2022年FRM新考綱公布！看看都有哪些變化！

2022年FRM已經(jīng)開(kāi)始報(bào)名，同時(shí)FRM考綱也已更新。下面隨小編一起看看都有哪些變化！

FRM一級(jí)考綱：

2022年FRM一級(jí)考綱的變化非 常小，四門(mén)學(xué)科各自的考試占比也未發(fā)生變化。

Financial Market and Products：考綱對(duì)比

金融市場(chǎng)與產(chǎn)品這門(mén)課占比仍保持在30%，相比于2021年考綱，2022年考綱刪掉了6條LOS，增加了2條LOS，其中增加的兩條LOS也是對(duì)刪除LOS的一個(gè)補(bǔ)充。

因此，整體來(lái)看LOS要求降低了，涉及修改的LOS，多為描述性詞匯的調(diào)整，主體內(nèi)容并沒(méi)有實(shí)質(zhì)性改變。綜上，這門(mén)課的變動(dòng)對(duì)考生備考影響不大，重點(diǎn)關(guān)注新增和刪減的LOS即可。

刪除的LOS（共6條）

Chapter 5. Exchanges and OTC Markets：

Identify the classes of derivative securities and explain the risk associated with them Chapter 10. Pricing Financial Forwards and Futures：

Differentiate between investment and consumption assets.

Calculate a forward foreign exchange rate using the interest rate parity relationship

Chapter 11. Commodity Forwards and Futures：

Compare the lease rate with the convenience yield.

Chapter 18. Mortgages and Mortgage-Backed Securities：

Describe the mortgage prepayment option and the factors that influence prepayments

Chapter 19. Interest Rate Futures ：

Describe the mortgage prepayment option and the factors that influence prepayments

增加的LOS（共2條）

Chapter 5. Exchanges and OTC Markets：

Describe process of buying stock on margin without using CCP and calculate margin requirements

Chapter 10. Pricing Financial Forwards and Futures：

Define and describe financial assets

修改的LOS：（共11條）

Chapter 3. Fund Management：

Calculate the net asset value (NAV) of an open-end mutual fund. （2021）

Explain the concept of net asset value (NAV) of an open-end mutual fund and how it relates to share price. （2022）

Chapter 4. Introduction to Derivatives：

Calculate an arbitrage payoff and describe how arbitrage opportunities are temporary. （2021）

Describe arbitrageurs' strategy and calculate an arbitrage payoff. （2022）

Chapter 5. Exchanges and OTC Markets：

Describe netting and describe a netting process（2021）

Define netting and describe a netting process. （2022）

Chapter 6. Central Clearing：

Compare and contrast bilateral markets to the use of novation and netting（2021）

Compare netting in bilateral markets vs centrally cleared（2022）

Chapter 7. Futures Markets：

Evaluate the impact of different trading order types. （2021）

Describe and compare different trading order types. （2022）

Chapter 8. Using Futures for Hedging：

Define the basis and explain the various sources of basis risk and explain how basis risks arise when hedging with futures. （2021）

Define and calculate the basis, discuss various sources of basis risk, and explain how basis risks arise when hedging with futures. （2022）

Define cross hedging and compute and interpret the minimum variance hedge ratio and hedge effectiveness. （2021）

Define cross hedging and compute and interpret hedge ratio and hedge effectiveness（2022）

Chapter 11. Commodity Forwards and Futures：

Explain the relationship between current futures prices and expected future spot prices, including the impact of systematic and nonsystematic risk（2021）

Explain the impact of systematic and nonsystematic risk on current futures prices and expected future spot prices（2022）

Chapter 12. Options Markets：

Describe the various types, uses, and typical underlying assets of options. （2021）

Describe the various types and uses of options, define moneyness（2022）

Chapter 18. Mortgages and Mortgage-Backed Securities：

Explain prepayment modeling and its four components: refinancing, turnover, defaults and curtailments（2021）

Describe the mortgage prepayment option and factors that affect it, explain prepayment modeling and its four components: refinancing, turnover, defaults, and curtailments（2022）

Chapter 16. Option Sensitivity Measures: The “Greeks”：

Describe how portfolio insurance can be created through option instruments and stock index futures. （2021）

Describe how to implement portfolio insurance and how this strategy compares with delta hedging. （2022）

