FRM学习笔记——Schweser Book IV Notes

备考CFA一级考试必看书目

全球最大的CFA(特许金融分析师)培训中心
总部地址：上海市虹口区花园路171号A3幢高顿教育
电话：400-600-8011网址：微信公众号：
gaoduncfa 1
备考CFA 一级考试必看书目
CFA 一级的难度不是很大,但是知识面比较广,并且是全英文考试.所以需要大家掌握相当于四级及以上水平。

由于原版教材比较多，并且价格昂贵，在此建议大家以下书目是必须看的：
SCHWESER STUDY NOTES(一套6本),HANDBOOK.当然，如果时间、财力比较充足，最好还是多看一些原版指定教材。

由于二级难度加深很多，建议除以上教材外，还需要看指定教材及一些辅助教材，并且需要系统掌握知识点背后的逻辑关系。

各位考生，CFA 备考已经开始，为了方便各位考生能更加系统地掌握考试大纲的重点知识，帮助大家充分备考，体验实战，高顿网校开通了全免费的CFA 题库（包括精题真题和全真模考系统），题库里附有详细的答案解析，学员可以通过多种题型加强练习，通过针对性地训练与模考，对学习过程进行全面总结。

关注微信公众号：一起学CFA 更多CFA 资讯一手掌握 !。

FRM学习笔记——SchweserBookIINotes

本章主要介绍衍生品交易中的主体：清算所、专营衍生品的公司、交易所衍生品交易商一般来说都是较为大型的金融机构，由于交易基本都集中于这些机构，所以导致违约风险的集中。

清算所是一种信用的体现，所有的买方和卖方最终都是与其进行交易，清算所用来管理风险的方式有以下集中：✓设定交易会员的资格 (include a minimum level of capital, posting of surety bonds)✓设定保证金水平✓监控会员的信用评级 (credit surveillance, monitoring of members)交易所是一个交易的平台，它设定参与交易者的必要资质，同时也设立保证金制度，以防止违约的出现。

OTC交易中所订立的条款可能更为符合交易双方的需求，但是其流动性则没有交易所中的标准合约那么好。

OTC交易中经常需要交易双方提供抵押物（Collateral），抵押物的种类和抵押比率则由各个交易所规定。

保证金的设置并不能完全规避违约风险，当一天内价格波动异常剧烈时，违约仍有可能出现。

Market to Market，即逐日盯市。

交易所与清算所的关系Clearing Houses can be dedicated to a specific exchange or serve several exchanges.Limitation of Structural Hubs✓逐日盯市仅限于那些每日都可以以公允价值计量的资产✓Netting需要交易双方同时对对方享有权利和义务✓标准化合约的流动性要远远强于非标准的合约✓对交易的监管尚需透明化（Transparency），这对于降低交易成本是有利的✓Structural Hubs的建立需要较为漫长的过程，所以交易所之间趋向于合并，而非建立新的交易所。

Chapter 22主要介绍了衍生品的一些基本概念，专业术语，和衍生品市场中的一般参与者Chapter 23 Mechanics of Future MarketsFuture可以基于各类资产，其本质是一种规定在未来以既定价格交易的合约。

frm知识点总结

frm知识点总结一、金融市场与产品1.金融市场金融市场是指进行金融资产交易的场所，包括货币市场、资本市场和衍生品市场。

货币市场是指短期资金借贷市场，包括银行间拆借市场和货币市场基金等。

资本市场是指长期融资市场，包括股票市场和债券市场等。

衍生品市场是指衍生金融工具的交易市场，包括期货市场和期权市场等。

2.金融产品金融产品是指由金融资产包装而成的金融工具，包括股票、债券、货币市场工具和衍生品等。

股票是公司融资工具，股东享有公司所有权和权利。

债券是公司或政府融资工具，债权人享有债务人的偿还权利。

货币市场工具是短期融资工具，包括存款、商业票据和短期债券等。

衍生品是金融衍生工具，包括期货、期权、远期和掉期等。

二、风险管理与价值度量1.风险管理风险管理是金融机构和企业管理的一项重要工作，包括风险识别、风险评估、风险控制和风险监控等。

常见的风险包括市场风险、信用风险、操作风险、流动性风险和法律风险等。

2.价值度量价值度量是金融机构和企业度量风险和回报的一项重要工作，包括价值-at-风险（VaR）、崩溃风险、场景分析、压力测试和灾难恢复等。

VaR是度量风险的一种常用方法，是金融机构和企业度量市场风险的常用工具。

三、金融市场的交易、结算与资金管理1.金融市场的交易金融市场的交易包括股票交易、债券交易、外汇交易和衍生品交易等。

股票交易是投资者买卖股票的市场，包括一级市场和二级市场。

债券交易是投资者买卖债券的市场，包括国债市场、企业债市场和权益债市场。

外汇交易是投资者买卖外汇的市场，包括现货外汇市场、远期外汇市场和外汇期权市场。

衍生品交易是投资者买卖衍生品的市场，包括期货市场、期权市场和远期市场。

2.金融市场的结算金融市场的结算是指交易的结算和交收，包括清算和交收。

清算是指交易的结算，交易参与者需向结算机构支付交易款项。

交收是指证券的过户和登记，交易参与者需将证券交付给买方。

3.资金管理资金管理是指金融机构和企业管理资金的一项重要工作，包括现金管理、流动性管理和资本管理等。

FRM考试备考资料全集-frm考试论坛

FRM考试备考资料全集-frm考试论坛FRM考试备考资料全集-frm考试论坛！你准备参加2016年11月FRM考试了，终于做了这个决定，别人怎么劝我都听不到！那么，问题来了？怎么备考呢？如何备考FRM考试呢？2016年11月FRM考试备考可以看哪些资料呢？它们有什么特点？FRM备考资料列表1、Study Guide：GARP协会提供的原版书籍列表。

