考试复习及策略与一级回顾复旦frm二级开班

PART

I2012年11月份FRM一级考试总结100%

Contribution

Breeds

Professionalism2-56重温金程教育考场送-

考场100%

Contribution

Breeds

Professionalism3-56重温金程教育考场送考场考场100%

Contribution

Breeds

Professionalism4-56重温金程教育考场送广州考场考场100%

Contribution

Breeds

Professionalism5-56FRM

全球The

global

FRM

community

is

growing

dramatically

as

the

financial

servicesindustry

demands

more

highly

skilled

and

qualified

financial

risk

professionals.There

are

over

26,000

Certified

FRMs

practicing

worldwide.Over

150,000

registrations

for

the

FRM

Exam

since

1997.In

2012,

FRM

candidates

came

from

136

different

countries

and

territories.•than

5,900Registrations

for

the

2012

FRM

Exam

represented

moreanizations

globally.878

anizations

had

5

or

more

FRM

registrations

in

2012.30

anizations

had

100

or

more

FRM

registrations

in

2012.100%

Contribution

Breeds

Professionalism6-56FRM

Annual

Growth

in

Registration

Volume,

2002-2012100%

Contribution

Breeds

Professionalism7-56FRM

Historical

Pass

Rates,

2001-2012100%

Contribution

Breeds

Professionalism8-56FRM考场人数情况（以实到人数统计）：广州总计201105一级25030050308090800201105二级140425201105总计39045076491201401225201111一级250700753590901240201111二级40034050206080950201111总计6501040125551501702190201205一级4775765346105801337201205二级23742629307375870201205总计714100282761781552207201211一级5147358867851441633201211二级324500252878721027201211总计8381235113951632162660100%

Contribution

Breeds

Professionalism9-562012年实际报考人数统计表：广州总计201205一级54764659521051001509201205二级25744629337383921201205总计804109288851781832430201211一级659785121671151941941201211二级37454338281081011192201211总计103313283133大陆的6个考点中相较2011对比，如下表：100%

Contribution

Breeds

Professionalism11-56二级考生对比100%

Contribution

Breeds

Professionalism12-56100%

Contribution

Breeds

Professionalism13-56回顾一级考试准备资料FRM一级FRM

一级handbook（1本）；2012年FRM一级精华(1套4本)；金程FRM一级英文NOTES（1套）；金程FRM一级冲刺宝典（1本）；金程FRM一级习题集（1本）；金程FRM易表（1本）；金程FRM金融字典（1）一级

重点关注金程PPT课件（以原版书为基础）三套

试卷3.

金程Practice

Exam紫皮书100%

Contribution

Breeds

Professionalism14-56一级

重点关注2010年GARP

FRM

Practice

Exam2011年GARP

FRM

Practice

Exam2011年GARP

FRM

Practice

Exam100%

Contribution

Breeds

Professionalism15-56100%

Contribution

Breeds

Professionalism16-56二级复习重点安排FRM二级FRM

handbook（1本）（一级金程学员不配发）；2013年FRM二级精华(1套5本)；金程FRM二级冲刺宝典（1本）；金程FRM二级习题集（1本）；金程FRM二级易表（1本）；金程FRM金融字典（1本）（一级金程学员不配发）金程教育FRM二级课程安排100%

