FRM Review
　　Part One：Qunats Analysis
　　1.Bays rules
　　2.Variance(ax+by)
　　3.Confidence interval estimate簡(jiǎn)單的計(jì)算，已知置信水平，標(biāo)準(zhǔn)差，mean4.P-value
　　5.R∧2=SSR/SST
　　6.Correlation coefficient計(jì)算
　　7.極值定理，比課堂講得考的深，問(wèn)到了具體的密度函數(shù)公式中的內(nèi)容
　　Part two：market risk
　　1.已知幾個(gè)bonds'effective duration,market prices,and face values.Calculate portfolio's duration
　　2.Convexity對(duì)bond價(jià)格的影響
　　3.IO strips and PO strips那個(gè)duration是負(fù)的
　　4.Forward price的計(jì)算有dividend yield和convenience yield
　　5.Commodity forward price的計(jì)算
　　6.那個(gè)案例是basis risk
　　7.Interest swap present value的計(jì)算
　　8.Currency swap單個(gè)cash flow的計(jì)算
　　9.AMERICAN option什么情況下可提前執(zhí)行，upper and lower bounds
　　10.Covered call+protective put=collar
　　11.Strap的運(yùn)用在什么條件下
　　12.Binary option
　　13.Shout option
　　14.Portfolio VaR計(jì)算
　　15.GARCH persistence factor
　　16.Greek letters考gamma vega調(diào)整，考調(diào)整vega后買(mǎi)stock最后delta為零
　　Part three：credit risk
　　1.國(guó)家credit rating和6個(gè)影響國(guó)家信用的比例列表，問(wèn)該投資哪國(guó)國(guó)債
　　2.Though the cycle，at the point哪個(gè)procyclicality
　　3.Merton model計(jì)算value of equity，沒(méi)有公式一定要很清楚的記住d的求法
　　4.Neyman pearson decision rule.
　　Use the statistical concept of Type 1 and Type 2 errors
　　5.Altman credit scoring沒(méi)有要求計(jì)算
　　It is an example of a subgroup model,where as logit models give a score that can be interpreted as the probability of default.
　　6.probability of default的計(jì)算3-5題
　　7.concentration limit的計(jì)算
　　8.Novation
　　9.Hot collateral=“on special”Difficult to obtain
　　10.列表7筆交易5項(xiàng)netting 2項(xiàng)non netting agreement算一方的credit exposure
　　11.risk neutral mean loss rate
　　12.multiyear resturing agreement的計(jì)算
　　13.ISDA TRIGGERING EVENTS
　　A downgrade from a rating agency is not defined as a credit enent.
　　14.Settlement amount of credit default swapNote:don't forget"accrued interest"
　　15.n-to-default swap和basket default swapNote that the probability of any one（or nth）reference entity defaulting is lower when the Assets are highly correlated，but higher when they are less correlated。
　　16.Cancelable default swap=having the right to cancel the swapCallable default swap=buyer of the swapPutable default swap=seller of the swap
　　17.TROR在libor變化時(shí)receiver的cash flow變化Protect payers from interest risk
　　18.Credit spread option pay off的計(jì)算
　　Schweser notes 3/page 125
　　19.Cash CDOs and synthetic CDOs區(qū)別
　　In Cash CDOs,the issuer directly buys the actual securities20.BISTRO和j-port區(qū)別
　　Both are synthetic structures.Pls refer to Schweser note 3/page 138-13921.Dollar VaR的計(jì)算
　　Part four：optional risk
　　1.BIS定義中不包含的風(fēng)險(xiǎn)
　　Not include strategic and reputatiponal riskInclude legal risk
　　2.Connectivity model two techniques要詳細(xì)看，考的很細(xì)
　　3.Parametric model：convolution的定義，案例題convolution的應(yīng)用原理，公式
　　4.Contingent credit line和risk prevention control的定義
　　5.Cat bond的payoff免賠共保
　　6.LVAR的計(jì)算
　　7.Close out
　　8.Economic of scale and scope案例題
　　9.Model risk定義，案例題判斷是不是model risk
　　10.市場(chǎng)假說(shuō)對(duì)risk management的影響
　　11.Flight to the quality案例
　　12.Financial conglomerates diversification benefits13.Hub and spoke定義
　　14.3+1 pillars legal firewall
　　15.新basel風(fēng)險(xiǎn)權(quán)重函數(shù)是有basel committee給出不能自己設(shè)16.Basel back testing 99%daily，one year historical data，time lag 6 months17.Case study SUMITOMO,BARINGS,LTCM主要考風(fēng)險(xiǎn)原因18.Asian crisis（Thailand）,may not be tested again19.For 2007,Amaranth Debacle
　　Part five：investment management
　　1.Pure diversifier的定義
　　2.Style drift的表現(xiàn)形式，和考察方法
　　3.Convertible arbitrage strategy
　　4.Regulation D
　　5.ASSETS ALLOCATION是一到案例題
　　6.Treynor measurement分子上減的是risk free rate7.Tracking error的計(jì)算案例題給出兩組數(shù)據(jù)8.MSD（半方差）計(jì)算給出information ration，sortino ratio。
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