2、Aims：GARP协会提供的考纲。

Kaplan Notes中也能够找到。

3、Core reading：GARP协会考纲上所列书籍。

优点：覆盖知识点全面，能帮助正确理解考纲所考知识点。

缺点：资料繁多，不适用于复习时间有限的学员。

4、Handbook：GARP协会推荐备考书籍。

优点：浓缩知识点，有条理。

缺点：缺少部分考点章节，且均为不可忽略的章节。

如使用Handbook作为主要复习资料，需要补充相关的资料。

5、Notes：培训机构Kaplan制作的备考书籍。

优点：完全根据考纲进行讲解，知识点覆盖全面。

缺点：没有条理，不易理解，对知识点的把握受限于编写者的理解，对考点的把握不够准确。

6、Practice Exam：GARP每年提供的模拟题，09年以前不分1,2级。

近期的模拟题日趋简单，难度以前几年的模拟题较接近考试情况。

建议有时间的话从07、08年开始都要做，感受一下。

7、Notes Exam：Kaplan制作的模拟题。

有一定难度，有时间也可以做一下。

8、quicksheet：方便查阅重要知识点及公式。

9、习题集：各种培训机构自行出的题目，这个只推荐那些跟着机构上课的同学使用。

另附FRM考试报名流程1、首先你需要准备的是双币信用卡和护照/驾照。

注意事项：在信用卡上有Visa,Master标记，支持外币（美元）支付。

在支付前，请先了解您的信用卡额度是否能支付考试费用。

其次就是需要护照或者驾照了。

这里需注意，当你报名的时候，一定要牢记，你报名所准备的证件，在考试的时候要带同一证件。

FRM学习笔记SchweserBookINotes

Chapter I The Need for Risk Management风险是一种不确定性，一般来说，风险可以分为经营风险（Business Risk）和金融市场风险（Financial Risk），前者主要由于经营决策和经营环境导致，而后者则主要由金融市场传递。

两者的区分从本质上说其实并不那么明显，因为金融市场的利率水平波动是多个微观主体经营决策之影响总和。

金融市场风险可以分为四种：✓市场风险（Market Risk）▪Absolute Risk （相当于同比收益率）和 Relative Risk（相当于环比收益率）▪Directional Risk （与风险因子有线性关系）和 Non-directional Risk（与风险因子有非线性关系）▪Basis Risk（基差风险）▪Volatility Risk（即，市场波动幅度发生变化的不确定性）✓流动性风险▪Asset-liquidity Risk 指由于标的资产过度交易导致的价格波动▪Fund-liquidity Risk 指由于流动资产小于流动负债导致的无法及时偿付✓违约风险✓操作风险监管松弛（Deregulation）和全球化（Globalization）使企业面临更多的不确定性，这些不确定性的增加使得我们更加需要认识和使用风险管理工具。

然而，我们必须记住的是，风险管理终究是对风险的管理，其本身并不能减少风险，而是对风险实行一种分配，以达到分散风险的效果。

金融机构是金融市场的构成者和参与者，市场中的衍生品是基于标的资产的合约，这些衍生品拥有预先约定的存续期、价格和名义本金。

这些衍生品不同于金融资产，一股股票是一种非零合博弈，或者认为是一种帕累托改进。

而衍生品的交易双方的收益始终等于损失，即总收益始终为零。

这也从一个侧面反映了衍生品是对风险所做的一种分配，并没有减少风险。

杠杆率（Leverage）降低了交易成本，同时也放大了收益和损失的倍数。

FRM学习笔记SchweserBookINotes

Chapter I The Need for Risk Management风险是一种不确定性，一般来说，风险可以分为经营风险（Business Risk ）和金融市场风险（Financial Risk ），前者主要由于经营决策和经营环境导致，而后者则主要由金融市场传递。

两者的区分从本质上说其实并不那么明显，因为金融市场的利率水平波动是多个微观主体经营决策之影响总和。

金融市场风险可以分为四种：✓ 市场风险（Market Risk ）▪ Absolute Risk （相当于同比收益率）和 Relative Risk （相当于环比收益率）▪ Directional Risk （与风险因子有线性关系）和 Non-directional Risk （与风险因子有非线性关系）▪ Basis Risk （基差风险）▪ Volatility Risk （即，市场波动幅度发生变化的不确定性）✓ 流动性风险▪ Asset-liquidity Risk 指由于标的资产过度交易导致的价格波动▪ Fund-liquidity Risk 指由于流动资产小于流动负债导致的无法及时偿付✓ 违约风险 ✓ 操作风险监管松弛（Deregulation ）和全球化（Globalization ）使企业面临更多的不确定性，这些不确定性的增加使得我们更加需要认识和使用风险管理工具。

然而，我们必须记住的是，风险管理终究是对风险的管理，其本身并不能减少风险，而是对风险实行一种分配，以达到分散风险的效果。

金融机构是金融市场的构成者和参与者，市场中的衍生品是基于标的资产的合约，这些衍生品拥有预先约定的存续期、价格和名义本金。

这些衍生品不同于金融资产，一股股票是一种非零合博弈，或者认为是一种帕累托改进。

而衍生品的交易双方的收益始终等于损失，即总收益始终为零。

这也从一个侧面反映了衍生品是对风险所做的一种分配，并没有减少风险。

杠杆率（Leverage ）降低了交易成本，同时也放大了收益和损失的倍数。

FRM-中文NOTES(1)

前言FRM是全球金融风险管理领域的资格证书，由美国“全球风险协会”（GARP）设立。

GARP 是一个拥有来自超过150个国家的8万多名会员的世界最大的金融协会组织之一，主要由风险管理方面的专业人员、从业者和研究者组成。

其主要职能是通过信息交换，实施教育计划，提高金融风险管理领域的标准。

FRM考试始于1997年，在中国北京、上海，香港，台北设有考点。

FRM考试虽然设立时间不长，但发展极为迅速，已经得到华尔街和其他欧美著名金融机构与大型公司风险管理部门以及政府监管层的认同，并已经初步成为风险管理领域的最权威的认证。

FRM涵盖众多领域，包括数量分析、市场风险、信用风险、操作风险、基金投资风险、会计和法律等内容。

在今日错综复杂、瞬息万变的金融市场上，风险往往难以掌握。

在金融市场困境或有危机发生时，有效管理风险往往成为企业成功的关键。

而这一攸关企业组织及其投资人命运的重要决策，需要众多的金融风险管理专业人士(Financial Risk Professionals)的参与，故FRM 日益受到重视，全球报考人数以每年超过38%成长，已俨然成为全球瞩目的国际风险管理证照。