Contribution

Breeds

Professionalism17-56100%

Contribution

Breeds

Professionalism18-56PART

IIFRM一级知识点回顾Foundations

of

Risk

ManagementDefinition

ofRiskTypes

ofRiskProcess

of

Risk

ManagementBaringsSumitomoMetallgesellschaftLong-Term

Capital

ManagementFinancialDisastersPortfolioManagement

TheoryMarkowitz

Portfolio

TheoryCapital

Asset

Pricing

ModelArbitragePricing

TheoryPerformance

MeasurementCreating

Value

withRisk

ManagementCosts

of

Financial

Distress&

BankruptcyTaxWACCDiversifiable

RiskIntroduction

ofRisk

Management100%

Contribution

Breeds

Professionalism19-56tativeysisFundamentalsof

ProbabilityFundamentalsof

StatisticsMonte

CarloMethodsEstimatingVolatilitiesMean,

variance,Skewness,

kurtosisNormal

distributionT

distributionEstimationHypothesis

testingLiner

RegressionGeometric

Brownian

MotionInverse

transform

methodEWMAGARCH100%

Contribution

Breeds

Professionalism20-56100%

Contribution

Breeds

Professionalism21-56Financial

Markets

and

ProductsHull,

Options,

Futures,

and

Other

Derivatives,

7th

Edition.Chapter

1

..............................IntroductionChapter

2

.............................Mechanics

of

FuturesMarketsChapter

3

.............................Hedging

Strategies

Using

FuturesChapter

4.............................Interest

RatesChapter

5

.............................Determination

of

Forwardand

Futures

PricesChapter

6

.............................Interest

Rate

FuturesChapter

7

.............................SwapsChapter

8……

Mechanics

of

Option

MarketsChapter

9.............................Properties

of

StockOptionsChapter

10

...........................Trading

Strategies

Involving

OptionsValuation

and

Risk

ModelsChapter

One

Fixed eValuationChapter

Two

Option

ValuationChapter

Three Value

at

RiskChapter

Four

Measuring

Credit

Risk100%

Contribution

Breeds

Professionalism22-56Important

DerivativesDerivatives

IntroductionForwardFuturesOptionSwapA

series

of

Forward100%

Contribution

Breeds

Professionalism23-56Hedging

strategies

using

futuresFutures

priceDefine

and

compute

the

basis

and

basis

riskS1

Spot

priceS2F1F2Basis:

b1

S1

F1b2

S2

F2t1

t2The

profit

on

the

futures

position

is

F1-F2The

effective

price

that

is

obtained

for

the

asset

with

hedging

is

therefore:S2+

F1-F2

=

F1+b2

;

The

value

of

F1

is

known

at

time

t1.

if

b2

were

alsoknown

at

this

time, rfect

hedge

would

result.

The

hedging

risk

is

theuncertainty

associated

with

b2

and

is

known

as

basis

risk.100%

Contribution

Breeds

Professionalism24-56Hedging

strategies

using

futuresMinimum

variance

hedge

ratioriod

of

time

equal

tothe

life

ofthe

hedgeriod

of

time

equal

to

the

life

of

the

hedgeΔS:

Change

inspot

price,

S,duringΔF:

Change

in

futures

price,

F,

duringσs:

Standarddeviation

of

ΔSσF:

Standard

deviation

of

ΔF:

Coefficient

of

correlation

between

ΔS

and

ΔFh*

:

Hedge

ratio

that

minimizes

the

variance

of

the

hedger's

positionFh*

S100%

Contribution

Breeds

Professionalism25-562*22F2SR

hHedging

strategies

using

futuresThe

optimalhedge

ratio,

h*,

is

the

slope

of

the

best

fit

line

when

∆Sis

regressed

against

∆F.The

hedge

Effectiveness

can

be

defined

as

the

proportion

of

thevariance

that

is

eliminated

by

hedging.

This

is

ρ2

,or100%

Contribution

Breeds

Professionalism26-56Note:

the

parametersρ,σF,

σS,

are

usuallyestimated

from

historical

dataon

∆S

and

∆F.Hedging

strategies

using

futuresOptimal

number

of

futures

contractsDefine

variables

as

follows:NA:

Size

of

position

being

hedged

(units)QF:

Size

of

one

futures

contract

(units)N*:

Optimal

number

of

futures

contracts

for

hedgingThis

futures

contracts

used

should

have

a

face

value

of

h*NA.

Thenumber

of

futures

contracts

required

is

therefore

given

by*

h*

NAQF100%

Contribution

Breeds

Professionalism27-56N100%

Contribution

Breeds

Professionalism28-56ExamplesEXAMPLE

3:

FRM

EXAM

2007—QUESTION

125A

firm

is

going

to

buy

10,000

barrels

of

West

Texas

Intermediate

Crude

Oil.

