、6.Forward and futures
  • 7、7.Swap
  • 8、8.Options
  
  

  第6课节    金融债券类产品基础

  • 1、1.Definition of bond
  • 2、2.Face value of bonds
  • 3、3.Term of repayment/Maturity and Coupon rate
  • 4、4.Frequency of coupon payment
  • 5、5.Issue price
  • 6、6.Repayment and Liquidity
  • 7、7.Safety/Security and Profitability
  • 8、8.Divided by issuer
  • 9、9.Divided by property guarantee
  • 10、10.Divided by the rate of coupon payment
  • 11、11.Bonds Versus Stocks
  • 12、12.Bonds Versus Funds
  • 13、13.Risks Faced
  • 14、14.Risk Management
  • 15、15.Pricing of Bonds
  
  

  第7课节     银行经营模式

  • 1、1.Bank Governance Framework
  • 2、2.Bank operation model
  • 3、3.Bank financial statement
  
  
• 第2章 基础精讲课
  

  第2课节    风险管理基础

  • 1、 前言
  • 2、 1-1 Typology of Risks and Risk Interactions
  • 3、 1-2 The Risk Management Process
  • 4、 1-3 quantitative risk metric
  • 5、 1-4 Risk Factor Breakdown and Interactions Between Factors
  • 6、 1-5 Structural Change From Tail Risk to Systemic Crisis
  • 7、 1-6 Human Agency and Conflicts of Interest
  • 8、1-7 Risk Aggregation
  • 9、 1-8 Balancing Risk and Reward
  • 10、 2-1 Background The Modern Imperative to Manage Risk
  • 11、 2-2 Risk Appetite – What Is It
  • 12、 2-3 Risk Mapping
  • 13、 2-4 Strategy Selection Accept, Avoid, Mitigate, Transfer
  • 14、 2-5 Rightsizing Risk Management
  • 15、 2-6 Risk Transfer Toolbox
  • 16、 2-7 What Can Go Wrong in Corporate Hedging
  • 17、 3-1 The Post-Crisis Regulatory Response
  • 18、 3-2 Infrastructure of Risk Governance
  • 19、 3-3 Risk Appetite Statement
  • 20、 3-4 Implementing Board-Level Risk Governance
  • 21、 3-5 Risk Appetite and Business Strategy The Role of Incentives
  • 22、 3-6 Incentives and Risk-Taking
  • 23、 3-7 The Interdependence of Organizational Units in Risk Governance
  • 24、 3-8 Assessing the Bank’s Audit Function
  • 25、 4-1 Overview of Credit Risk Transfer Mechanisms
  • 26、 4-2 How Credit Risk Transfer Can Be Useful
  • 27、 4-3 The Mechanics of Securitization
  • 28、 4-4 From Buy-and-Hold to Originate-to-Distribution
  • 29、 5-1 Modern Portfolio Theory
  • 30、 5-2 The Capital Asset Pricing Model
  • 31、 5-3 The Capital Market Line and the Security Market Line
  • 32、 5-4 Performance Measures
  • 33、 6-1 The Arbitrage Pricing Theory
  • 34、 6-2 Different Types of Factor Models
  • 35、 7-1 Introduction
  • 36、 7-2 Benefits of Effective Risk Data Aggregation and Reporting
  • 37、 7-3 Key Governance Principles
  • 38、 7-4 Data Architecture and IT Infrastructure
  • 39、 7-5 Characteristics of a Strong Risk Data Aggregation Capability
  • 40、 7-6 Characteristics of Effective Risk Reporting Practices
  • 41、 7-6 Characteristics of Effective Risk Reporting Practices
  • 42、 8-1 ERM What Is It and Why Do Firms Need It
  • 43、 8-2 ERM – A Brief History
  • 44、 8-3 ERM From Vision to Action
  • 45、 8-4 Why Might Enterprise Risk Demand ERM Four key Reasons
  • 46、 8-5 The Critical Importance of Risk Culture
  • 47、 8-6 Scenario Analysis ERM’s Sharpest Blade
  • 48、 9-1 Interest Rate Risk
  • 49、 9-2 Funding Liquidity Risk
  • 50、 9-3 Constructing and Implementing a Hedging Strategy
  • 51、 9-4 Model Risk
  • 52、 9-5 Rogue Trading and Misleading Reporting
  • 53、 9-6 Financial Engineering
  • 54、 9-7 Reputation Risk
  • 55、 9-8 Corporate Governance
  • 56、 9-9 Cyber Risk
  • 57、 10-1 Introduction and Overview
  • 58、 10-2 How It All Started
  • 59、 10-3 The Role of Financial Intermediaries
  • 60、 10-4 Issues with the Rating Agencies
  • 61、 10-5 A Primer on the Short-Term Wholesale Debt Market
  • 62、 10-6 The Liquidity Crunch Hits
  • 63、 10-7 Central Banks to the Rescue
  • 64、 11-1 Introduction Statement
  • 65、 11-2 Rules of Conduct
  