在国内正日益受到国家金融监管机构以及各家金融机构的重视，对金融风险专业人员的需求日益壮大。

秉承“服务社会，帮助他人，成就自己”的价值观，金程教育始终以“专业来自百分百的投入”全心全意地为客户持续创造价值。

我们拥有一支自主、强大的财务金融培训研发团队，经过九年的实践和积累，已经自主开发了一系列针对CFA FRM等课程的辅导书籍，如《固定收益证券定价理论》、《投资组合管理》、《金融衍生产品》、《权益类证券定价》，这些书籍汇聚专家视角，权威新颖、紧贴时事，为各类金融进修学员提供全新的金融视野，广受各界好评，并被许多高校选为专用教材。

本书是金程教育权威师资与研究团队在金程内部浩瀚的教材、国内外权威备考辅导资料、各类题目组成的资料库基础上，根据考试大纲指定内容编制的中文辅导教材，全面涵盖考试内容，可以让学员迅速掌握考试内容的知识要点，便于其后的英文教材的学习领悟和掌握，具有极高的参考价值。

FRM Chapter-4-笔记

FRM 2010 Practice QuestionsTable of ContentsQuestion 50: Chase Manhattan Bank/Drysdale Securities 2 Question 51: Kidder Peabody 3 Question 52: Barings 5 Question 53: Allied Irish Bank 7 Question 54: Long Term Capital Management 9 Question 55: Metallgesellshaft 11 Question 56: Banker’s T rust 12Question 50: Chase Manhattan Bank/Drysdale Securities AIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Chase Manhattan and theirinvolvement with Drysdale Securities50.1 Steven Allen classifies the Drysdale bankruptcy as which type of financial disaster?a)Case in which firm/investors were misled (misleading reporting)b)Losses from unexpectedly large market moves (disasters due to large market moves)c)Fiduciary or reputational exposure to customer positions (due to conduct of customerbusiness)d)None of the above50.2 The key lesson learned from the Drysdale bankruptcy concerned what practice?a)Need to investigate stream of large profitsb)Need to separate front and back officesc)Correlations spike to almost one in a crisisd)Collateral value determination50.3 Of which bond feature did Drysdale take systematic advantage?a)Embedded call optionb)Short-term yield volatilityc)Accrued coupon interestd)Long-maturity bond durationAnswers:50.1 A. (Misleading reporting)“There is not much question as to how Drysdale managed to obtain the unsecured funds. Theytook systematic advantage of a computational shortcut in determining the value of borrowedsecurities.”50.2. D. (collateral value determination)“The securities industry as a whole learned that it needed to make its methods for computingcollateral value on bond borrowings more precise. Chase, and other firms who may have hadsimilar control deficiencies, learned the need for a process that forced areas contemplating newproduct offerings to receive prior approval from representatives of the principal risk controlfunctions within the firm.50.3 C. (Accrued coupon interest)“To save time and effort, borrowed securities were routinely valued as collateral withoutaccounting for accrued coupon interest. By seeking to borrow large amounts of securities withhigh coupons and a short time left until the next coupon date, Drysdale could take advantage ofthe difference in the amount of cash the borrowed security could be sold for (which INCLUDEDaccrued interest) and the amount of cash collateral that need to be posted against the borrowedsecurity (which did NOT include accrued interest).Question 51: Kidder PeabodyAIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Kidder Peabody51.1. What happened at Kidder Peabody?a)Kidder Peabody lost ~$350 million in cash due to market riskb)Kidder Peabody lost ~$350 million in cash due to operational riskc)Previously reported booked gains of ~$350 were found to be artificiald)Collateral calls of about $350 million triggered a bankruptcy51.2 Which enabled the failure at Kidder Peabody?a)Jett exceeded position limits in regard Treasury STRIPSb)Jett took positions in forward recons, which were prohibited instrumentsc)Accounting loophole in regard to collateral valuationd)Accounting loophole in regard to forward contracts51.3 Which is the lesson(s) learned from the failure at Kidder Peabody?a)Make sure you understand the source of a large, unexpected profitsb)Periodically review models and systemsc)Both (A) and (B)d)Neither (A) nor (B)Answers:51.1 C. (artificial gains)“Joseph Jett entered into a series of trades that were incorrectly reported in the firm’s accounting system, artificially inflating reported profits. When this was ultimately corrected in April 1994, $350 million in previously reported gains had to be reversed … Jett’s trades had notr esulted in any actual loss of cash for Kidder.”… although it is estimated that he additionally hid about $85 million in actual losses51.2. D. (Accountin g loophole in regard to forward “recon” contracts)In regard to (A) and (B), these are false as “The IS specialists discovered that none of Jett’s trade deals were ever consummated. This meant that while no securities had ever changed hands, the profits associated with these allegedly fictitious trades had been accounted for as income on Kidder’s books.”Rather, Jett exploited the fact that the IS/accounting system allowed him to book the profit on aforward (recon) transaction.51.3. C.“Two lessons can b e drawn from this: Always investigate a stream of large unexpected profitsthoroughly and make sure you completely understand the source. Periodically review models and systems to see if changes in the way they are being used require changes in simplifying assumptions.”Reference:Not the assigned chapter, but this brief piece from NYU is a helpful summary.Question 52: BaringsAIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Barings52.1 Which is true about Nick Leeson’s failed positions?a)His profits were fictitious but actual losses were less than $10 millionb)His actual positions were non-directional arbitrages that failed due to basis riskc)His actual positions were unhedged directional bets that Nikkei would increase (net longNikkei)d)His actual positions were unhedged directional bets that Nikkei would decrease (netshort Nikkei)52.2 Based on the assigned reading, what was arguably the largest single failure by themanagement of Barings?a)They did not implement position limits for all possible instrumentsb)They allowed Leeson to be both chief trader and head of settlementsc)Positions should have required daily cash settlement (margin would have exposed thelosses)d)They did not hire a consultant to implement training to build risk awareness andpromote a risk culture52.3 What was the EVENT RISK that manifested in the Barings case?a)Kobe earthquake in 1995b)Asian turmoil of 1997c)Russian bond defaults in 1998d)September 11, 2001 terrorist attacks52.4 According to Allen, each of the following is a lesson to be learned from the Barings caseEXCEPT for:a)Absolute necessity of an independent trading officeb)Need to make inquiries into unexpected sources of profitc)Need to inquire into large, unanticipated movements of cashd)Need to attach clawback feature to annual bonus compensationAnswers:52.1 C.Although Leeson was authorized to conduct arbitrage (exchange switching) and to makeunhedged (directional) bets within limits (“Leeson was only allowed to make unhedged tradeson up to 200 Nikkei 225 futures, 100 Japanese Government Bonds, and 500 euroyen futures contract.”), he nevertheless entered into, and hid, huge directional bets that would have beenprofitable generally if the Nikkei would have remained flat or