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25FRM二级
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25年FRM二级高等班
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2.知识精讲
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1.市场风险管理与测量
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基础
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1.Historical simulation and parametric approach .sz
10.Basel.Rules .sz
11.Basis.of.VaR.mapping .sz
12.Methods.of.VaR.mapping .sz
13.Applications.of.VaR.mapping .sz
14.Conceptual.soundness.of.VaR.models .sz
15.Backtesting.and.benchmarking.of.VaR.models .sz
16.Exceedance-based.backtest.and.PIT-based.backtest .sz
17.The.distribution.of.PITs .sz
18.Backtesting.using.PITs .sz
19.Correlation.basics .sz
2.Coherent risk measures and expected shortfall .sz
20.Correlation.in.investments.and.trading .sz
21.Correlation.in.risk.management .sz
22.Behavior.of.correlation .sz
23.Mean.reversion.of.correlation .sz
24.Best-fit.distribution.for.correlations .sz
25.Financial.Correlation.Modeling.Bottom-Up.Approaches .sz
26.Valuation.with.binomial.interest.rate.tree.01 .sz
27.Valuation.with.binomial.interest.rate.tree.02 .sz
28.Issues.with.interest.rate.tree.model .sz
29.Expectation.and.convexity .sz
3.Quantile-quantile [QQ] plots .sz
30.Decomposition.of.forward.rate.and.risk.premium .sz
31.Model.1.and.Model.2 .sz
32.Ho-Lee.model .sz
33.Vasicek.model .sz
34.Model.with.time-dependent.volatility .sz
35.Model.with.volatility.as.a.function.of.short-term.rate .sz
36.The.Vasicek.and.Gauss.Models .sz
37.Regression.hedging .sz
38.Issues.of.regression.hedging .sz
39.Principal.component.analysis .sz
4.Historical.Simulation .sz
40.Volatility.smiles.in.foreign.currency.and.equity.market .sz
41.Other.issues.of.volatility.smiles .sz
42.Fundamental.Review.of.the.Trading.Book .sz
5.Weighted.Historical.Simulation .sz
6.Generalized.extreme-value.(GEV) .sz
7.Peaks-over-threshold.(POT) .sz
8.Basics.of.VaR.Backtesting. .sz
9.Model.Validation .sz
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