2021年FRM考綱已經更新，關于FRM一級考試中的估值與建模發生了什么變化？隨融躍老師往下看！

估值與建模（Valuation and Risk Models）在2021年FRM考試中占比仍然是30%。

從各個章節上來看，考綱沒有太大的變化，只是幾個別的章節內容略微有所增減。LOS替換部分，沒有較大的實質性變化。無新增，有刪減和調整！

Valuation and Risk Models（估值與風險建模）考綱變化：

Chapter 1. Measures of Financial Risk

Describe spectral risk measures and explain how VaR and ES are special cases of spectral risk measures.

Chapter 2. Calculating and Applying VaR

Explain the full revaluation method for computing VaR.

Compare delta-normal and full revaluation approaches for computing VaR.

Chapter 3. Measuring and Monitoring Volatility

Evaluate the various approaches for estimating VaR.

Chapter 8. Stress Testing

Describe the key elements of effective governance over stress testing.

Describe the important role of the internal audit in stress testing governance and control.

Chapter 13. Modeling Non-Parallel Term Structure Shifts and Hedging

Describe and assess the major weakness attributable to single-factor approaches when hedging portfolios or implementing asset liability techniques.

Describe the key rate exposure technique in multi-factor hedging applications; summarize its advantages and disadvantages.

替換

Chapter 2. Calculating and Applying VaR

Explain the structured Monte Carlo method for computing VaR and identify its strengths and weaknesses. (2021)

Explain structured Monte Carlo and stress testing methods for computing VaR and identify strengths and weaknesses of each approach. (2020)

Chapter 4. External and Internal Credit Ratings

Explain and compare the through-the-cycle and point-in-time internal ratings approaches. (2021)

Explain and compare the through-the-cycle and at-the-point internal ratings approaches. (2020)

Describe the relationships between changes in credit ratings and changes in stock prices, bond prices, and credit default swap spreads. (2021)

Explain the potential impact of ratings changes on bond and stock prices. (2020)

Chapter 7. Operational Risk

Explain how the moral hazard and adverse selection problems faced by insurance companies relate to insurance against operational risk. (2021)

Explain the risks of moral hazard and adverse selection when using insurance to mitigate operational risks. (2020)

Chapter 8. Stress Testing

Explain key considerations and challenges related to stress testing, including choice of scenarios, regulatory specifications, model building, and reverse stress testing. (2021)

Identify key aspects of stress testing governance, including choice of scenarios, regulatory specifications, model building, stress-testing coverage, capital and liquidity stress testing and reverse stress testing. (2020)

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

Explain the importance of stressed inputs and their importance in stressed VaR and stressed ES. (2020)

Describe the responsibilities of the board of directors, senior management, and the internal audit function in stress testing governance. (2021)

Describe the responsibilities of the board of directors and senior management in stress testing activities. (2020)

Chapter 10. Interest Rates

Define spot rate and compute discount factors given spot rates. (2021)

Define spot rate and compute spot rates given discount factors. (2020)

Chapter 13. Modeling Non-Parallel Term Structure Shifts and Hedging

Compute the positions in hedging instruments necessary to hedge the key rate risks of a portfolio. (2021)

Calculate the key rate exposures for a given security and compute the appropriate hedging positions given a specific key rate exposure profile. (2020)