  

  第3课节    数量分析

  • 1、 0-1 Introduction
  • 2、 1-1 Probabilities Concepts
  • 3、 1-2 Total probability and Bayes’ theorem
  • 4、2-1 Discrete & Continuous Random Variable
  • 5、 2-2 Descriptive Statistics- Four Moments
  • 6、 3-1 Discrete Distribution
  • 7、 3-2 Continuous Distribution
  • 8、 4-1 Discrete Bivariate Random Variable
  • 9、 4-2 Covariance and Correlation
  • 10、 4-3 Independent Identical Distributed
  • 11、 4-4 Cross central moment
  • 12、 5-1 Inferential Statistics
  • 13、 5-2 Properties of Estimators
  • 14、 5-3 LLN and CLT
  • 15、 6-1 Null vs. Alternative hypothesis
  • 16、 6-2 Test statistic
  • 17、 6-3 Mean Tests
  • 18、 6-4 Variance Test
  • 19、 6-5 Type I and Type II Error
  • 20、 7-1 Ordinary Least Squares
  • 21、 7-2 Measuring Model Fit
  • 22、 7-3 OLS Parameter Estimators
  • 23、 7-4 Hypothesis Testing for Regression Coefficients
  • 24、 8-1 Multiple Linear Regression
  • 25、 8-2 Measures of Fit
  • 26、 8-3 Hypothesis Testing in Multiple Linear Regression
  • 27、 8-4 ANOVA
  • 28、 9-1 Omitted Variables
  • 29、 9-2 Heteroskedasticity
  • 30、 9-3 Multicollinearity
  • 31、 9-4 Outliers
  • 32、 9-5 The Bias-Variance Tradeoff
  • 33、 10-1 Cycle
  • 34、 10-2 White Noise and Wold’s Theorem
  • 35、 10-3 AR, MA and ARMA(1)
  • 36、 10-3 AR, MA and ARMA(2)
  • 37、 11-1 Trend and Seasonality
  • 38、11-2 Random Walk and Unit Roots
  • 39、 12-1 Returns and Volatility
  • 40、 12-2 Measuring Correlations
  • 41、 12-3 The Distribution of Financial Returns
  • 42、 13-1 Simulation Random Variables
  • 43、 13-2 Bootstrapping
  
  