It

plans

tohedgethe

purchase

using

the

Brent

Crude

Oil

futures

contract.

The

correlation

between

the

spot

andfutures

prices

is

0.72.

The

volatility

of

the

spot

price

is

0.35

per

year.

The

volatilityof

the

BrentCrude

Oil

futures

price

is

0.27

per

year.

What

is

the

hedge

ratio

for

the

firm?0.93330.55540.81981.2099EXAMPLE

4:

FRM

EXAM

2003—QUESTION

14A

bronze

producer

will

sell

1,000

mt

(metric

tons)

of

bronze

in

three

months

at

the

prevailingmarket

price

at

that

time.The

standard

deviation

of

the

price

of

bronze

over

a

three-monthperiodis

2.6%.

Thecompany

decides

to

use

three-month

futures

on

copper

to

hedge.

Thecopper

futures

contract

is

for

25

mt

of

copper.

The

standard

deviation

of

the

futures

price

is3.2%.

The

correlation

between

three-month

changes

in

the

futures

price

and

the

price

of

bronzeis

0.77.

To

hedge

its

price

exposure,

how

many

futurescontracts

should

the

company

buy/sell?Sell

38

futuresBuy

25

futuresBuy

63

futuresSell

25

futuresInterest

RatesAIM:

Value

and

calculate

the

cash

flows

from

an

FRAnowT1settlementorexpirationT21+(L)(T2

-T1)100%

Contribution

Breeds

Professionalism29-56The

Payoff

for

the

Long

=

(Nominal

Principal)

(L-FRA)(T2

-T1)100%

Contribution

Breeds

Professionalism30-56Determination

of

Forward

and

Futures

PricesUsing

the

interest

rate

parity

relationship

to

calculate

aforward

foreign

exchange

rate(rr)TF0

S0e

fF:

domestic

currency/foreign

currencyr:

domestic

currency

interest

raterf:

foreign

currency

interest

rate100%

Contribution

Breeds

Professionalism31-56Properties

of

stock

optionsSix

factorsthat

affect

option

pricesThe

following

six

factors

will

impact

the

value

of

an

option:S0

=current

stock

priceX =strike

price

of

the

optionT =time

toexpiration

of

the

optionr

=short-term

risk-free

interest

rateover

TD =present

value

of

the

dividend

of

the

underlying

stockσ

=expected

volatility

of

stock

prices

over

TProfit

Payoffs

of

OptionsFIGURE1:

Profit

PayofBuy

callLong

and

Short

Calls

and

PutsBuy

putSell

callSell

putBreakeven

price=strike

price

+

premium100%

Contribution

Breeds

Professionalism32-56100%

Contribution

Breeds

Professionalism33-56Intrinsic

versus

Time

ValueOption

value

=

Intrinsic

value

+

Time

valueIntrinsic

value

-

what

the

payoff

would

be

if

the

option

couldbe

exercised

now,

with

the

stock

at

its

current

price.Time

value

-

the

differencebetween

the

option’s

value

and

itsintrinsic

value.Intrinsic

versus

Time

Value100%

Contribution

Breeds

Professionalism34-56Binomial

TreesA

one-step

binomial

modelStock

price=$20

●●100%

Contribution

Breeds

Professionalism35-56●Stock

price=$22Option

price=$1Stock

price=$18Option

price=$0Given:

K=$21;

T=0.25;

risk-free

rate=12%.

What

is

the

European

call

price?Binomial

TreesA

GeneralizationS0f●●●0S

ufuS0dfdf

e-rt

pfu

(1-

p)

fd

erT100%

Contribution

Breeds

Professionalism36-56

dp

u

dThe

Black-Scholes-Merton

ModelBlack-Scholes

Pricing

Formulasc

=

S N

(d

)

−

Ke−rT

N

(d

)0

1

2P

=

Ke−rT

N

(−d

)

−

S

N

(−d

)2

0

11d

=

ln(S

0

K

)

