1、FRM一級2017考綱變化

風險管理基礎Foundations of Risk Management 20%

新增：

　　Markus K.Brunnermeier,2009.“Deciphering the Liquidity and Credit Crunch 2007—2008,”Gary Gorton and Andrew Metrick,2012.“Getting Up to Speed on the Financial Crisis:A One-Weekend-Reader’s Guide,”

刪除：

　　The Credit Crisis of 2007

　　Information Risk and Data Quality Management(移動到二級操作風險)

定量分析Quantitative Analysis 20%

新增：

　　Modeling and Forecasting trend，Seasonality，cycles

　　預測三種時間時間序列數(shù)據：趨勢數(shù)據、季節(jié)性數(shù)據、周期性數(shù)據

    參考書：Francis X.Diebold,Elements of Forecasting,4th Edition(Mason,Ohio:Cengage Learning,2006).

　　Estimating Volatilities估計波動率

　　參考書變動，核心知識點并未變動

    參考書變?yōu)椋篔ohn C.Hull,Risk Management and Financial Institutions,4th Edition(Hoboken,NJ:John Wiley&Sons,2015).

金融市場與產品Financial Markets and Products 30%

新增：

　　Chapter 2.Banks

　　Chapter 3.Insurance Companies and Pension Plans

　　Chapter 4.Mutual Funds and Hedge Funds

參考書：John C.Hull,Risk Management and Financial Institutions,4th Edition(Hoboken,NJ:John Wiley&Sons,2015)

刪除：

　　Introductions of CCP

　　The Rating Agencies評級機構

估值與風險模型Valuation and Risk Models 30%

　　Stress Testing壓力測試

　　參考書變動，知識點愈加系統(tǒng)詳細。核心知識點并未變動

參考書變?yōu)椋篠tress Testing:Approaches,Methods,and Applications,Edited by Akhtar Siddique and Iftekhar Hasan(London:Risk Books,2013).

2、FRM二級2017考綱變化

市場風險Market Risk Measurement and Management 25%

無新增章節(jié)

刪除

　　Parametric Approach(II):Extreme Value

    參考書：Kevin Dowd,Measuring Market Risk,2nd Edition(West Sussex,England:John Wiley&Sons,2005)(整體全部移動到操作風險)

　　信用風險Credit Risk Measurement and Management 25%

新增

　　Classifications and key concepts of credit risk

　　Ratings assignment methodologies

　　參考書：Giacomo De Laurentis,Renato Maino,Luca Molteni,Developing,Validating and UsingInternal Ratings(Hoboken,NJ;John Wiley&Sons,2010).

　　The Evolution of Stress Testing Counterparty Exposures

　　參考書：Stress Testing:Approaches,Methods,and Applications,Edite by Akhtar Siddique and Iftekhar Hasan(London:Risk Books,2013).

刪除

　　Default Risk:Quantitative Methodologies

　　參考書：Arnaud de Servigny and Olivier Renault,Measuring and Managing Credit Risk(New York:McGraw-Hill,2004).

　　Credit and Counterparty Risk

　　參考書：Allan Malz,Risk Management:Models,History,and Institutions(Hoboken,NJ:John Wiley&Sons,2011).

操作風險Operational and Integrated Risk Management 25%

新增

　　“Standardised Measurement Approach for operational risk—consultative document,”(Basel Committee on Banking Supervision Publication,March 2016).

　　Validating rating models

　　參考書：Giacomo De Laurentis,Renato Maino,Luca Molteni,Developing,Validating and Using Internal Ratings(Hoboken,NJ:John Wiley&Sons,2010).

　　“Guidance on Managing Outsourcing Risk,”Board of Governors of the Federal Reserve System,December 2013.

　　Information Risk and Data Quality Management

　　參考書：Anthony Tarantino and Deborah Cernauskas,Risk Management in Finance:Six Sigma and Other Next Generation Techniques(Hoboken,NJ:John Wiley&Sons,2009).(風險管理基礎)

　　Parametric Approaches(II):Extreme Value

　　參考書：Kevin Dowd,Measuring Market Risk,2nd Edition(West Sussex,England:John Wiley&Sons,2005).

刪除

　　”Operational Risk—Supervisory Guidelines for the Advanced Measurement Approaches,”

　　Basel Committee on Banking Supervision Publication,June 2011).Paragraphs 1-42(intro)and60-261(Modeling)only

　　Paragraphs 1-42.Introduction

　　Paragraphs 160-261.Modeling

  　新增參考書：

　　“Minimum capital requirements for market risk”(Basel Committee on Banking Supervision Publication,January 2016).

投資組合風險管理Risk Management and Investment Management 15%

新增

    Factor Theory

　　Factors

　　Alpha(and the Low-Risk Anomaly)

　　Illiquid Assets(entire chapter;previously Section 13.5 was excluded)

Andrew Ang,Asset Management:A Systematic Approach to Factor Investing(New York:Oxford University Press,2014).

無刪減

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