  第4课节    金融市场产品

  • 1、 1-1 Types of Banks
  • 2、 1-2 The risk in Banking
  • 3、 1-3 Bank Regulation
  • 4、 1-4 Deposit Insurance
  • 5、 1-5 Investment Banking
  • 6、 1-6 Conflicts of interest
  • 7、 1-7 The Originate-to-Distribute Model
  • 8、 2-1 Categories of insurance companies
  • 9、 2-2 Life Insurance
  • 10、 2-3 Pension Plans
  • 11、 2-4 Property and Casualty Insurance
  • 12、 2-5 Moral hazard and adverse slection
  • 13、 2-6 Regulation
  • 14、 3-1 Mutual funds
  • 15、 3-2 Exchange-Traded Funds
  • 16、3-3 Undesirable Trading Behavior
  • 17、 3-4 Hedge funds
  • 18、 3-5 Types of Hedge funds
  • 19、 3-6 Research of Returns
  • 20、 4-1 Clearing
  • 21、 4-2 Exchanges
  • 22、 4-3 How CCPs handle Credit Risk
  • 23、 4-4 Over the Counter Markets
  • 24、 5-1 The operation of CCPs
  • 25、 5-2 Regulations of OTC derivatives Markets
  • 26、 5-3 Standard and Non-Standard transactions
  • 27、 5-4 The Move to Central Clearing
  • 28、 5-5 Impacts of Central Clearing on Financial Markets
  • 29、 5-6 Clearing Members and Non-Members
  • 30、 5-7 Advantages and Disadvantages of CCPs
  • 31、 5-8 CCP Risks
  • 32、 6-1 Interest rate＆Compounding
  • 33、 6-2 Spot rates and Forward rates
  • 34、 6-3 Three theories of term structure
  • 35、 6-4 Bond pricing ＆Quotations bond
  • 36、 6-5 Accrued Interest
  • 37、 6-6 Duration and convexity
  • 38、 7-1 Bond issuance
  • 39、 7-2 Bond trading
  • 40、 7-3 Bond indentures
  • 41、 7-4 Types of corporate bonds
  • 42、 7-5 Bonds retiring
  • 43、 7-6 Bond risk
  • 44、 7-7 Recovery rate and Default rate
  • 45、 7-8 High-yield bonds
  • 46、 7-9 Expected return from bond investment
  • 47、 8-1 Derivatives
  • 48、 8-2 Forward and Futures contract
  • 49、 8-3 Swap
  • 50、 8-4 Option
  • 51、 8-5 Market Participants
  • 52、 8-6 Strategies and Payoffs
  • 53、 9-1 Specification of Futures
  • 54、 9-2 Commodity Characteristics
  • 55、 9-3 Basis
  • 56、 9-4 Termination & Delivery
  • 57、 9-5 Margins
  • 58、 9-6 Marking to market
  • 59、 9-7 Trading orders
  • 60、 9-8 Contango and backwardation
  • 61、 10-1 Investment Assets and Consumption Assets
  • 62、 10-2 Short Selling and Short Squeeze
  • 63、 10-3 Forward Pricing
  • 64、 10-4 Arbitrage transaction
  • 65、 10-5 The Value of a Forwards Contract
  • 66、 10-6 Relation between forward and futures prices
  • 67、 11-1 Quotes
  • 68、 11-2 Estimating FX Risk
  • 69、 11-3 Multi-currency heding using options
  • 70、 11-4 Determinations of exchange rates
  • 71、 11-5 Foreign exchange exposure
  • 72、11-6 Nominal and real interst rates
  • 73、 11-7 Interest rate parity
  • 74、 12-1 Forward Rate Agreements
  • 75、 12-2 T-Bond Futures
  • 76、12-3 Eurodollar Futures
  • 77、 12-4 Duration-Based Hedging
  • 78、 13-1 Hedges basic
  • 79、 13-2 Basis Risk
  • 80、 13-3 Optimal hedge rations
  • 81、 13-4 Hedge Equity Positions
  • 82、 13-5 Duration-Based Hedging
  • 83、 13-6 Creating long-term hedges
  • 84、 14-1 Interest rate swap
  • 85、 14-2 Currency swap
  • 86、 15-1 Calls and Puts
  • 87、 15-2 Exchange-traded options on stocks
  • 88、 15-3 Option trading
  • 89、 15-4 Margin requirements
  • 90、 15-5 Other option-like securities
  • 91、 16-1 Factors of option price
  • 92、 16-2 Price bounds of options
  • 93、 16-3 Put-call parity
  • 94、 17-1 Simple Strategies
  • 95、 17-2 Spread strategies
  • 96、 17-3 Combination strategies
  • 97、 18-1 Exotic Options
  • 98、 19-1 Mortgages types
  • 99、 19-2 Monthly payments
  • 100、 19-3 Prepayments and factors
  • 101、 19-4 Securitization- MBS
  • 102、 19-5 Agency mortgage-backed securities
  • 103、 19-6 Other Agency Products
  • 104、 19-7 Valuation of an MBS Pool
  • 105、 19-8 Option adjusted spread
  