increases. Specifically, he writesizable put options (short options).In regard to (B), Leeson “was supposed to be running a low-risk, limited return arbitragebusiness for Barings in Singapore” but he disguised his speculative positions.52.2 B.The most egregious violation was that Leeson was allowed to simultaneously, effectively manageboth the front and back offices.Allen: “the most blatant of management failures was an attempt to save money by allowingLeeson to function as head of trading and the back office at an isolated branch.”In other words, he was able to facilitate the fraud because there was no independent back office.52.3 A.The Kobe earthquake (/wiki/Great_Hanshin_earthquake) had a verynegative impact on Leeson’s positions. First, it se nt the Nikkei plummeting. Second, it increasedmarket volatility; Leeson had written options so he was short volatility.52.4 D.Allen articulates (A), (B) and (C) but not clawbacks.Question 53: Allied Irish BankAIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Allied Irish Bank (IAB)53.1 John Rusnak’s fraud was similar to Nike Leeson’s in which respect?a)Ran the back office while conducting tradesb)Generated large unexplained profits from relatively small operationc)Used imaginary transactions to conceal real transactionsd)Used futures markets with daily settlement rather than OTC forwards53.2 According to Allen, which was AIB management’s “most egregious” control failure?a)Failure to employ diversification and hedge techniquesb)Failure to use a risk metric such as Value at Risk (VaR)c)Failure to direct trades to the prime brokerage accountd)Failure to confirm all trades53.3 According to Allen, the internal audits failed for EACH of the following reasons EXCEPT for:a)Small samplesb)Confusing daily profit & loss (P&L) with cash flowsc)Auditors inexperienced in FX optionsd)Over-reliance on trust in Rusnak’s character53.4 According to Allen, lessons learned from AIB include EACH of the following EXCEPT for:a)Value at Risk (VaR) was an inappropriate measure for these non-linear positionsb)Efforts to reduce expenses (increase profits) led to tolerance for weakening controlsc)The back office was not allowed to exercise its independenced)Outside control groups did not have access to direct trading informationAnswers:53.1 C.In regard to (A), Leeson effective ran the back office but Rusnak did not.In regard to (B), Rusnak “was extremely modest in the amount of false profit he claimed so he did not set off the warning flags of large unexplained profits from small operations, which Leeson and Jett at Kidder Peabody triggered in their desire to collect large bonuses.”In regard to (D), Rusnak “had the offsetting advantage that he was ope rating in an over-the-counter market in which there was not a need to put up cash against losses.”53.2 D. (failure to confirm trades)Allen relies on the Ludwig report which, in regard to CONTROL DEFICIENCIES said, “The most critical risk control lapse was in the operation of the back office with respect to confirmation of trades. The ostensible policy at Allfirst treasury was to confirm all trades, as they should be under the basic standard practice in the industry. But Mr. Rusnak was somehow able to bully or to cajole the operations staffer responsible for confirming Mr. Rusnak’ s trades into not confirming all of them. The staffer claims that, due to the absence of any net cash payment and the difficulty in confirming trades in the middle of the night, a decision was made at a meeting in early 2000 attended by other treasury staff senior to him not to confirm offsetting pairs of options trades with Asian counterparties.”In regard to (B), AIB used a VaR but Rusnak manipulated it.53.3 B. (Allen implicates small spot audits, inexperience in FX option, and over-reliance on Rusnak’s character).Of particular interest is the failure of the auditors to use sufficient samples. From the Ludwig report, “In 1999, internal audit of treasury operations underto ok no sample of Mr. Rusnak’ s transactions to see if they had been properly confirmed. In August 2000, a further internal audit of treasury operations sampled 25 transactions to see if they had been properly confirmed. Of those 25, only one was a foreign exchange option (the majority of the transactions sampled were exchange-traded products that had relatively low confirmation risk). The one foreign exchange option sampled turned out to be genuine. Yet roughly 50 percent of the 63 foreign exchange options on the books at that time were bogus. Had the auditors included even just a few additional options in their sample of transactions, the overall probability of detecting a bogus one would have increased dramatically.”53.4 A. (B, C, and D are emphasized)In regard to VaR, AIB did utilize VaR, but (i) it was rendered meaningless by Rusnak’s “gross manipulation” and (ii) the Ludwig report does not assert VaR was inappropriate but rather that “In addition to the use of VaR, AIB should use stress testing a nd scenario analysis to report and control risk. These methods highlight “ long tail” or “ event” risks which, while not probable, can be ruinous.”… this last assertion is quite thematic in the FRM: since VaR does not quantify extreme tail losses, it must be complemented, typically with stress testing and scenario analysis. Additional References:The Ludwig ReportNYU Case StudyQuestion 54: Long Term Capital ManagementAIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Long Term Capital Management(LTCM)Please note: this question is based on the FRM assignment (Steve Allen); he acknowledgessome areas of disagreement with other commentators.54.1 Which best describes the prevailing strategy employed by LTCM in its initial, successfulyears?a)Relative valueb)Event-drivenc)Distressed debtd)Global macro54.2 Which of the following is true about LTCM?a)Some LTCM employees were indicted for fraudb)U.S. government (public) funds were used to bailout LTCMc)LTCM employed value at risk (VaR) modelsd)Regulators and auditors warned abou t LTCM’s leverage54.3 What does Allen call the Achilles heel (i.e., key weakness) in LTCM’s strategy?a)Interest rate exposureb)Liquidity exposurec)Currency exposured)Counterparty exposure54.4 Each of the following contributed, directly or indirectly, to LTCM’s problems EXCEPT for:a)Salomon Brothers liquidation of positionsb)LTCM seeking new equityc)Russian debt defaultd)Narrowing of interest rate spreads54.5 How does Allen criticize LTCM’s usage of value at risk (VaR)?a)For not using VaRb)For not using a longer horizonc)For not using a higher confidenced)For not using a liquidity-adjusted VaR54.6 The lessons learned from LTMC include EACH of the following EXCEPT for:a)Better use of stress tests in assessing credit riskb)Need for initial margin if counterpar ty’s principal business is tradingc)Need to train new personnel in compliance, disclosure and capital requirementsd)Need to incorporate endogenous and exogenous liquidity risksAnswers:54.1 