在报名FRM考试之后，考生需要了解考纲的相关变化，今天，详细为大家介绍一下估值与风险模型的相关内容变化！

估值与风险模型考纲变动不大，主要变化在三大风险：市场风险、信用风险和操作风险，以及压力测试章节。知识点进行微调，删除了一些本不重要的考点。

1、Chapter 1 Measures of Financial Risk》》》戳：各科视频讲义+历年真题+22年原版书（PDF版）免·费领取

删除：

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

2、Chapter 3 Measuring and Monitoring Volatility

删除：

1. Calculate conditional volatility using parametric and non-parametric approaches.

2. Calculate conditional volatility with and without mean reversion.

3. Describe the impact of mean reversion on long horizon conditional volatility estimation.扫码咨询

修改：

1. Compare and contrast different parametric and non-parametric approaches for estimating conditional volatility.删除了其中“parametric and non-parametric”，变为Compare and contrast different approaches for estimating conditional volatility.

2. Apply EWMA approach and GARCH(1,1) to estimate volatility. 在后面增加“and describe alternative approaches to weighting historical return data.

3、Chapter 4 External and Internal Credit Ratings

删除：

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

新增：

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

4、Chapter 5 Country Risk: Determinants, Measures, and Implications

删除：

1. Identify sources of country risk.

5、Chapter 6 Measuring Credit Risk

删除：

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

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

新增：

1. 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.

5、Chapter 8 Stress Testing

修改：

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

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

将1&2合并为：Describe the role of policies and procedures, validation, and independent review in stress testing governance.

如果您想了解更多FRM考试相关问题，点击在线咨询或者添加融跃FRM老师微信（rongyuejiaoyu），给您专业的指导帮助！