2021年FRM考綱已經(jīng)公布，下面就是融躍FRM研究院老師對(duì)zui新考綱的解讀，各位同學(xué)請(qǐng)收下。


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2021FRM備考資料大禮包

（注：紅色內(nèi)容為新增，藍(lán)色內(nèi)容為刪除，綠色內(nèi)容為修改，紫色內(nèi)容為整合。）

FRM一級(jí)

風(fēng)險(xiǎn)管理基礎(chǔ)（20%）

考綱解讀：

該科目考試占比不變，有些章節(jié)描述有所改變，但其實(shí)值內(nèi)容不變，新增和刪除基本持平，部分章節(jié)內(nèi)容有所整合，整體內(nèi)容基本不變，備考同學(xué)按照按部就班復(fù)習(xí)即可。

Chapter 1. The Building Blocks of Risk Management

Describe challenges that can arise in the riskmanagement process（刪除）

Chapter 2. How Do Firms Manage Financial Risk?

無(wú)變化

Chapter 3. The Governance of Risk Management

Explain changes in regulations（新增） and corporate risk governancethat occurred as a result of the 2007-2009 financial crisis.

Describe best practices for the governance of a firm’srisk management processes.（改為：把compare and contrast改為describe）

Assess the risk management role andresponsibilities of a firm’s board of directors.(改為：Assess改為explain）

Chapter 4. Credit Risk Transfer Mechanisms

explain how each one transfers credit risk anddescribe their advantages and disadvantages（改為：Compare different typesof credit derivatives, explain their applications, anddescribe their advantages）

Chapter 5. Modern Portfolio Theory (MPT) and the Capital AssetPricing Model (CAPM)

Interpret and comparethe capital market line and the security market line.（改為：ieterppretthe CML）

Chapter 6. The Arbitrage Pricing Theory and Multifactor Modelsof Risk and Return

Describethe inputs (including factor betas) to a multifactor model and explain the challenges of using multifactormodels in hedging.（新增）

explainmodels that account for correlations between asset returns in a multi-assetportfolio（刪除）.

Chapter 7. Principles for Effective Data Aggregationand Risk Reporting

由原來(lái)的7條整合到現(xiàn)在的4條內(nèi)容基本不變化

Chapter 8. Enterprise Risk Management and Future Trends

comparethebenefit and costs of ERM （刪除）

describe important dimensions of an ERM programand relate ERM to strategic planning（刪除）

Chapter9、Chapter10、Chapter11不變

數(shù)量分析（20%）

該科目考試占比不變，自從上一年有一定改動(dòng)后，內(nèi)容編排更加合理，今年考綱內(nèi)容沒(méi)有任何變化，不論是對(duì)一戰(zhàn)還是而戰(zhàn)考生而說(shuō)是一個(gè)利好。

無(wú)變化

金融市場(chǎng)產(chǎn)品（30%）

整體解讀：

該科目考試占比不變，新考綱中調(diào)整的多是描述性詞語(yǔ)，刪除的內(nèi)容與新增內(nèi)容基本持平，知識(shí)主體框架和重點(diǎn)內(nèi)容基本不變。建議同學(xué)按部就班備考即可。

Chapter 1. Banks

無(wú)變化

Chapter 2. Insurance Companies and Pension Plans

Compare the varioustypes of life insurance policies(新增）

Chapter 3、Chapter 4、 Chapter 5、 Chapter 6不變

Chapter 7. Futures Markets

describe the ration for margin requirements and explain how theywork（刪除）

Describe the over-the-countermarket transactions（刪除）.

Explain （identify改成explain）the differences between a normal and invertedfutures market.explain the different market quotes（刪除）

Chapter 8. Using Futures forHedging

Calculate the profit andloss on a short or long hedge（新增）

Chapter 9、Chapter 10、Chapter 11不變

Chapter 12. Options Markets

Describe the varioustypes, uses（新增）, and typicalunderlying assets of options

Explain the payoff function（新增） and calculate theprofit and loss from an options position.

Describe theapplication of commissions, margin requirements（改為：原來(lái)是describe how trading，commissions，margin requirements）, and exercise procedures to exchange-tradedoptions and explain the trading characteristics of these options（新增）.

