在報(bào)名FRM考試之后，考生需要了解考綱的相關(guān)變化，今天，詳細(xì)為大家介紹一下估值與風(fēng)險(xiǎn)模型的相關(guān)內(nèi)容變化！

估值與風(fēng)險(xiǎn)模型考綱變動(dòng)不大，主要變化在三大風(fēng)險(xiǎn)：市場(chǎng)風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)和操作風(fēng)險(xiǎn)，以及壓力測(cè)試章節(jié)。知識(shí)點(diǎn)進(jìn)行微調(diào)，刪除了一些本不重要的考點(diǎn)。

1、Chapter 1 Measures of Financial Risk》》》戳：各科視頻講義+歷年真題+22年原版書（PDF版）免·費(fèi)領(lǐng)取

刪除：

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

2、Chapter 3 Measuring and Monitoring Volatility

刪除：

1. Calculate conditional volatility using parametric and non-parametric approaches.

2. Calculate conditional volatility with and without mean reversion.

3. Describe the impact of mean reversion on long horizon conditional volatility estimation.掃碼咨詢

修改：

1. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility.刪除了其中“parametric and non-parametric”，變?yōu)镃ompare and contrast different approaches for estimating conditional volatility.

2. Apply EWMA approach and GARCH(1,1) to estimate volatility. 在后面增加“and describe alternative approaches to weighting historical return data.

3、Chapter 4 External and Internal Credit Ratings

刪除：

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

新增：

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

4、Chapter 5 Country Risk: Determinants, Measures, and Implications

刪除：

1. Identify sources of country risk.

5、Chapter 6 Measuring Credit Risk

刪除：

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

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

新增：

1. 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.

5、Chapter 8 Stress Testing

修改：

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

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

將1&2合并為：Describe the role of policies and procedures, validation, and independent review in stress testing governance.

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