1、FRM一级2017考纲变化

风险管理基础Foundations of Risk Management 20%

新增：

　　Markus K.Brunnermeier,2009.“Deciphering the Liquidity and Credit Crunch 2007—2008,”Gary Gorton and Andrew Metrick,2012.“Getting Up to Speed on the Financial Crisis:A One-Weekend-Reader’s Guide,”

删除：

　　The Credit Crisis of 2007

　　Information Risk and Data Quality Management(移动到二级操作风险)

定量分析Quantitative Analysis 20%

新增：

　　Modeling and Forecasting trend，Seasonality，cycles

　　预测三种时间时间序列数据：趋势数据、季节性数据、周期性数据

    参考书：Francis X.Diebold,Elements of Forecasting,4th Edition(Mason,Ohio:Cengage Learning,2006).

　　Estimating Volatilities估计波动率

　　参考书变动，核心知识点并未变动

    参考书变为：John C.Hull,Risk Management and Financial Institutions,4th Edition(Hoboken,NJ:John Wiley&Sons,2015).

金融市场与产品Financial Markets and Products 30%

新增：

　　Chapter 2.Banks

　　Chapter 3.Insurance Companies and Pension Plans

　　Chapter 4.Mutual Funds and Hedge Funds

参考书：John C.Hull,Risk Management and Financial Institutions,4th Edition(Hoboken,NJ:John Wiley&Sons,2015)

删除：

　　Introductions of CCP

　　The Rating Agencies评级机构

估值与风险模型Valuation and Risk Models 30%

　　Stress Testing压力测试

　　参考书变动，知识点愈加系统详细。核心知识点并未变动

参考书变为：Stress Testing:Approaches,Methods,and Applications,Edited by Akhtar Siddique and Iftekhar Hasan(London:Risk Books,2013).

2、FRM二级2017考纲变化

市场风险Market Risk Measurement and Management 25%

无新增章节

删除

　　Parametric Approach(II):Extreme Value

    参考书：Kevin Dowd,Measuring Market Risk,2nd Edition(West Sussex,England:John Wiley&Sons,2005)(整体全部移动到操作风险)

　　信用风险Credit Risk Measurement and Management 25%

新增

　　Classifications and key concepts of credit risk

　　Ratings assignment methodologies

　　参考书：Giacomo De Laurentis,Renato Maino,Luca Molteni,Developing,Validating and UsingInternal Ratings(Hoboken,NJ;John Wiley&Sons,2010).

　　The Evolution of Stress Testing Counterparty Exposures

　　参考书：Stress Testing:Approaches,Methods,and Applications,Edite by Akhtar Siddique and Iftekhar Hasan(London:Risk Books,2013).

删除

　　Default Risk:Quantitative Methodologies

　　参考书：Arnaud de Servigny and Olivier Renault,Measuring and Managing Credit Risk(New York:McGraw-Hill,2004).

　　Credit and Counterparty Risk

　　参考书：Allan Malz,Risk Management:Models,History,and Institutions(Hoboken,NJ:John Wiley&Sons,2011).

操作风险Operational and Integrated Risk Management 25%

新增

　　“Standardised Measurement Approach for operational risk—consultative document,”(Basel Committee on Banking Supervision Publication,March 2016).

　　Validating rating models

　　参考书：Giacomo De Laurentis,Renato Maino,Luca Molteni,Developing,Validating and Using Internal Ratings(Hoboken,NJ:John Wiley&Sons,2010).

　　“Guidance on Managing Outsourcing Risk,”Board of Governors of the Federal Reserve System,December 2013.

　　Information Risk and Data Quality Management

　　参考书：Anthony Tarantino and Deborah Cernauskas,Risk Management in Finance:Six Sigma and Other Next Generation Techniques(Hoboken,NJ:John Wiley&Sons,2009).(风险管理基础)

　　Parametric Approaches(II):Extreme Value

　　参考书：Kevin Dowd,Measuring Market Risk,2nd Edition(West Sussex,England:John Wiley&Sons,2005).

删除

　　”Operational Risk—Supervisory Guidelines for the Advanced Measurement Approaches,”

　　Basel Committee on Banking Supervision Publication,June 2011).Paragraphs 1-42(intro)and60-261(Modeling)only

　　Paragraphs 1-42.Introduction

　　Paragraphs 160-261.Modeling

  　新增参考书：

　　“Minimum capital requirements for market risk”(Basel Committee on Banking Supervision Publication,January 2016).

投资组合风险管理Risk Management and Investment Management 15%

新增

    Factor Theory

　　Factors

　　Alpha(and the Low-Risk Anomaly)

　　Illiquid Assets(entire chapter;previously Section 13.5 was excluded)

Andrew Ang,Asset Management:A Systematic Approach to Factor Investing(New York:Oxford University Press,2014).

无删减

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