Risk Management and Investment Managementshi是FRM考試的重要科目，在2021年新的考綱中都發(fā)生了哪些變化，下文是詳細(xì)介紹！>>>點(diǎn)擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費(fèi)領(lǐng)?。?/span>

2021FRM備考資料大禮包

Risk Management and Investment Management（投資風(fēng)險(xiǎn)管理考綱）科目占比是15%。

Risk Management and Investment Management（投資風(fēng)險(xiǎn)管理考綱）考綱變化：

考綱修改：

第六章Factor Theory

Describe the capital asset pricing model (CAPM)

改做：

Discuss the capital asset pricing model (CAPM)

沒(méi)有實(shí)質(zhì)性變化。

第十章Alpha (and the Low-Risk Anomaly)

Explain how to measure time-varying factor exposures and their use in style analysis.

改做：

Explain how to use style analysis to handle time-varying factor exposures.

說(shuō)法相似，無(wú)實(shí)質(zhì)性變化。

第十四章Portfolio Construction

1、 Describe neutralization and methods for refining alphas to be neutral.

改做：

Describe neutralization and the different approaches used for refining alphas to be neutral.

說(shuō)法相似，無(wú)實(shí)質(zhì)性變化。

2、 Assess the impact of practical issues in portfolio construction, such as determination of risk aversion, incorporation of specific risk aversion and proper alpha coverage.

改做：

Describe practical issues in portfolio construction, including the determination of an appropriate risk aversion, aversions to specific risks, and proper alpha coverage.

說(shuō)法相似，無(wú)實(shí)質(zhì)性變化。

第七章Portfolio Risk: Analytical Methods

1、Define, calculate and distinguish between the following portfolio VaR measures: individual VaR,incremental VaR, marginal VaR, component VaR, undiversified portfolio VaR and diversified

portfolio VaR.

改做：

Define, calculate and distinguish between the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR.

說(shuō)法相似，變化不顯著。

2、 Describe the challenges associated with VaR measurement as portfolio size increases.

這條刪除

第17章VaR and Risk Budgeting in Investment Management

1、 Apply VaR to check compliance, monitor risk budgets and reverse engineer sources of risk.

改做

Explain the use of VaR to check manager compliance and monitor risk.

刪除了reverse engineer sources of risk

1、 Explain how VaR can be used in the investment process and the development of investment guidelines

改做

2、Explain how VaR can be used in the development of investment guidelines and for improving the investment process.

說(shuō)法相似，無(wú)實(shí)質(zhì)性變化。

第十七章（2）Risk Monitoring and Performance Measurement

Define, compare and contrast VaR and tracking error as risk measures.

改做：

Describe the three fundamental dimensions behind risk management and their relation to VaR and tracking error.

第二十四章Portfolio Performance Evaluation

1、Describe and distinguish between risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha)and information ratio.

改做：

Describe risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha) and the information ratio, and identify the circumstances under which the use of each measure is most relevant.

FRM網(wǎng)課

增加了適用場(chǎng)景

2、 Explain the difficulties in measuring the performance of hedge funds.

改做：

Explain the difficulties in measuring the performance of actively managed portfolios.

強(qiáng)調(diào)了actively managed portfolios

3、 Describe techniques to measure the market timing ability of fund managers with a regression and with a call option model and compute return due to market timing.

改做：

Describe performance manipulation and the problems associated with using conventional performance measures.

突出了業(yè)績(jī)操控和潛在問(wèn)題

第十七章（3）Hedge Funds

1、Explain the evolution of the hedge fund industry and describe landmark events that precipitated major changes in the development of the industry

這部分內(nèi)容由大標(biāo)題改為子標(biāo)題，不算實(shí)質(zhì)性改變。

2、 新增以下部分：

Stephen G. Dimmock and William C. Gerken: Finding Bernie Madoff: Detecting Fraud by Investment Managers (2011) [IM–11]

After completing this reading, you should be able to:

Explain the use and efficacy of information disclosures made by investment advisors in predicting fraud.

Describe the barriers and the costs incurred in implementing fraud prediction methods.

Discuss ways to improve investors’ ability to use disclosed data to predict fraud.