FRM考綱大全

12月1日GARP協會公佈了FRMzui新考綱↟│₪✘，整體考綱變化不大↟│₪✘，2023年的FRM考綱中所有科目的權重沒有發生變化↟✘▩。變化的科目主要是在一級的數量分析；二級的信用✘▩╃₪、操作和熱點；其餘科目基本保持不變↟✘▩。

》》》2023年新版FRM一二級內部資料免·費領取↟☁↟│！【精華版】

PART 1 #金融風險管理

01.章節的變動

新增兩個章節（14✘▩╃₪、15章）關於機器學習的內容↟│₪✘，老考綱FRM二級熱點部分有關於機器學習的內容↟│₪✘，如今也加入到數量分析當中↟│₪✘，並且新增了兩個章節↟│₪✘，說明它的內容比較重要↟│₪✘，也另外一個層面說明FRM考試很貼合實際生活↟✘▩。其他章節共新增3條新考點↟✘▩。

02.具體內容的變動

Chapter 7: Linear Regression [QA-7]

新增1條·▩│₪：

● Estimate the correlation coefficient from the R2 measure obtained in linear regressions with a single explanatory variable.

Chapter 8: Regression With Multiple Explanatory Variables [QA-8]

新增1條·▩│₪：

● Calculate the regression R2 using the three components of the decomposed variation of the dependent variable data: the explained sum of squares, the total sum of squares, and the residual sum of squares.

Chapter 12: Measuring Returns, Volatility, and Correlation [QA-12]

新增1條·▩│₪：

● Compare and contrast the different measures of correlation used to assess dependence.

新增章節

● Chapter 14: Machine-Learning Methods [QA-14]

● Chapter 15: Machine Learning and Prediction [QA-15]

PART 1 #市場風險

01.具體內容的變動

Chapter 3. Estimating Market Risk Measures: An Introduction and Overview [MR–1]

刪除1條·▩│₪：

● Describe coherent risk measures.

總結·▩│₪：市場風險內容變動不大↟│₪✘，僅僅刪除一條關於一致性風險的考點↟✘▩。

PART 2 #信用風險

01.具體內容的變動

Chapter 9·▩│₪：Structured Credit Risk [CR–8]

新增1條·▩│₪：

● Describe the treatment of excess spread in a securitization structure and estimate the value of the overcollateralization account at the end of each year.

Chapter 6: Netting, Close-out and Related Aspects [CR–10]

新增1條·▩│₪：

● Provide examples of trade compression of derivative positions, calculate net notional exposure amount, and identify the party holding the net contract position in a trade compression.

Chapter 7·▩│₪：Margin (Collateral) and Settlement [CR–11]

新增1條·▩│₪：

● Calculate the credit support amount (margin) under various scenarios.

Chapter 17. CVA [CR–13]

新增1條·▩│₪：

● Explain the distinctions between unilateral CVA (UCVA) and BCVA, and between unilateral DVA (UDVA) and BCVA.

Chapter 12. An Introduction to Securitization [CR–17]

刪除1條·▩│₪：

● Determine the notional value of the net contract resulting from trade compression and identify the counterparty with the net contract.

新增3條·▩│₪：

● Describe the various features of subprime MBS and explain how these features are designed to protect investors from losses on the underlying mortgage loans.

● Distinguish between corporate credit ratings and asset-backed securities (ABS) credit ratings.

● Explain how through-the-cycle ABS rating can amplify the housing cycle.

總結·▩│₪：信用風險一共新增7個考點↟│₪✘，刪除1個考點↟✘▩。新增的內容都可能會是未來考試的重點部分↟│₪✘，大家要引起重視↟│₪✘，緊跟網課複習↟☁↟│！

PART 2 #操作風險

01.章節的變動

原來27個章節↟│₪✘，現在變成24個章節↟│₪✘，對於原來分散的知識點進行了整合↟│₪✘，使得整本操作風險變得更加系統↟│₪✘，學生學起來能夠更加容易理清思路↟│₪✘，形成學習框架↟│₪✘，即風險管理的步驟就是·▩│₪：風險識別✘▩╃₪、風險測量和評估✘▩╃₪、風險緩解✘▩╃₪、風險報告✘▩╃₪、綜合風險管理↟✘▩。

以前FRM考生在備考時↟│₪✘，總反映操作風險難學↟│₪✘，現在協會也是針對性對於學習內容進行了最佳化↟│₪✘，讓學生更有系統性的學習↟│₪✘，明白風險管理的邏輯↟│₪✘，也更好應用於實踐↟✘▩。

