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{in name="user_id" value="21644"} {/ in}課程試聽 推薦
1.沖刺直播
數(shù)量分析
風(fēng)險(xiǎn)管理基礎(chǔ)
估值與風(fēng)險(xiǎn)模型
金融市場產(chǎn)品
模擬機(jī)考
1.沖刺直播
操作風(fēng)險(xiǎn)
current issue
流動性風(fēng)險(xiǎn)
市場風(fēng)險(xiǎn)
投資風(fēng)險(xiǎn)
信用風(fēng)險(xiǎn)
模擬機(jī)考
1.金融數(shù)學(xué)
1.Fundamentals of Probability
2.Common Distributions
3.Descriptive Statistics
4.Inferential statistics
5.Hypothesis testing
6.Correlation analysis
7.Linear regression
2.金融英語
FRM與英語(1)
FRM與英語(2)
Grammar(1)
Grammar(2)
Financial Risk
Financial Institute(1)
Financial Institute(2)
Financial Institute(3)
Financial Products(1)
Financial Products(2)
3.金融計(jì)算器
1.Introduction
2.Calculator Version
3.Calculator overview
4.Decimal point setting
5.Priority mode setting
6.Beginning and End mode setting
7.Store and call function
8.Common Clear key
9.Exponential function
10.Logarithm, factorial, permutation and combination function
11.Poisson distribution, binomial distribution function
12.Bond price calculation and date function
13.Time value of money function
14.Practice of time value of money
15.Situations where time value of money does not apply
16.Statistics function
4.金融市場產(chǎn)品
1.Introduction to financial market products
2.Bank
3.Insurance company and fund company
4.OTC and bond
5.Bond
6.Forward and futures
7.Swap
8.Options
5.金融債券類產(chǎn)品基礎(chǔ)
1.Definition of bond
2.Face value of bonds
3.Term of repayment/Maturity and Coupon rate
4.Frequency of coupon payment
5.Issue price
6.Repayment and Liquidity
7.Safety/Security and Profitability
8.Divided by issuer
9.Divided by property guarantee
10.Divided by the rate of coupon payment
11.Bonds Versus Stocks
12.Bonds Versus Funds
13.Risks Faced
14.Risk Management
15.Pricing of Bonds
6. 銀行經(jīng)營模式
1.Bank Governance Framework
2.Bank operation model
3.Bank financial statement
1.風(fēng)險(xiǎn)管理基礎(chǔ)
前言
1-1 Typology of Risks and Risk Interactions
1-2 The Risk Management Process
1-3 quantitative risk metric
1-4 Risk Factor Breakdown and Interactions Between Factors
1-5 Structural Change From Tail Risk to Systemic Crisis
1-6 Human Agency and Conflicts of Interest
1-7 Risk Aggregation
1-8 Balancing Risk and Reward
2-1 Background The Modern Imperative to Manage Risk
2-2 Risk Appetite – What Is It
2-3 Risk Mapping
2-4 Strategy Selection Accept, Avoid, Mitigate, Transfer
2-5 Rightsizing Risk Management
2-6 Risk Transfer Toolbox
2-7 What Can Go Wrong in Corporate Hedging
3-1 The Post-Crisis Regulatory Response
3-2 Infrastructure of Risk Governance
3-3 Risk Appetite Statement
3-4 Implementing Board-Level Risk Governance
3-5 Risk Appetite and Business Strategy The Role of Incentives
3-6 Incentives and Risk-Taking
3-7 The Interdependence of Organizational Units in Risk Governance
3-8 Assessing the Bank’s Audit Function
4-1 Overview of Credit Risk Transfer Mechanisms
4-2 How Credit Risk Transfer Can Be Useful
4-3 The Mechanics of Securitization
4-4 From Buy-and-Hold to Originate-to-Distribution
5-1 Modern Portfolio Theory
5-2 The Capital Asset Pricing Model
5-3 The Capital Market Line and the Security Market Line
5-4 Performance Measures
6-1 The Arbitrage Pricing Theory
6-2 Different Types of Factor Models
7-1 Introduction
7-2 Benefits of Effective Risk Data Aggregation and Reporting
7-3 Key Governance Principles
7-4 Data Architecture and IT Infrastructure
7-5 Characteristics of a Strong Risk Data Aggregation Capability
7-6 Characteristics of Effective Risk Reporting Practices