A. (relative value;a.k.a. “convergence trade,” primary of fixed i ncome)Steven Allen (assigned) gives the example of a converge trade on the spread between U.S. interest rate swaps and U.S. government bonds.In regard to (D), this is arguably an acceptable answer in their later years as they “style drifted” into directional exposures.54.2 C. (LTCM did employ VaR models, but they failed to “supplement VaR with a full set of stress test scenarios”).In regard to (A), (B), and (D): none are true! The Federal Reserve coordinated (coerced?) the consortium of creditors, but no public bailout money was spent; nobody was accused of fraud, no legal accusations were made; and finally, no regulators or auditors made any warnings (although leverage was high at 28:1 but comparable to investment banks at the time)54.3 B. (liquidity exposure to margin calls)The key to Allen’s interpretation is that LTCM was able to avoid positing INITIAL MARGIN in over-the-counter markets (due to its “track record of excellent returns”) which exacerbated its sensitivity to ongoing margin calls, in the event of spread divergence (rather than the hoped-for convergence): “Because they were seeking opportunities where market pressures were causing deviation from long-run relationships, a strong possibility always existed that the same market pressures would push the deviation even further. LTCM would then immediately need to come up with the cash to fund the change in market valuation.”54.4 D.Narrow spreads (convergence) was their strategy; a “flight to quality” caused temporal divergence.In regard to (A), Salomon has similar positions to LTCM, so their selling made the situation worse.In regard to (B), LTCM seeking equity created two problems: 1. rumors drove prices down further, and 2. LTCM was forced to disclose position information.In reg ard to (C), the Russian debt default was the “event risk” trigger54.5. D.Allen: “Another point on which LTCM’s risk management could be criticized is a failure to account for the illiquidity of its largest positions in its VaR or stress runs.”54.6 C.In regard to (D), Allen writes of the need for “Factoring the potential costs of liquidating positions in an adverse market environment into estimates of the price at which trades can be unwound. These estimates should be based on the size of positions as well as the general liquidity of the market.” Note: size of position refers to endogenous liquidity risk; liquidity of market refers to exogenous risk.Additional reference:PRMIA Case StudyQuestion 55: MetallgesellshaftAIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Metallgesellschaft55.1 The Metallgesellschaft case highlights each of the following risks EXCEPT for:a)Funding liquidity riskb)Basis riskc)Roll (rollover) risk, in contangod)Lack of management supervision (operational risk)55.2 Allen draws EACH of the following lessons from Metallgesellschaft EXCEPT FOR:a)It is inappropriate to hedge long-term contracts with short-term hedges\b)Short-term hedges against long-term contracts can succeed with proper risk controlsc)Because roll risk is key and uncertain, conservative valuation reserves for roll cost arenecessaryd)Liquidity considerations may require a hedge that is appropriate but not the theoreticalminimum varianceAnswers:55.1 D.In regard to (A), (B), and (C), the primary issue highlights all three risks: MG hedged shortpositions in long-term forward with long positions in short-term futures contracts (stack-and-roll). In the shift to contango, the roll return become negative and the DAILY SETTLEMENT ofthe futures contracts (unlike the forward contracts) exposed the BASIS RISK of the hedge and,ultimately, the essential FUNDING LIQUIDITY RISK problem.55.2 A.Allen says “it is often a key component of a market maker’s business strategy to extend availableliquidity in a market. This requires the use of shorter-term hedges against longer-termcontracts.”In regard to (B), (C), and (D): these reflect Allen’s key lessons.References:Super-annotated GARP Sample QuestionStudy Notes on Metallgesellschaft6-min video on MGQuestion 56: Banker’s TrustAIM: Describe the key factors that led to and the lessons learned from thefollowing risk management case studies: Bankers’ Trust.56.1 Allen divides financial disasters into three b road categories. Where does he slot Bankers’Trust?a)Disaster due to misleading reportingb)Disaster due to large market movesc)Disaster due to conduct of customer businessd)All of the above56.2 Which is true about the issue between Bankers’ Trust and Procter & Gamble (P&G)?a)P&G was a new c lient to Banker’s Trust in 1994b)The transaction at issue was a complex interest-rate derivativec)The intent of P&G was to implement a tailored hedged)Banker’s Trust asserted its fiduciary role with respect to P&G56.3 According to Allen, lessons learned from Bankers’ Trust included each of the followingEXCEPT for:a)Complex transaction make comparison shopping difficult and make clients moredependent on advisorb)Price quotes provided to customers should be made by an independent back officec)People and firms should be cautious about communications (e.g., email) that can later bemade publicd)Some transactions are sufficiently complex that their costs outweigh their benefitsAnswers:56.1 C.4.3 Disasters due to the cond uct of customer business: “In this section, we focus on disasters that did not involve any direct financial loss to the firm, but were completely a matter of reputational risk due to the conduct of customer business”56.2 B.The “sheer complexity” of the transaction was at the heart of the dispute and appears to generally not be in dispute.In regard to (A), P&G “had been entering into such trades for several years prior to 1994 with good results.”In regard to (C), P&G was seeking to REDUCE FUNDING COST (consequently that had directional exposure to a rise in interest rates) and “the derivatives were not tailored to any particular needs of P&G or Gibson”In regard to (D), BT asserted that it was NOT acting in an advisory (fiduciary) role to P&G, since the firm had retained its own outside experts to create interest rate forecasts. Notice how this issue resembles Goldman Sachs’ position with respect to the ABACUS transaction.56.3 D.In regard to (A), (B), and (C), these are all lessons learned. In regard to (A), Allen is particularly critical: he thinks the complexity of the transaction, since they “hadn’t been tailored to meet client needs,” was a deliberate aspect of the manipulation by Bankers’ Trust.In regard to (D), please note COMPLEXITY is fundamental to the case. However, Allen says the lesson was not that complex transactions should be avoided but rather that the scandal caused firms “to tighten up their procedures for dealing with customers, both in better controls on matching the degree of complexity of trades to the degree of financial sophistication of customers …”… so this is rather an issue of complexity with regard to client suitability.。

