【FRM考生必看】1.Frame of Market Risk Measurement and Management.pdf

Market Risk Measurement and Management 专注金融精英职业技能提升 Copyright ©JINDUODUO.ORG All rights reserved. Where is it in the Study Guide • Market Risk Measurement and Management • Part II Exam • Weight 25% 专注金融精英职业技能提升 Copyright ©JINDUODUO.ORG All rights reserved. What’s in it • Volatility smiles and volatility term structures • Exotic options • Duration and convexity of fixed income securities • Term structure models • Backtesting VaR • Mapping financial instruments to risk factors 专注金融精英职业技能提升 Copyright ©JINDUODUO.ORG All rights reserved. What’s in it •Expected shortfall and coherent risk measures • Extreme value theory • Copulas and tail dependence 5% • Mortgages and mortgage-backed securities (Underwriting mortgages, Prepayment models, Risks inmortgages and mortgage-backed securities, Valuation of mortgage-backed securities) 专注金融精英职业技能提升 Copyright ©JINDUODUO.ORG All rights reserved. Re-categorize  Option Related: Volatility smiles and volatility term structures/Exotic options  IR Related: Duration and convexity of fixed income securities/Term structure models /Mortgages and mortgage-backed securities  Var Related: Mapping financial instruments to risk factors/Backtesting VaR/Expected shortfall and coherent risk measures/Extreme value theory/Copulas and tail dependence 专注金融精英职业技能提升 Copyright ©JINDUODUO.ORG All rights reserved. Readings-1 29. Hull, Options, Futures, and Other Derivatives, 7th Edition. Chapter 18 . . . . . . . . .