7-6 Characteristics of Effective Risk Reporting Practices
8-1 ERM What Is It and Why Do Firms Need It
8-2 ERM – A Brief History
8-3 ERM From Vision to Action
8-4 Why Might Enterprise Risk Demand ERM Four key Reasons
8-5 The Critical Importance of Risk Culture
8-6 Scenario Analysis ERM’s Sharpest Blade
9-1 Interest Rate Risk
9-2 Funding Liquidity Risk
9-3 Constructing and Implementing a Hedging Strategy
9-4 Model Risk
9-5 Rogue Trading and Misleading Reporting
9-6 Financial Engineering
9-7 Reputation Risk
9-8 Corporate Governance
9-9 Cyber Risk
10-1 Introduction and Overview
10-2 How It All Started
10-3 The Role of Financial Intermediaries
10-4 Issues with the Rating Agencies
10-5 A Primer on the Short-Term Wholesale Debt Market
10-6 The Liquidity Crunch Hits
10-7 Central Banks to the Rescue
11-1 Introduction Statement
11-2 Rules of Conduct
2.數(shù)量分析
0-1 Introduction
1-1 Probabilities Concepts
1-2 Total probability and Bayes’ theorem
2-1 Discrete & Continuous Random Variable
2-2 Descriptive Statistics- Four Moments
3-1 Discrete Distribution
3-2 Continuous Distribution
4-1 Discrete Bivariate Random Variable
4-2 Covariance and Correlation
4-3 Independent Identical Distributed
4-4 Cross central moment
5-1 Inferential Statistics
5-2 Properties of Estimators
5-3 LLN and CLT
6-1 Null vs. Alternative hypothesis
6-2 Test statistic
6-3 Mean Tests
6-4 Variance Test
6-5 Type I and Type II Error
7-1 Ordinary Least Squares
7-2 Measuring Model Fit
7-3 OLS Parameter Estimators
7-4 Hypothesis Testing for Regression Coefficients
8-1 Multiple Linear Regression
8-2 Measures of Fit
8-3 Hypothesis Testing in Multiple Linear Regression
8-4 ANOVA
9-1 Omitted Variables
9-2 Heteroskedasticity
9-3 Multicollinearity
9-4 Outliers
9-5 The Bias-Variance Tradeoff
10-1 Cycle
10-2 White Noise and Wold’s Theorem
10-3 AR, MA and ARMA(1)
10-3 AR, MA and ARMA(2)
11-1 Trend and Seasonality
11-2 Random Walk and Unit Roots
12-1 Returns and Volatility
12-2 Measuring Correlations
12-3 The Distribution of Financial Returns
13-1 Simulation Random Variables
13-2 Bootstrapping
3.金融市場產(chǎn)品
1-1 Types of Banks
1-2 The risk in Banking
1-3 Bank Regulation
1-4 Deposit Insurance
1-5 Investment Banking
1-6 Conflicts of interest
1-7 The Originate-to-Distribute Model
2-1 Categories of insurance companies
2-2 Life Insurance
2-3 Pension Plans
2-4 Property and Casualty Insurance
2-5 Moral hazard and adverse slection
2-6 Regulation
3-1 Mutual funds
3-2 Exchange-Traded Funds
3-3 Undesirable Trading Behavior
3-4 Hedge funds
3-5 Types of Hedge funds
3-6 Research of Returns
4-1 Clearing
4-2 Exchanges
4-3 How CCPs handle Credit Risk
4-4 Over the Counter Markets
5-1 The operation of CCPs
5-2 Regulations of OTC derivatives Markets
5-3 Standard and Non-Standard transactions
5-4 The Move to Central Clearing
5-5 Impacts of Central Clearing on Financial Markets
5-6 Clearing Members and Non-Members
5-7 Advantages and Disadvantages of CCPs
5-8 CCP Risks
6-1 Interest rate&Compounding
6-2 Spot rates and Forward rates
6-3 Three theories of term structure
6-4 Bond pricing &Quotations bond
6-5 Accrued Interest
6-6 Duration and convexity
7-1 Bond issuance
7-2 Bond trading
7-3 Bond indentures
7-4 Types of corporate bonds
7-5 Bonds retiring
7-6 Bond risk
7-7 Recovery rate and Default rate
7-8 High-yield bonds
7-9 Expected return from bond investment
8-1 Derivatives
8-2 Forward and Futures contract
8-3 Swap
8-4 Option
8-5 Market Participants
8-6 Strategies and Payoffs