新考綱內容變動雖然比較大↟│₪✘，但是總體章節內容少了3章↟│₪✘，原來複雜分散的內容也變得更加整體↟│₪✘，對於老考生和新考生來說都是有利的↟│₪✘，相比以前複習起來會相對容易↟│₪✘，大家也不必對於大幅度的考綱變動太過於擔憂~

02.具體內容的變動

Chapter 1. Introduction to Operational Risk and Resilience [ORR-1]

Chapter 2. Risk Governance [ORR-2]

Chapter 3. Risk Identification [ORR-3]

Chapter 4. Risk Measurement and Assessment [ORR-4]

Chapter 5. Risk Mitigation [ORR-5]

Chapter 6. Risk Reporting [ORR-6]

Chapter 7: Integrated Risk Management [ORR–7]

Chapter 9. Case Study: Cyberthreats and Information Security Risks [ORR-9]

Chapter 10. “Sound Management of Risks related to Money Laundering and Financing of Terrorism,” Basel Committee on Banking Supervision, January 2014, revised July 2020. (through p.16, para. 83) [ORR-10]

Chapter 11. Case Study: Financial Crime and Fraud [ORR-11]

Chapter 13. Case Study: Third-Party Risk Management [ORR-13]

Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities [ORR-14]

Chapter 16. Case Study: Model Risk and Model Validation [ORR-16]

總結·▩│₪：上面13個章節都是新增章節↟│₪✘，考生需要重新進行復習↟│₪✘，17-24章內容保留了老考綱的內容↟│₪✘，大約保留了1/3的內容↟│₪✘，分別是以下內容·▩│₪：

Til Schuermann, (2014), “Stress Testing Banks,” International Journal of Forecasting, 30:3, 717–728. [ORR–17]

Chapter 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement [ORR–18]

“Range of practices and issues in economic capital frameworks,” Basel Committee on Banking Supervision Publication, March 2009. [ORR–19]

“Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,” Board of Governors of the Federal Reserve System, August 2013. [ORR–20]

Mark Carey, “Capital Regulation Before the Global Financial Crisis,” GARP Risk Institute, April 2019. [ORR-21]

Mark Carey, “Solvency, Liquidity and Other Regulation After the Global Financial Crisis,” GARP Risk Institute, April 2019. [ORR-22]

“High-level summary of Basel III reforms,” Basel Committee on Banking Supervision Publication, December 2017. [ORR-23]

“Basel III: Finalising post-crisis reforms,” Basel Committee on Banking Supervision Publication, December 2017, pp. 128-136. [ORR-24]

PART 2 #熱點

01.章節的變動

保留了Artificial Intelligence/Machine Learning兩篇文章↟│₪✘，刪除了6篇文章↟│₪✘，新增了6篇熱點文章↟│₪✘，關於氣候風險✘▩╃₪、通貨膨脹風險✘▩╃₪、區塊鏈✘▩╃₪、加密貨幣和去中心化金融↟✘▩。熱點基本上每年都會變動↟│₪✘，FRM考試就是緊跟時事變化↟│₪✘，貼近現實生活↟│₪✘，考FRM對於我們工作和學習幫助都是很大的↟✘▩。

保留的兩篇文章·▩│₪：

Machine Learning and AI

● Aziz, S. and M. Dowling (2019). “Machine Learning and AI for Risk Management”, in T. Lynn, G. Mooney, P. Rosati, and M. Cummins (eds.), Disrupting Finance: FinTech and Strategy in the 21st Century, Palgrave, 2019)

● “Artificial Intelligence Risk & Governance,” Artificial Intelligence/Machine Learning Risk & Security Working Group (AIRS)

02.具體內容的變動

Climate Risk

● “Climate-related risk drivers and their transmission channels,” Basel Committee on Banking Supervision Publication, April 2021

● “Climate- related financial risks – measurement methodologies,” Basel Committee on Banking Supervision Publication, April 2021

● “Principles for the effective management and supervision of climate-related financial risks,” Basel Committee on Banking Supervision Publication, June 2022

Inflation Risk

● “Inflation: a look under the hood,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 41-64

Blockchain, Cryptocurrency, and Decentralized Finance

● David Andolfatto and Fernando M. Martin, “The Blockchain Revolution: Decoding Digital Currencies,” Federal Reserve Bank of St. Louis Review, Third Quarter 2022, pp. 149-65

● “The future monetary system,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 75-103

另附詳細《23年FRM考綱分析》↟│₪✘，點選線上諮詢或者新增融躍FRM老師微信（rongyuejiaoyu）領取