Valuation and Risk Models：考試比重

該學(xué)科在一級(jí)考試中的占比仍然為30%，依然是一級(jí)考試的重點(diǎn)學(xué)科。內(nèi)容上，有部分刪減和調(diào)整。

考點(diǎn)對(duì)比：

這門(mén)課整體刪減了11條考點(diǎn)，新增了3點(diǎn)考點(diǎn)，從LOS來(lái)看對(duì)考生的考察要求降低了。兩條修改的內(nèi)容，僅僅是對(duì)原有內(nèi)容的補(bǔ)充，主體內(nèi)容沒(méi)有變化。主要涉及的考點(diǎn)并沒(méi)有發(fā)生過(guò)多變化，重點(diǎn)章節(jié)無(wú)太大改變。

新增的LOS(共3條）

Chapter 4. External and Internal Credit Ratings

Define conditional and unconditional default probabilities and explain the distinction between the two.

Chapter 6. Measuring Credit Risk

Describe the degree of dependence typically observed among the loan defaults in a bank’s loan portfolio, and explain the implications for the portfolio’s default rate.

Chapter 8. Stress Testing

Describe the role of policies and procedures, validation, and independent review in stress testing governance.

刪減的LOS（共11條）

Chapter 1. Measures of Financial Risk

Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.

Chapter 3. Measuring and Monitoring Volatility

Calculate conditional volatility using parametric and non-parametric approaches.

Calculate conditional volatility with and without mean reversion.

Describe the impact of mean reversion on long horizon conditional volatility estimation.

Chapter 4. External and Internal Credit Ratings

Describe the impact of time horizon, economic cycle, industry and geography on external ratings.

Chapter 5. Country Risk: Determinants, Measures, and Implications

Identify sources of country risk.

Chapter 6. Measuring Credit Risk

Evaluate a bank’s economic capital relative to its level of credit risk.

Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure and loss rate.

Chapter 8. Stress Testing

Identify the advantages and disadvantages of stressed risk metrics.

Identify elements of clear and comprehensive policies, procedures, and documentations for stress testing.

Identify areas of validation and independent review for stress tests that require attention from a governance perspective.

替換的LOS

Chapter 3. Measuring and Monitoring Volatility

Apply the exponentially weighted moving average (EWMA) approach and the GARCH (1,1) model to estimate volatility, and describe alternative approaches to weighting historical return data. (2022)

Apply the exponentially weighted moving average (EWMA) approach and the GARCH(1,1) model to estimate volatility. (2021)

Chapter 8. Stress Testing

Describe stressed VaR and stressed ES, including their advantages and disadvantages, and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2022)

Describe stressed VaR and stressed ES and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. (2021）

FRM二級(jí)考綱：

2022年FRM二級(jí)的考綱整體不大，所有學(xué)科的考試占比維持不變。

從學(xué)科內(nèi)容來(lái)看，Basel Accords，Liquidity Risk Management, Investment Risk Management這三個(gè)部分考點(diǎn)要求完全沒(méi)有變化。

Market Risk Management和Operational Risk Management做了小幅的修改，涉及修改的地方主要是描述性詞匯的調(diào)整。

變化比較大的就是Credit Risk Management和Current Issue。其中Credit Risk Management一章的原版書(shū)參考發(fā)生變化，雖然內(nèi)容比較類(lèi)似，但是仍然需要根據(jù)zui新考綱進(jìn)行學(xué)習(xí)。

Current Issue仍然結(jié)合熱點(diǎn)來(lái)學(xué)習(xí)，去年的10篇文章中刪除了9篇比較舊的文章，并新增加了和新冠疫情，數(shù)字貨幣，人工智能相關(guān)的zui新研究文章。

Market risk考點(diǎn)對(duì)比 ：

市場(chǎng)風(fēng)險(xiǎn)這門(mén)課占比仍保持20%，2022年考綱中調(diào)整的部分為描述性詞匯的調(diào)整，內(nèi)容上并沒(méi)有實(shí)質(zhì)性改變。整體來(lái)看，今年的考綱變化對(duì)本科目的備考沒(méi)有影響。

修改的LOS：（共4條）

Chapter 3. Estimating Market Risk Measures:

Define coherent risk measures. （2021）

Describe coherent risk measures. （2022）

Chapter 6. Backtesting VaR：

Define and identify Type I and Type II errors. （2021）

Identify and describe Type I and Type II errors in the context of a backtesting process. （2022）