  

  第5课节     估值与风险模型

  • 1、 科目介绍
  • 2、 1-1 The Mean-Variance Framework
  • 3、 1-2 VaR
  • 4、 1-3 Expected Shortfall
  • 5、 1-4 Coherent Risk Measures
  • 6、 2-1 Historical Simulation
  • 7、 2-2 The Delta-Normal Model
  • 8、 2-3 The Delta-Gamma Model
  • 9、 2-4 Monte Carlo Simulation
  • 10、 3-1 Deviations From Normality
  • 11、 3-2 Historical Standard Deviation Method
  • 12、 3-3 Exponentially Weighted Moving Average Model
  • 13、 3-4 GARCH
  • 14、 3-5 Implied Volatility
  • 15、 3-6 Correlation
  • 16、 4-1 Rating Scales
  • 17、 4-2 Historical Performance
  • 18、 4-3 The Rating Process
  • 19、 4-4 Alternative to Ratings
  • 20、 4-5 Internal Ratings
  • 21、 4-6 Ratings Transitions
  • 22、 4-7 The Rating of Structured Products
  • 23、 5-1Evaluation of Risk
  • 24、 5-2 Total Risk
  • 25、 5-3 Sovereign Credit Risk
  • 26、 5-4 Sovereign Credit Rating
  • 27、 5-5 Sovereign Default Spread
  • 28、6-1 Background
  • 29、 6-2 The Mean and Standard Deviation of Credit losses
  • 30、 6-3 The Gaussian Copula Model
  • 31、 6-4 The Vasicek Model
  • 32、 6-5 Creditmetrics
  • 33、 6-6 Risk Allocation
  • 34、 6-7 Challenges
  • 35、 7-1 large Risks
  • 36、 7-2 Measure of Operational Risk Capital - BIA
  • 37、 7-3 Measure of Operational Risk Capital - SA
  • 38、 7-4 Measure of Operational Risk Capital - AMA
  • 39、 7-5 Measure of Operational Risk Capital - SMA
  • 40、 7-6 Potential Biased
  • 41、 7-7 Reducing Operational Risk
  • 42、 7-8 Insurance
  • 43、 8-1 Stress Testing Versus VaR and ES
  • 44、 8-2 Choosing Scenarios
  • 45、 8-3 Stress Testing
  • 46、 8-4 Governance
  • 47、 8-5 Basel Stress-Testing Principles
  • 48、 9-1 Treasury Bills and Treasury Bonds
  • 49、 9-2 The Law of One Price and Arbitrage
  • 50、 9-3 Discount Factors From Coupon-Bearing Bonds
  • 51、 10-1 Measuring Interest Rates
  • 52、 10-2 Spot Rates
  • 53、 10-3 Par Rates
  • 54、 10-4 Forward Rates
  • 55、 10-5 Properties of Spot, Forward, and Par rates
  • 56、10-6 Other Rates
  • 57、 10-7 Flattening and Steepening Term Structures
  • 58、 11-1 Realized Return and Spread
  • 59、 11-2 Yield to Maturity
  • 60、 11-3 Return Decomposition
  • 61、 12-1 Yield Duration
  • 62、 12-2 Curve Duration
  • 63、 12-3 Convexity
  • 64、 12-4 Constructing Portfolio
  • 65、 13-1 Principal Components Analysis
  • 66、 13-2 Key Rate 01S
  • 67、 13-3 Bucketing Approach
  • 68、 14-1 One-step Tress
  • 69、 14-2 Two-step Trees
  • 70、 14-3 Risk Neutral Valuation
  • 71、 14-4 Valuation of Options
  • 72、 14-5 Altered Binomial Model
  • 73、 14-6 Binomial Trees
  • 74、 15-1 The Black-Scholes-Merton Model
  • 75、 16-1 Greeks