Chapter 13、Chapter14、Chapter 15、Chapter 16不變

Chapter 17. Corporate Bonds

Define recovery rateand default rate, and differentiate between an issue default rate and a dollardefault rate（刪除：describe the relationshipbetween recovery rates and seniority）

Chapter 18、Chapter19、Chapter 20不變

估值模型（30%）

整體解讀：

該科目考試占比不變，整體內(nèi)容有所調(diào)整，刪除內(nèi)容集中在市場(chǎng)風(fēng)險(xiǎn)部分，壓力測(cè)試部分也有刪減和修改，非平行利率期限結(jié)構(gòu)部分有新增和修改，一戰(zhàn)考生按部就班復(fù)習(xí)即可，二戰(zhàn)考生可重點(diǎn)關(guān)注相應(yīng)內(nèi)容變化，總體而言變化不大。

Chapter 1. Measures of Financial Risk

Describe spectral risk measures and explain how VaR and ES arespecial cases of spectral risk measures（刪除）

Chapter 2. Calculating andApplying VaR

explain the full revalution method forcomputing VaR（刪除）

Explainthe structured Monte Carlo method （刪除stresstesting methods）forcomputing VaR and identify its strengths and weaknesses.

Chapter 3. Measuring and Monitoring Volatility

Evaluate the various approaches for estimating VaR（刪除）.

Chapter 4. External and Internal Credit Ratings

Explainthe potential impact of ratings changes on bond and stock prices.（改為：Describe the relationships between changes incredit ratings and changes in stock prices, bond prices, and credit defaultswap spreads.）

Chapter 5、Chapter6、Chapter 7不變

Chapter 8. Stress Testing

Explainkey considerations and challenges related to stress testing, including choiceof scenarios, regulatory specifications, model building, and reverse stresstesting.（改為：原來(lái)是Identify key aspects ofstress testing governance, including choice of scenarios, regulatoryspecifications,model building, stress-testing coverage, capital and liquiditystress testing and reverse stress testing.）

Describestressed VaR and stressed ES and compare the process of determining stressedVaR and ES to that of traditional VaR and ES.（改為：Explain the importance of stressed inputs andtheir importance in stressed VaR and stressed ES.）

Describethe key elements of effective governance over stress testing（刪除）.

Describethe important role of the internal audit in stress testing governance andcontrol（刪除）.

Chapter 9不變

Chapter 10. Interest Rates

Define spot rate and compute discount factorsgiven spot rates .（改為：原來(lái)是Definespot rate and compute spot rates given discount factors）

Chapter 11、Chapter12不變

Chapter13. Modeling Non-Parallel Term StructureShifts and Hedging

Describeand assess the major weakness attributable to single-factor approaches whenhedging portfolios or implementing asset liability techniques（新增）.

Describethe key rate exposure technique in multi-factor hedging applications; summarizeits advantages?and disadvantages（新增）

Computethe positions in hedging instruments necessary to hedge the key rate risks of aportfolio.（改為：Calculate the key rateexposures for a given security and compute the appropriate hedging positionsgiven a specific key rate exposure profile.）

Chapter 14、Chapter15、Chapter 16不變

FRM二級(jí)

市場(chǎng)風(fēng)險(xiǎn)（20%）

考綱解讀：

該科目考試占比不變，Market Risk的考綱幾乎沒(méi)有變化，考生安心備考即可。

信用風(fēng)險(xiǎn)（20%）

考綱解讀：

該科目考試占比不變，章節(jié)順序及標(biāo)題有的發(fā)生變動(dòng)，但內(nèi)容不變，部分章節(jié)內(nèi)容有變動(dòng)和增加，主要集中在Credit Value Adjustments章節(jié)，考生重點(diǎn)關(guān)注即可，同時(shí)刪掉了不太重要的的章節(jié)，整體架構(gòu)不變。

Chapter：Credit Value Adjustments（新增）

Describe the variousregulatory capital requirements

Credit Exposure and funding（新增）

Describe thedifferences between funding exposure and credit exposure（新增）

Explain the impact of incorporating collateralizationinto the CVA calculation, including the impact of margin period of risk,thresholds, and initial margins（新增）

Calculate DVA,BCVA,and BCVA as a spread（新增）

Identify examples of wrong-way collateral（新增）

Describe the various wrong-way modeling methods includinghazard rate approaches, structural approaches, parametric approaches, and jumpapproaches（新增）.