Chapter 11. VaR Mapping：

Explain how VaR can be used as a performance benchmark（2021）

Explain how VaR can be computed and used relative to a performance benchmark. （2022）

Chapter 20. Volatility Smiles：

Define volatility smile and volatility skew（2021）

Describe a volatility smile and volatility skew（2022）

Credit Risk考點(diǎn)變化：

從調(diào)整上看，可以認(rèn)為2022年的考綱幾乎沒(méi)有變化。有一個(gè)Reading因?yàn)閰⒖紩?shū)更新了版本，因此相應(yīng)的章節(jié)有更新，但知識(shí)點(diǎn)沒(méi)有調(diào)整。同時(shí)，資產(chǎn)證券化這一個(gè)章節(jié)引入了一個(gè)新的考綱要求，屬于小知識(shí)點(diǎn)，涉及內(nèi)容較少。剩余調(diào)整如章節(jié)的合并，對(duì)復(fù)習(xí)備考沒(méi)有實(shí)質(zhì)影響。

1. 教材變化

知識(shí)點(diǎn)結(jié)構(gòu)沒(méi)變，但原參考書(shū)更新了版本

Chapter 9. Counterparty risk and beyond

考綱要求描述改變，但實(shí)質(zhì)知識(shí)點(diǎn)沒(méi)變

Chapter 11. Future value and exposure

2022年要求: Explain the general impact of aggregation on exposure, and the impact of aggregation on exposure when there is correlation between transaction values.

2021年要求: Explain the impact of netting on exposure, the benefit of correlation, and calculate the netting factor.

2. 原版書(shū)結(jié)構(gòu)調(diào)整，實(shí)質(zhì)知識(shí)點(diǎn)沒(méi)變

2022年將21年舊考綱中的Reading 14 Credit and Debt value adjustment以及Reading 15 Wrong way risk合并，形成2022年的Reading 13 CVA。

3. 新增考綱要求

2022年Reading 17 an introduction to securitization新引入考綱要求

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

Operational  risk：考點(diǎn)對(duì)比

總體來(lái)看，2022年操作風(fēng)險(xiǎn)的考綱有些許變化，主要變動(dòng)在于操作彈性。對(duì)這個(gè)話(huà)題進(jìn)行了更新和內(nèi)容上的擴(kuò)充。可見(jiàn)，協(xié)會(huì)越來(lái)越注重對(duì)于彈性這個(gè)領(lǐng)域的探討和研究，這個(gè)話(huà)題無(wú)疑將成為日后這門(mén)學(xué)科的新重點(diǎn)。不過(guò)，這些內(nèi)容上的調(diào)整對(duì)于學(xué)員備考沒(méi)有太大的影響。

新增：

Chapter 25: Operational resilience: Impact tolerance for important business services

? Describe an impact tolerance; explain best practices and potential benefits for establishing the impact tolerance for a business service.

? Provide examples of important business services and explain criteria that firms should use to determine their important business services.

? Explain tools and processes, including mapping and scenario testing, that financial institutions should use to improve their operational resilience and remain within their impact tolerance.

? Describe the governance of an operational resilience policy, including the relationships between operational resilience and a firm’s risk appetite, impact tolerance, continuity planning, and outsourcing to third-party providers.

這個(gè)章節(jié)更新了表述，主要內(nèi)容未發(fā)生實(shí)質(zhì)性變化，依然以定性為主。探討了在操作彈性領(lǐng)域的zui佳實(shí)踐和指導(dǎo)方針這個(gè)主題在全球金融機(jī)構(gòu)中變得越來(lái)越重要。

Chapter 26: Principles for Operational Resilience

? Define and describe operational resilience and explain essential elements of operational resilience.

? Explain recommended principles that banks should follow to implement an effective operational resilience approach.

這一章節(jié)是上一章節(jié)的延續(xù)，繼續(xù)討論操作彈性，闡述巴塞爾委員會(huì)對(duì)于操作彈性提出的一系列原則，可見(jiàn)彈性這個(gè)話(huà)題將越來(lái)越值得關(guān)注。

調(diào)整：

Chapter 5: Banking Conduct and Culture

2021：

? Explain how a bank can structure performance incentives and make staff development decisions to encourage a strong corporate culture.

? Summarize expectations by different national regulators for banks’ conduct and culture.

2022：

? Assess the role of regulators in encouraging strong conduct and culture at banks, and provide examples of regulatory initiatives in this area.