+(r

+

σ2

2)Tσ

Td2

=

d1

−σ

T100%

Contribution

Breeds

Professionalism37-56100%

Contribution

Breeds

Professionalism38-56The

Black-Scholes-Merton

ModelImplied

VolatilityImplied

volatility

is

the

volatility

implied

when

the

market

priceof

the

option

is

set

to

the

model

price.Use

trial-and-error

method

toestimate

the

impliedvolatility.B-S

Model

with

Dividend

yieldc

=

S

e−r*T

N

(d

)

−

Ke−rT

N

(d

)0

1

2The

Greek

LettersOption

Sensitivities:

Delta1

c

N

(d

)S100%

Contribution

Breeds

Professionalism39-56The

Greek

LettersOption

Sensitivities:

Gamma

2cS

2100%

Contribution

Breeds

Professionalism40-56The

Greek

LettersDelta

and

Gamma

of

Option

Positions100%

Contribution

Breeds

Professionalism41-56The

Greek

LettersOption

Sensitivities:

Vega

c100%

Contribution

Breeds

Professionalism42-56The

Greek

LettersOption

Sensitivities:

RhoThe

sensitivity

to

therisk-free

rate,

also

called

rho,

isrAn

increase

in

the

rate

of

interest

increases

the

value

of

the

call,

as

theunderlying

asset

grows

at

a

higher

rate,

which

increases

the

probabilityof

exercising

the

call,

with

a

fixed

strike

price

K.100%

Contribution

Breeds

Professionalism43-56

cThe

Greek

LettersOption

Sensitivities:

Theta

ct100%

Contribution

Breeds

Professionalism44-56100%

Contribution

Breeds

Professionalism45-56ExamplesEXAMPLE

1Which

of

the

following

statements

is

true

regarding

options’

Greeks?Theta

tends

to

be

large

and

positive

when

buying

at-the-moneyoptions.Gamma

is

greatest

for

in-the-money

options

with

long

maturities.Vega

is

greatest

for

at-the-money

options

with

long

maturities.Delta

of

deep

in-the-money

put

options

tends

towards

+1.EXAMPLE2How

can

a

trader

produce

a

short

vega,

long

gamma

position?Buy

short-maturity

options,

sell

long-maturity

options.Buy

long-maturity

options,

sell

short-maturity

options.Buy

and

sell

options

of

long

maturity.Buy

and

sell

options

of

short

maturity.100%

Contribution

Breeds

Professionalism46-56PART

IIIFRM二级知识预览及学习策略整体知识布局4小时/80道单项选择题100%

Contribution

Breeds

Professionalism47-56Market

Risk

Measurement

and

ManagementFixed e

SecuritiesDuration,

DV01,

and

convexityKey

rate

exposuresHedging

and

immunizationRisk

neutral

pricingMortgage-backed

securities:

structure

and

valuationMortgages

andmortgage-backed

securities

(MBS)Structure,

markets,

and

valuationVaR

and

other

Risk

MeasuresVaR

mapBacktesting

VaRExpected

shortfall

(ES)

and

other

coherent

risk

measuresParametric

and

non-parametric

methods

of

estimationModeling

dependence:

correlations

and

copulasExtreme

value

theory

(EVT)Volatility:

s and

term

structuresExotic

options100%

Contribution

Breeds

Professionalism48-56Credit

Risk

Measurement

and

ManagementCredit

RiskCredit

risk

is

the

risk

of

an

economic

loss

from

the

failure

of

a

counterpartyto

fulfill

its

contractual

obligations.Credit

loss

PD

CE

LGDProbability

of

DefaultCredit

ExposureLoss

Given

Default100%

Contribution

Breeds

Professionalism49-56Credit

Risk

Measurement

and

Management2.

Measuring

ActuarialDefault

RiskCredit

Risk1.

Overview

of

Credit

RiskDefault

&

Credit

EventExternal

Credit

RatingInternal

Credit

RatingAssessing

Default

ProbabilitiesRecovery

RateCorporate

VS

Sovereign

Rating3.

Measuring

Default

Riskfrom

Market

PricesCorporate

Bond

PricesEquity

Prices

(MertonModel)KMV

ModelDefinition

of

Credit

RiskDrivers

of