泽稷网校——FRM冲刺阶段舍弃教材只看notes是否明智

泽稷网校——FRM冲刺阶段舍弃教材只看notes是否明智相信很多同学在备考FRM时会有这样的疑问，我们到底需要复习哪些资料，教材那么厚到底需不需要看？首先从我个人经验角度来讲，在FRM最初报名的时候，我是本着先notes后教材的原则。

但由于各种事情的耽搁，我最后真正的备考只用了不到一个月的时间，再加上我的一些金融会计基础，教材基本上是没看过的。

所以，如果大家的目标仅是想通过FRM一级，在时间不够的情况下，教材是可以舍弃的。

只需要细心研读notes，然后在考前阶段多加练习模拟试题，FRM 是完全可以通过的。

但是对于一些对自己要求比较高的同学，我建议大家还是要多翻阅教材，尤其是教材每一章节后的练习题，都是和考试类型特别接近的题型。

很多在考试中取得高分的同学在分享经验的时候都会提到要多做教材课后习题这一点。

对于一些知识点，在notes中可能讲的并不详细，在这种情况下，我觉得我们应该要回到原版教材中，教材里的描述还是非常详尽的。

下面泽稷小编来给大家送几个学霸备考方法，帮助大家一次性高分通关！学霸方法一：提高复习的有效性最后9天的FRM备考时间，大家要提高复习的有效性，即充分合理利用备案卡时间，让备考时间都用在刀刃上，落实对自己知识漏洞的补充。

有效的学习FRM冲刺课程中老师讲解的重点内容。

注意把握每一节课的重点和核心，及时反馈自己的问题。

通过反复的、阶段循环式的针对检查证实漏洞来提高复习效果，使FRM考试知识系统化。

学霸方法二：提高知识的系统性大家都有这样的经历，在冲刺阶段学习到的东西更容易忘记，主要是这个阶段大家的压力比较大，抢记知识点属于短暂性记忆，当时是记住了，第二天就容易忘记。

大家在这段时间学习的内容比较多，容易记混记错。

所以，在金融风险管理师的复习过程中，大家要注意分析在知识面与能力方面暴露的缺陷，理清知识的条理。

找出知识点之间的内在联系，系统巩固知识，形成一个由知识点到知识面、最后到知识网络的综合体。

2011-2012FRM备考详尽学习笔记

2007年note Topic 35波动率微笑1. 理解为什么在计算看涨期权和看跌期权价格时，所使用的隐含波动率（implied volatility）是相同的：这是根据put-call parity得出的，并不受关于股票价格分布的限制。

2. 实证研究表明：外汇期权（foreign currency option）隐含波动率呈现出微笑的形态（当strike较大或较小的时候，波动率会变大）——因为参与外汇期权的人们预期汇率发生大幅波动的可能性要大于由对数正态分布模型中所预测出的概率。

3. 股票期权（equity option）隐含波动率呈现出半笑的形态（向左偏：当strike较小时，波动率会变大）——人们认为股票价格下跌的可能性要大于其上涨的可能性。

原因：leverage效应：标的资产的价值与其波动性成反比；crashophobia效应：人们恐惧股灾的出现，因此对股票价格下跌提供保护的期权定以较高的价格(只是表明在实际中，标的资产价格下降的概率要大于BS 公式中所假设的那样，但并不意味着随着股票价格降低波动率会提高)。

————这是探究波动率与施权价的关系。

4. 波动率期限结构（volatility term structure）：平价期权的波动率与期权到期期限之间的关系——当短期波动率非常低时，波动率函数是距离到期期限时间的增函数；当短期波动率非常高时，波动率函数是距离到期期限时间的减函数（与波动率的均值回归性质有关）。

————这是探究波动率与到期期限的关系。

5. Volatility surface：同时考虑了期限结构和微笑效应，即同时考虑了strike和maturity term。

因此交易者可以使用volatility term structure和surfaces来判断一个期权定价模型得出结论的准确性和一致性。

6. 在计算期权的Greek的时候所遵守的两大原则：i. sticky strike rule(期权的隐含波动率在短期内应当是保持不变的)；ii. sticky delta rule（期权价格和标的价格与施权价格的比率之间的关系应当是保持不变的，根据这个假设得出的delta要大于由BS公式得到的delta）。

CFA level study schweser notes

目录SESSION 15 2LOS 51固定收益债券：基本元素2LOS 52固定收益债券：发行，交易和融资 9 LOS 53固定收益估值简介‘14 LOS 54资产支持证券介绍 26SESSION 16 38LOS 55固定收益的风险和回报 38LOS 56信用基本面分析51SESSION 17 67LOS 57衍生证券市场与工具 67L0S 58衍生品定价和估值基础 70LOS 59风险控制的期权策略应用 83 SESSION 18 88LOS 60另类投资介绍 88Session 15LOS 51固定收益债券：基本元素■考试要点这里的重点是学习债券的基本特点和记住债券的术语。

主要内容是债券的息票结构和债券里内嵌的期权：回购期权，回售期权和转换（成普通股）期权。

债券价格，收益率和评级有两个关于固定收益很重要的点，我们将在之后的固定收益学习中继续说明，但是如果在总论里阅读对你是有很帮助的。

s• 最普通的固定收益类型是一个债券承诺支付一系列固定额度的利息和到期支付本金。

当市场利率（债券收益率）增加时，债券价值减少。

因为当所用的折现率增加时，承诺支付的现金流的现值减少。

•债券是根据其相对违约（不能支付承诺的现金）的概率来进行评级的。

因为投资者倾向于更小违约率的债券，更低信用质量的债券应该支付投资者更高的收益以弥补其更大的违约率。

如果其它情况一样，债券评级的降低（违约率增加）将减少债券的价格，因此增加其收益率。

LOS51.a:描述固定收益债券的特征固定收益债券的特征:债券发行人债券到期曰债券面值（归还的本金价值）票面利率和付息频率计价货币债券发行人有许多组织可以发行债券来融资，包括：企业，一般分为金融企业和非金融企业。