9-1 Specification of Futures
9-2 Commodity Characteristics
9-3 Basis
9-4 Termination & Delivery
9-5 Margins
9-6 Marking to market
9-7 Trading orders
9-8 Contango and backwardation
10-1 Investment Assets and Consumption Assets
10-2 Short Selling and Short Squeeze
10-3 Forward Pricing
10-4 Arbitrage transaction
10-5 The Value of a Forwards Contract
10-6 Relation between forward and futures prices
11-1 Quotes
11-2 Estimating FX Risk
11-3 Multi-currency heding using options
11-4 Determinations of exchange rates
11-5 Foreign exchange exposure
11-6 Nominal and real interst rates
11-7 Interest rate parity
12-1 Forward Rate Agreements
12-2 T-Bond Futures
12-3 Eurodollar Futures
12-4 Duration-Based Hedging
13-1 Hedges basic
13-2 Basis Risk
13-3 Optimal hedge rations
13-4 Hedge Equity Positions
13-5 Duration-Based Hedging
13-6 Creating long-term hedges
14-1 Interest rate swap
14-2 Currency swap
15-1 Calls and Puts
15-2 Exchange-traded options on stocks
15-3 Option trading
15-4 Margin requirements
15-5 Other option-like securities
16-1 Factors of option price
16-2 Price bounds of options
16-3 Put-call parity
17-1 Simple Strategies
17-2 Spread strategies
17-3 Combination strategies
18-1 Exotic Options
19-1 Mortgages types
19-2 Monthly payments
19-3 Prepayments and factors
19-4 Securitization- MBS
19-5 Agency mortgage-backed securities
19-6 Other Agency Products
19-7 Valuation of an MBS Pool
19-8 Option adjusted spread
4. 估值與風(fēng)險(xiǎn)模型
科目介紹
1-1 The Mean-Variance Framework
1-2 VaR
1-3 Expected Shortfall
1-4 Coherent Risk Measures
2-1 Historical Simulation
2-2 The Delta-Normal Model
2-3 The Delta-Gamma Model
2-4 Monte Carlo Simulation
3-1 Deviations From Normality
3-2 Historical Standard Deviation Method
3-3 Exponentially Weighted Moving Average Model
3-4 GARCH
3-5 Implied Volatility
3-6 Correlation
4-1 Rating Scales
4-2 Historical Performance
4-3 The Rating Process
4-4 Alternative to Ratings
4-5 Internal Ratings
4-6 Ratings Transitions
4-7 The Rating of Structured Products
5-1Evaluation of Risk
5-2 Total Risk
5-3 Sovereign Credit Risk
5-4 Sovereign Credit Rating
5-5 Sovereign Default Spread
6-1 Background
6-2 The Mean and Standard Deviation of Credit losses
6-3 The Gaussian Copula Model
6-4 The Vasicek Model
6-5 Creditmetrics
6-6 Risk Allocation
6-7 Challenges
7-1 large Risks
7-2 Measure of Operational Risk Capital - BIA
7-3 Measure of Operational Risk Capital - SA
7-4 Measure of Operational Risk Capital - AMA
7-5 Measure of Operational Risk Capital - SMA
7-6 Potential Biased
7-7 Reducing Operational Risk
7-8 Insurance
8-1 Stress Testing Versus VaR and ES
8-2 Choosing Scenarios
8-3 Stress Testing
8-4 Governance
8-5 Basel Stress-Testing Principles
9-1 Treasury Bills and Treasury Bonds
9-2 The Law of One Price and Arbitrage
9-3 Discount Factors From Coupon-Bearing Bonds
10-1 Measuring Interest Rates
10-2 Spot Rates
10-3 Par Rates
10-4 Forward Rates
10-5 Properties of Spot, Forward, and Par rates
10-6 Other Rates
10-7 Flattening and Steepening Term Structures
11-1 Realized Return and Spread
11-2 Yield to Maturity
11-3 Return Decomposition
12-1 Yield Duration
12-2 Curve Duration
12-3 Convexity
12-4 Constructing Portfolio
13-1 Principal Components Analysis
13-2 Key Rate 01S
13-3 Bucketing Approach
14-1 One-step Tress
14-2 Two-step Trees
14-3 Risk Neutral Valuation
14-4 Valuation of Options
14-5 Altered Binomial Model
14-6 Binomial Trees
15-1 The Black-Scholes-Merton Model
16-1 Greeks
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