Explain the implications of central clearing on wrong-wayrisk（新增）.

Describe covered bonds, fundingCLOs, and other securitization instruments for funding purposes（新增）

Chapter：CounterpartyRisk Intermediation（刪除）

Operational Risk and Resiliency（20%）

考綱解讀：

該科目考試占比不變，該部分內(nèi)容在去年大改之后今年考試內(nèi)容幾乎沒(méi)有任何變化，只是新增了一個(gè)小的知識(shí)點(diǎn)，建議同學(xué)按部就班備考即可。

Chapter：Regulation of the OTC Derivatives Market：

Calculate credit risk capital underBasel II utilizing the IRB approach（新增）.

流動(dòng)性風(fēng)險(xiǎn)（15%）

考綱解讀：

該科目考試占比不變，由于是去年新增章節(jié)，今年考試內(nèi)容幾乎沒(méi)有變化。

投資組合風(fēng)險(xiǎn)管理（15%）

該科目考試占比不變，相比去年今年該部分考試內(nèi)容改動(dòng)較多，但大多都是表述方式的改動(dòng)，并無(wú)實(shí)質(zhì)性變化，大體框架并無(wú)改變，建議同學(xué)不*于擔(dān)心，二戰(zhàn)考生需要關(guān)注其微小變動(dòng)。

注：以下均為改動(dòng)

Chapter：Factor Theory

Describe the capital asset pricing model (CAPM)（修改：Describe改成Discuss）

Chapter：Alpha (and the Low-RiskAnomaly)

Explain how to measure time-varying factor exposures andtheir use in style analysis.（改成：Explain how to use styleanalysis to handle time-varying factor exposures.）

Chapter：Portfolio Construction

Describe neutralization and methods for refining alphas to be neutral.（改成：Describe neutralization and thedifferent approaches used for refining alphas to be neutral.）

Assess the impact ofpractical issues in portfolio construction, such as determination of riskaversion, incorporation of specific risk aversion and proper alphacoverage（改成：Describe practical issues inportfolio construction, including the determination of an appropriate riskaversion, aversions to specific risks, and proper alpha coverage.）

Chapter：Portfolio Risk: AnalyticalMethods

Define, calculateand distinguish between the following portfolio VaR measures: individualVaR,incremental VaR, marginal VaR, component VaR, undiversified portfolio VaRand diversified portfolio VaR（改為：Define, calculate anddistinguish between the following portfolio VaR measures: diversified andundiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, andcomponent VaR）.

Describe the challenges associated with VaR measurementas portfolio size increases（刪除）

Chapter：VaR and Risk Budgeting in Investment Management

Apply VaR to check compliance, monitor risk budgets andreverse engineer sources of risk（改為：Explain the use of VaR to checkmanager compliance and monitor risk）.

reverseengineer sources of risk（刪除）

Explain how VaR can be used in the investment process andthe development of investment guidelines（改為：Explain how VaR canbe used in the development of investment guidelines and for improving theinvestment process.）

Chapter：Risk Monitoring and Performance Measurement

Define, compare andcontrast VaR and tracking error as risk measures（改為：Describe the three fundamentaldimensions behind risk management and their relation to VaR and tracking error.）

Chapter：Portfolio Performance Evaluation

Describe and distinguish between risk-adjustedperformance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha) and information ratio（改為：Describe risk-adjustedperformance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha) and the information ratio, and identify thecircumstances under which the use of each measure is most relevant.增加了適用場(chǎng)景）.

Explain the difficulties in measuring the performance ofhedge funds（改為：Explain the difficulties inmeasuring the performance of actively managed portfolios.強(qiáng)調(diào)了activelymanaged portfolios）

Explain how changes in portfolio risk levels can affectthe use of the Sharpe ratio to measure performance（改為：Describe performancemanipulation and the problems associated with using conventional performancemeasures.突出了業(yè)績(jī)操控和潛在問(wèn)題）.

Chapter：Hedge Funds

Evaluate the role ofinvestors in shaping the hedge fund industry（刪除）.

Chapter：Stephen G. Dimmockand William C. Gerken: Finding Bernie Madoff: Detecting Fraud by InvestmentManagers (2011) [IM–11]

Explain the use and efficacyof information disclosures made by investment advisors in predicting fraud（新增）.

