CFA考綱剛剛更新完我們FRM的小伙伴就按奈不住來咨詢關于2019FRM一級考綱的相關問題。在今天就讓澤稷網(wǎng)校帶大家了解下2019FRM一級考綱變化，看看與2018年考綱對比變化有多大！

FRM一級考綱變化內容：

風險管理基礎

占比20%，本次考綱基本沒有太大變動，只對于部分考點進行了新增、刪減和修改，具體來看。

新增考點

新增的考點是在Data aggregation and risk reporting這里，考察監(jiān)管者在監(jiān)控、實施風險數(shù)據(jù)匯總和報告中的作用。具體LOS是：Describe the role that supervisors play in the monitoring and implementation of the risk data aggregation and reporting practices.

刪減考點

刪減掉了Chapter 2的一條考點，Explain considerations and procedures in determining a firm’s risk appetite and its business objectives.

2019年對于公司風險偏好、經營目標的考慮因素和程序這一部分的內容不再要求。

修改考點

1.Describe the economic mechanisms through which the mortgage crisis amplified into a financial crisis.

需要考生們掌握抵押貸款危機擴大到金融危機的經濟機制。

2.Describe the build-up to the financial crisis and the factors that played an important role.

原考綱說的描述短期債務尤其是回購協(xié)議、商業(yè)票據(jù)的脆弱性，而今年是考察金融危機的積累性，以及在其中發(fā)揮重要作用的因素，所以可以看到考察的范圍其實會更廣、涵蓋內容更豐富。

3.Describe the historical background and provide an overview of the 2007–2009 financial crisis.

原考綱說的是觸發(fā)金融危機的機制和脆弱性，而今年的考點是掌握2007-2009金融危機的歷史背景和危機的整體情況。

數(shù)量分析

數(shù)量分析更新相關性和Copulas函數(shù)；

金融市場與產品

新增

1.新增了關于股票指數(shù)期貨的考綱，具體LOS：

Explain how to use stock index futures contracts to lock in the benefit of a stock selection.

今年新增查考如何用股指期貨鎖定選股的benefit。

2.新增了關于股指套利策略的考綱，具體LOS是：Explain how an index arbitrage strategy works.

3.增設了關于SPV的考點：

Explain the use of special purpose vehicles(SPVs)in the OTC derivatives market and the risks associated with them.

4.新增考點：Calculate and explain the effect of an appreciation/depreciation of a currency relative to a foreign currency.

5.新增考點：

Explain the purchasing power parity theorem and use this theorem to calculate the appreciation or depreciation of a foreign currency.

6.增加了關于提前償付權prepayment option對于MBS定價的影響，具體LOS如下：

Describe the effect of the prepayment option on the price-rate behavior of MBS.

7.新增考點：

Calculate a continuous lease rate for a commodity asset.新增了計算大宗資產的continuous lease rate的考點。

修改的內容：

1.Describe the use of mortality tables and calculate the premium payment and the expected payout for a policy holder.

2.Explain the operation of a margin account and describe the rationale for margin requirements.

3.Describe Treasury rates,LIBOR,repo rates,and overnight indexed swap(OIS)rates,and explain what is meant by the“risk-free”rate.

4.Explain put-call parity and apply it to the valuation of European and American stock options with dividends and without dividends.

這次的考綱中特別增加了with dividends and without dividends這幾個詞，也就是，考生需要掌握在有股息和無股息兩種情況下，研究歐式、美式期權的定價。

5.Explain the relationship between the lease rate,the convenience yield,and the storage cost.要求掌握Lease rate和storage cost的關系。

估值和風險模型

新增

1.Explain how the parameters necessary to construct a binomial tree match the volatility of the underlying asset.

二叉樹一直是考察的重點，這次要求考生掌握如果運用必要的參數(shù)搭建二叉樹，從而匹配資產的波動率。

修改

1.Explain the estimation of conditional volatility using parametric and non-parametric approaches.

2.Define and calculate the delta of a portfolio.

增加了calculate，F(xiàn)RM要求考生們除了了解以外，還要學會計算組合的delta.

3.Apply key rate and multi-factor analysis to estimating portfolio volatility given a correlation for each pair of key rates.

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