国家政府，一个典型的例子是美国国债，许多国家均有发行国债。

非国家政府，由政府机构发行的债券，例如加利福尼亚或多伦多城。

准政府机构，一个典型的例子就是房利美。

I超政府机构，由诸如世界银行，欧洲投资银行，国际货币基金组织发行的。

FRM-中文NOTES(1)

前言FRM是全球金融风险管理领域的资格证书，由美国“全球风险协会”（GARP）设立。

GARP 是一个拥有来自超过150个国家的8万多名会员的世界最大的金融协会组织之一，主要由风险管理方面的专业人员、从业者和研究者组成。

其主要职能是通过信息交换，实施教育计划，提高金融风险管理领域的标准。

FRM考试始于1997年，在中国北京、上海，香港，台北设有考点。

FRM考试虽然设立时间不长，但发展极为迅速，已经得到华尔街和其他欧美著名金融机构与大型公司风险管理部门以及政府监管层的认同，并已经初步成为风险管理领域的最权威的认证。

FRM涵盖众多领域，包括数量分析、市场风险、信用风险、操作风险、基金投资风险、会计和法律等内容。

在今日错综复杂、瞬息万变的金融市场上，风险往往难以掌握。

在金融市场困境或有危机发生时，有效管理风险往往成为企业成功的关键。

而这一攸关企业组织及其投资人命运的重要决策，需要众多的金融风险管理专业人士(Financial Risk Professionals)的参与，故FRM 日益受到重视，全球报考人数以每年超过38%成长，已俨然成为全球瞩目的国际风险管理证照。

在国内正日益受到国家金融监管机构以及各家金融机构的重视，对金融风险专业人员的需求日益壮大。

秉承“服务社会，帮助他人，成就自己”的价值观，金程教育始终以“专业来自百分百的投入”全心全意地为客户持续创造价值。

我们拥有一支自主、强大的财务金融培训研发团队，经过九年的实践和积累，已经自主开发了一系列针对CFA FRM等课程的辅导书籍，如《固定收益证券定价理论》、《投资组合管理》、《金融衍生产品》、《权益类证券定价》，这些书籍汇聚专家视角，权威新颖、紧贴时事，为各类金融进修学员提供全新的金融视野，广受各界好评，并被许多高校选为专用教材。

本书是金程教育权威师资与研究团队在金程内部浩瀚的教材、国内外权威备考辅导资料、各类题目组成的资料库基础上，根据考试大纲指定内容编制的中文辅导教材，全面涵盖考试内容，可以让学员迅速掌握考试内容的知识要点，便于其后的英文教材的学习领悟和掌握，具有极高的参考价值。

FRM学习笔记怎么记？著名的康奈尔笔记法强烈推荐

FRM学习笔记怎么记？著名的康奈尔笔记法强烈推荐康奈尔笔记是由沃尔特·波克博士发明的一种被广泛应用于听课、阅读、复习和记忆材料的笔记记忆法。

应用这一笔记法能够让你的笔记专业化，使你积极融入到知识的创造中去，提升你的学习力，进而帮助你取得学习成效。

>>>点击领取2019FRM备考资料大礼包（戳我免费领取）对于FRM的学习，做笔记是我们进行课后复习的重要方式，也是我们巩固知识的必需方法。

笔记在FRM备考中也是一个关键的方面。

今天，小编将这个高效学习的康奈尔笔记分享给大家，希望大伙儿可以在一定程度上结合自己的实际情况开展应用，提升自己的FRM学习成果。

第一步：笔记本的准备1.准备出一个专门的笔记本。

2.画一条水平线，连接纸的左右两端的边线。

这条线会把页面的上下两部分比例划分为3:1，距离页面底端留出2英寸的空隙。

这块是预留出来做总结的区域。

3.在左侧画一条垂直的线。

这一竖线应该在距离左侧边线约2.5英寸的地方。

这一块是用来复习的区域。

4.如你所见，在页面右边多出了很大的一部分空白。

这一块是用于做听课笔记或者读书笔记的区域，让你可以有充裕的空间来记录一些关键点。

5.当然，如果你不想过于繁琐，那么，你可以应用在网上下载的模板。

你可以把“康奈尔风格”的模板打印出来进行使用。

第二步：笔记记录1.在页面顶端写上你的课程名称，日期，讲课的题型或者所读书目的标题。

持之以恒这样做，那样会让你的笔记更为系统，并且当你复习的时候也更加易于找到你想要复习的那部分内容。

2.在每页最大的一块区域记笔记。

当你在上课或者阅读的时候，只能把笔记记在右手边的区域。

笔记应该包括：老师在黑板上的所有板书内容或者是幻灯片中的内容。

3.利用笔记做主动学习，包括主动的听讲和阅读。

如果你的老师这样子说：“XXX的三个最重要的含义是……”或者“XXX现象发生，是由两个基本的原因导致的，”那么，这样的信息就应当被记到你的笔记之中。

FRM备考资料：教材、notes、学习方法等解读

高顿FRM 官网：
FRM 备考资料：教材、notes 、学习方法等解读 FRM 备考资料疑惑：FRM 教材如何抉择？每个要开始准备FRM 考试的同胞，基本都会有这样的疑惑？FRM Handbook 和notes 有什么区别？看哪个呢？其实，FRM 君身边有很多通过FRM 的考生，比如Alice 只看Handbook FRM 一级二级都过了，也有的只看Notes 也在去年11月通过了一级。

所以说这要根据个人情况去选择，无论你选择哪个作为自己的复习资料，只要你能够把书上的知识点都把握而且可以灵活运用。

如果你可以做到这一点，那么everything is so easy ！！
Handbook 的好处就是重点集中、逻辑清晰且来源官方，缺点是更新慢没有包含许多新内容。

Notes 的优点是包含很多很多新内容，总之考试“接地气”，应考足矣！缺点是缺乏逻辑、内容繁多、累觉不爱。

所以，两种教材的选择纯粹是个人偏好，最完美的选择当然是先过一遍handbook ，形成整体感觉，然后看notes 。

但由于人性的弱点或者各种奇葩的原因，这基本是不可能的。

无论选择哪个教材，认真学习加以做题，我相信结果一定不会差的！
不知道Handbook 和Notes 看哪版？在哪下载？FRM 君已经整理好啦，而且，不止这些哦，FRM 题库、历年真题、core reading 、免费培训视频、词汇、百题等都打包好啦，关注"FRM 金融风险管理师"免费领取！。