刪減：

Chapter 4: Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions

? Explain the relationship between a firm’s RAF and its risk culture and between the RAF and a firm’s strategy and business planning process.

Current Issues考點(diǎn)變化

今年Current issues從去年的10篇文章減少到了今年的8篇文章。大部分內(nèi)容都是新加入的。

今年7篇新的文章中，有2篇是和新冠疫情的大背景相關(guān)，2篇是和人工智能等新興科技相關(guān)的，1篇?dú)夂蜃兓?篇參考利率，1篇數(shù)字貨幣。除數(shù)字化貨幣外，其它的文章都在過(guò)往有過(guò)講解，這次是用新的視角重新解讀。隨著數(shù)字貨幣在全球的越來(lái)越流行，這一趨勢(shì)引起了行業(yè)的重視，非 常與時(shí)俱進(jìn)。

刪除

去年的10篇文章中，刪除了9篇，只保留了Beyond LIBOR: a primer on the new benchmark rates。

新加入以下文章

1.  Machine Learning and AI for Risk Management

這篇文章講解了Machine Learning 和 AI的區(qū)別，以及每個(gè)類(lèi)別中使用的技術(shù)。Machine Learning 和 AI在信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn)和監(jiān)管合規(guī)等領(lǐng)域的應(yīng)用。zui后在風(fēng)險(xiǎn)管理中Machine Learning 和 AI的作用以及局限性和挑戰(zhàn)。

2. Artificial Intelligence Risk & Governance

這篇文章講解了金融公司使用人工智能相關(guān)的潛在風(fēng)險(xiǎn)類(lèi)別，人工智能治理的四個(gè)核心組成部分以及與每個(gè)組成部分相關(guān)的推薦做法，金融公司使用人工智能會(huì)如何產(chǎn)生與可解釋性和歧視相關(guān)的問(wèn)題，以及金融公司可以用來(lái)降低人工智能風(fēng)險(xiǎn)的做法。

3. Covid-19 and cyber risk in the financial sector

這篇文章講解了cyber risk的原因和實(shí)施網(wǎng)絡(luò)攻擊的方法。以及COVID-19 對(duì)網(wǎng)絡(luò)威脅級(jí)別的影響。大流行期間金融部門(mén)如何受到cyber risk的威脅。cyber risk格局的變化以及減輕風(fēng)險(xiǎn)以穩(wěn)定金融系統(tǒng)的方法。

4. Holistic Review of the March Market Turmoil

本章主要展示了2020 年 3 月 Covid-19 市場(chǎng)動(dòng)蕩期間發(fā)生的金融市場(chǎng)情況和大流行對(duì)金融市場(chǎng)的影響，及其這期間市場(chǎng)壓力的原因。公共部門(mén)在 Covid-19 市場(chǎng)動(dòng)蕩期間恢復(fù)金融市場(chǎng)運(yùn)作的政策反應(yīng)，以及我們應(yīng)該從中吸取的教訓(xùn)。

5.LIBOR transition Case studies for navigating conduct risks

本章討論了對(duì) LIBOR 過(guò)渡的監(jiān)管預(yù)期以及這些預(yù)期如何幫助市場(chǎng)參與者管理過(guò)渡產(chǎn)生的行為風(fēng)險(xiǎn)。以及從賣(mài)方和買(mǎi)方的角度分析 LIBOR 過(guò)渡的風(fēng)險(xiǎn)。

6.Climate-related risk drivers and their transmission channels

本章講解了與氣候相關(guān)的風(fēng)險(xiǎn)驅(qū)動(dòng)因素和潛在影響以及如何給銀行帶來(lái)不同類(lèi)型的風(fēng)險(xiǎn)。

7.The rise of digital money

本章講解了支付方式的不同屬性。數(shù)字貨幣快速發(fā)展的原因和對(duì)銀行業(yè)面臨的風(fēng)險(xiǎn)并確定減輕這些風(fēng)險(xiǎn)的方法，以及對(duì)應(yīng)的監(jiān)管和政策行動(dòng)。

因此，一二級(jí)很多科目基本上變化不大，有變化的科目大多也是表述的變化，沒(méi)什么實(shí)質(zhì)性變更，新增和刪除的內(nèi)容也不多，準(zhǔn)備備考明年FRM考試的小伙伴可以放心哦！