FRM一級(jí)考綱在2022年有什么變化？

備考2022年FRM考試，考生首先需要對(duì)考綱的變化有所了解，這樣才有利于自己備考。FRM一級(jí)考綱在2022年有什么變化？隨融躍小編往下看！》》》戳：各科視頻講義+歷年真題+21年原版書(shū)（PDF版）免·費(fèi)領(lǐng)取

Financial Market and Products：考綱對(duì)比

金融市場(chǎng)與產(chǎn)品這門(mén)課占比仍保持在30%，相比于2021年考綱，2022年考綱刪掉了6條LOS，增加了2條LOS，其中增加的兩條LOS也是對(duì)刪除LOS的一個(gè)補(bǔ)充。

因此，整體來(lái)看LOS要求降低了，涉及修改的LOS，多為描述性詞匯的調(diào)整，主體內(nèi)容并沒(méi)有實(shí)質(zhì)性改變。綜上，這門(mén)課的變動(dòng)對(duì)考生備考影響不大，重點(diǎn)關(guān)注新增和刪減的LOS即可。

刪除的LOS（共6條）

Chapter 5. Exchanges and OTC Markets：

Identify the classes of derivative securities and explain the risk associated with them Chapter 10. Pricing Financial Forwards and Futures：

Differentiate between investment and consumption assets.

Calculate a forward foreign exchange rate using the interest rate parity relationship

Chapter 11. Commodity Forwards and Futures：

Compare the lease rate with the convenience yield.

Chapter 18. Mortgages and Mortgage-Backed Securities：

Describe the mortgage prepayment option and the factors that influence prepayments

Chapter 19. Interest Rate Futures ：

Describe the mortgage prepayment option and the factors that influence prepayments

增加的LOS（共2條）

Chapter 5. Exchanges and OTC Markets：

Describe process of buying stock on margin without using CCP and calculate margin requirements

Chapter 10. Pricing Financial Forwards and Futures：

Define and describe financial assets

修改的LOS：（共11條）

Chapter 3. Fund Management：

Calculate the net asset value (NAV) of an open-end mutual fund. （2021）

Explain the concept of net asset value (NAV) of an open-end mutual fund and how it relates to share price. （2022）

Chapter 4. Introduction to Derivatives：

Calculate an arbitrage payoff and describe how arbitrage opportunities are temporary. （2021）

Describe arbitrageurs' strategy and calculate an arbitrage payoff. （2022）

Chapter 5. Exchanges and OTC Markets：

Describe netting and describe a netting process（2021）

Define netting and describe a netting process. （2022）

Chapter 6. Central Clearing：

Compare and contrast bilateral markets to the use of novation and netting（2021）

Compare netting in bilateral markets vs centrally cleared（2022）

Chapter 7. Futures Markets：

Evaluate the impact of different trading order types. （2021）

Describe and compare different trading order types. （2022）

Chapter 8. Using Futures for Hedging：

Define the basis and explain the various sources of basis risk and explain how basis risks arise when hedging with futures. （2021）

Define and calculate the basis, discuss various sources of basis risk, and explain how basis risks arise when hedging with futures. （2022）

Define cross hedging and compute and interpret the minimum variance hedge ratio and hedge effectiveness. （2021）

Define cross hedging and compute and interpret hedge ratio and hedge effectiveness（2022）

Chapter 11. Commodity Forwards and Futures：

Explain the relationship between current futures prices and expected future spot prices, including the impact of systematic and nonsystematic risk（2021）

Explain the impact of systematic and nonsystematic risk on current futures prices and expected future spot prices（2022）

Chapter 12. Options Markets：

Describe the various types, uses, and typical underlying assets of options. （2021）

Describe the various types and uses of options, define moneyness（2022）

Chapter 18. Mortgages and Mortgage-Backed Securities：

Explain prepayment modeling and its four components: refinancing, turnover, defaults and curtailments（2021）

Describe the mortgage prepayment option and factors that affect it, explain prepayment modeling and its four components: refinancing, turnover, defaults, and curtailments（2022）

Chapter 16. Option Sensitivity Measures: The “Greeks”：

Describe how portfolio insurance can be created through option instruments and stock index futures. （2021）

Describe how to implement portfolio insurance and how this strategy compares with delta hedging. （2022）

Valuation and Risk Models：考試比重

該學(xué)科在一級(jí)考試中的占比仍然為30%，依然是一級(jí)考試的重點(diǎn)學(xué)科。內(nèi)容上，有部分刪減和調(diào)整。

考點(diǎn)對(duì)比：

這門(mén)課整體刪減了11條考點(diǎn)，新增了3點(diǎn)考點(diǎn)，從LOS來(lái)看對(duì)考生的考察要求降低了。兩條修改的內(nèi)容，僅僅是對(duì)原有內(nèi)容的補(bǔ)充，主體內(nèi)容沒(méi)有變化。主要涉及的考點(diǎn)并沒(méi)有發(fā)生過(guò)多變化，重點(diǎn)章節(jié)無(wú)太大改變。

新增的LOS(共3條）

Chapter 4. External and Internal Credit Ratings

Define conditional and unconditional default probabilities and explain the distinction between the two.

Chapter 6. Measuring Credit Risk

Describe the degree of dependence typically observed among the loan defaults in a bank’s loan portfolio, and explain the implications for the portfolio’s default rate.

Chapter 8. Stress Testing

Describe the role of policies and procedures, validation, and independent review in stress testing governance.

刪減的LOS（共11條）

Chapter 1. Measures of Financial Risk

Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.

Chapter 3. Measuring and Monitoring Volatility

Calculate conditional volatility using parametric and non-parametric approaches.

Calculate conditional volatility with and without mean reversion.

Describe the impact of mean reversion on long horizon conditional volatility estimation.

Chapter 4. External and Internal Credit Ratings

Describe the impact of time horizon, economic cycle, industry and geography on external ratings.

Chapter 5. Country Risk: Determinants, Measures, and Implications

Identify sources of country risk.

Chapter 6. Measuring Credit Risk

Evaluate a bank’s economic capital relative to its level of credit risk.

Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure and loss rate.

Chapter 8. Stress Testing

Identify the advantages and disadvantages of stressed risk metrics.

Identify elements of clear and comprehensive policies, procedures, and documentations for stress testing.

Identify areas of validation and independent review for stress tests that require attention from a governance perspective.

替換的LOS

Chapter 3. Measuring and Monitoring Volatility

Apply the exponentially weighted moving average (EWMA) approach and the GARCH (1,1) model to estimate volatility, and describe alternative approaches to weighting historical return data. (2022)

Apply the exponentially weighted moving average (EWMA) approach and the GARCH(1,1) model to estimate volatility. (2021)

Chapter 8. Stress Testing

Describe stressed VaR and stressed ES, including their advantages and disadvantages, and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2022)

Describe stressed VaR and stressed ES and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2021）

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