FRM学习笔记,整理的很清晰

FRM学习笔记,整理的很清晰市场风险期货1. 市场风险重要的5个原因：1、management information （将风险暴露和资本相⽐较）2、设定限额3、resoure allocation4、performance evaluation5、监管2. 巴塞尔协议对市场风险的计量包括标准⽅法（固定收益、外汇、权益等）和内部评级法。

3. 成功期货合约的三个性质是标的资产的深度市场，资产价格要有⾜够的波动性以及风险控制不能以直接的⽅式进⾏。

4. 含有carrying cost 的forward price：，I 就是期间产⽣的现⾦流rt e I S F )(00?=5. forward contract 的定价：（连续cash flow ⽀付），没有现⾦流的话.S 为spot price，K 为执⾏价格。

rt qt Ke eS V =0rt Ke S V ??=06. 股指期货的beta 调整策略（⽐如说完全对冲系统风险）：A P N )(*ββ?=,其中前⼀个β是对冲后的，后⾯的是对冲前的β，P 是组合的价值，A 是对冲资产的价值，⼀般是单位标的资产的价值×乘⼦。

7. 对冲权益组合所需的股指期货的份数＝期货乘数期货价格组合价值××portfolio β，portfolio β是组合相对于基准的β，如果股指期货本⾝也有β的话，则所需份数＝期货乘数期货价格组合价值×××future portfolio ββ，这时要和上⾯的beta 调整策略区分开。

8. 最⼩⽅差对冲公式为：FS F S h σσρ),(=,⼀般⽤于外汇期货，要记住即期价格的波动性是作为分⼦的。

注意期权的delta 对冲率就是计算出N()来，还有delta-gamma netrual 对冲。

1d 9. 商品期货中有cost of carry ,U 指的是储存成本。

rte U S F )(00+=10. 如果,就称之为normal backwardation（现货溢价），此时就会卖出期货合0)(F S E T >约，称之为净卖空；反之称之为Contago，所以当期货价格上升⼤于spot )(0T S E F >price 的时候，就会发⽣contago（模拟题）。

FRM学习笔记SchweserBookIINotes

Chapter 21 Structural Hubs: Clearing Houses, Derivative Product Companies, and Exchanges本章主要介绍衍生品交易中的主体：清算所、专营衍生品的公司、交易所衍生品交易商一般来说都是较为大型的金融机构，由于交易基本都集中于这些机构，所以导致违约风险的集中。

清算所是一种信用的体现，所有的买方和卖方最终都是与其进行交易，清算所用来管理风险的方式有以下集中：✓设定交易会员的资格(include a minimum level of capital, posting of surety bonds)✓设定保证金水平✓监控会员的信用评级(credit surveillance, monitoring of members)交易所是一个交易的平台，它设定参与交易者的必要资质，同时也设立保证金制度，以防止违约的出现。

OTC交易中所订立的条款可能更为符合交易双方的需求，但是其流动性则没有交易所中的标准合约那么好。

OTC交易中经常需要交易双方提供抵押物（Collateral），抵押物的种类和抵押比率则由各个交易所规定。

保证金的设置并不能完全规避违约风险，当一天内价格波动异常剧烈时，违约仍有可能出现。

Market to Market，即逐日盯市。

交易所与清算所的关系Clearing Houses can be dedicated to a specific exchange or serve several exchanges.Limitation of Structural Hubs✓逐日盯市仅限于那些每日都可以以公允价值计量的资产✓Netting需要交易双方同时对对方享有权利和义务✓标准化合约的流动性要远远强于非标准的合约✓对交易的监管尚需透明化（Transparency），这对于降低交易成本是有利的✓Structural Hubs的建立需要较为漫长的过程，所以交易所之间趋向于合并，而非建立新的交易所。

schwesernotes备考笔记一级frm

SchweserNotes备考笔记一级FRM1. 介绍SchweserNotes备考笔记是专门为金融风险管理（FRM）考试准备的一套教材，分为一级和二级两个阶段。

本文将重点介绍一级FRM备考笔记的内容和特点。

2. 内容概述一级FRM备考笔记涵盖了金融风险管理考试的核心知识点，包括市场风险、信用风险、操作风险、投资组合风险等。

通过系统地学习和掌握这些知识，考生可以为考试做好充分准备。

3. 特点介绍一级FRM备考笔记具有以下几个特点：- 全面：涵盖了考试的所有必备知识点，且每个知识点都有详细的讲解和案例分析，帮助考生全面理解和掌握。

- 系统化：内容结构清晰，逻辑严谨，帮助考生建立起完整的知识体系。

- 实用性强：笔记中不仅有理论知识，还包括大量的实践案例和解题技巧，帮助考生更好地应对考试。

- 更新及时：随着市场和监管政策的变化，一级FRM备考笔记会不断更新，保证内容的新鲜和全面性。

4. 学习建议针对一级FRM备考笔记的学习，建议考生可以采取以下方法：- 根据笔记的大纲和目录，制定学习计划，明确每个知识点的重点和难点。

- 学习过程中要注重理解和记忆，可以适当地做一些笔记和总结，有助于加深印象。

- 另外，针对每个知识点，可以多做一些相关的练习题，巩固所学知识。

- 建议考生在复习阶段，多关注一些实际案例和行业动态，有助于理论知识的应用和拓展。

5. 结语一级FRM备考笔记是考生备战FRM考试的重要学习资料，具有全面、系统、实用和更新及时的特点。

通过合理的学习方法和认真的复习，相信考生一定能够顺利通过考试，取得优异的成绩。

在一级FRM备考笔记中，市场风险是一个重要的知识点，其涉及到金融市场的波动、价格变动以及相关的风险管理措施。

对于市场风险，考生需要了解不同类型的市场风险，如利率风险、股票价格风险、商品价格风险等，并学会运用不同的金融工具来管理和降低市场风险带来的影响。

信用风险也是备考笔记中的重点内容之一，涉及到信贷风险、违约风险等方面的知识。