Describe the barriers and thecosts incurred in implementing fraud prediction methods（新增）.

Discuss ways to improveinvestors’ ability to use disclosed data to predict fraud( 新增）.

Current Issues（10%）

考綱解讀：

該科目考試占比不變，今年考綱相比刪除7篇文章，新加入7篇文章，總數(shù)10篇不變，去年增加了7篇文章，其中有4篇與新冠有關(guān)，重點(diǎn)在于新冠對(duì)金融市場(chǎng)的影響及相應(yīng)的解決方案，建議同學(xué)在學(xué)習(xí)過(guò)程中與時(shí)俱進(jìn)。

附：新加入7篇文章

1.Climate Change:Physical Risk and Equity, Global Financial Stability Report: Markets in theTime of COVID-19, International Monetary Fund (IMF), May 2020.

這篇文章講解了zui新的氣候變化如何影響金融穩(wěn)定性。本章還詳細(xì)講解了氣候變化如何影響股票價(jià)格和股票估值。并討論了不同國(guó)家的特征對(duì)氣候變化與股票價(jià)格之間關(guān)系的影響程度。

2.The Green Swan – CentralBanking and Financial Stability in the Age of Climate Change

這篇文章仍然討論氣候變化，講解了Green Swan的概念，以及與Black Swan的區(qū)別。討論了為何氣候變化會(huì)是資產(chǎn)價(jià)格穩(wěn)定性和金融穩(wěn)定性的威脅。

3.When Selling BecomesViral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response

這篇文章講解了在新冠疫情影響下，債券市場(chǎng)的發(fā)展以及美聯(lián)儲(chǔ)的應(yīng)對(duì)。文章對(duì)比了債券市場(chǎng)在2008年金融危機(jī)和2019年新冠疫情下的發(fā)展。解釋了2020年3月至4月之間債券市場(chǎng)價(jià)格波動(dòng)的影響，并解釋了美聯(lián)儲(chǔ)在此之間的干預(yù)措施。

4.Global Financial Stability Report: Markets in theTime of COVID-19, International Monetary Fund (IMF), May 2020.

這篇文章主要描述了金融市場(chǎng)和大宗商品市場(chǎng)在2020年3月至4月之間的情況，探討了應(yīng)對(duì)新冠疫情的各種貨幣和金融政策。

5.Financial Crime inTimes of COVID-19 –AML and Cyber Resilience Measures”, Financial StabilityInstitute, May 2020

這篇文章討論了反洗錢(qián)和網(wǎng)絡(luò)安全應(yīng)變措施。詳細(xì)討論了由于新冠疫情帶來(lái)的網(wǎng)絡(luò)安全的威脅。解釋了全球的和各國(guó)應(yīng)對(duì)網(wǎng)絡(luò)安全威脅的措施。

6.Stephen Cecchetti,Kim Schoenholtz, “ReplacingLIBOR” https://voxeu.org/article/replacing-libor.September 2019.

這篇文章解釋了當(dāng)LIBOR體系結(jié)束可能帶來(lái)的影響，介紹了目前的過(guò)渡成果和未來(lái)面臨的挑戰(zhàn)。并討論了政府在過(guò)渡過(guò)程中的作用。

7.Cyber Risk and theU.S. Financial System: A Pre-Mortem Analysis

這篇文章探討了網(wǎng)絡(luò)攻擊的直接成本和影響，以及網(wǎng)絡(luò)攻擊如何通過(guò)金融網(wǎng)絡(luò)放大。并討論了一些可以應(yīng)對(duì)網(wǎng)絡(luò)安全的應(yīng)對(duì)措施。

總而言之，經(jīng)歷去年大變動(dòng)之后，今年一二級(jí)考綱變動(dòng)不大，大部分內(nèi)容只是表述方式的變化，刪除和新增內(nèi)容基本持平，準(zhǔn)備明年考試的同學(xué)可以安心備考了。

從去年新考綱大修之后，考綱邏輯架構(gòu)更加合理，今年內(nèi)容更加與時(shí)俱進(jìn)，看著GARP協(xié)會(huì)越來(lái)越走上正軌，小編心理也是樂(lè)開(kāi)了花，明年的考生就偷著樂(lè)吧。