在FRM二級考試中，有很多公式是需要考生所掌握的。因為在FRM考試中是有很多的計算題的。關于FRM二級考試公式，考生需要掌握哪些？下面是小編列舉的，一起了解一下！

Weighted Historical Simulation Approaches：

? Age-weighted: adjusts the most recent (distant) observations to be more (less) heavily weighted.

? Volatility-weighted: replaces historic returns with volatility-adjusted returns; actual procedure of estimating VaR is unchanged.

? Correlation-weighted: updates the variance- covariance matrix between assets in the portfolio.

? Filtered historical simulation: relies on bootstrapping of standardized returns based on volatility forecasts; able to capture conditional volatility, volatility clustering, and/or data asymmetry.

Peaks-Over-Threshold (POT)：

Application of extreme value theory (EVT) to the distribution of excess losses over a high threshold. The POT approach can be used to compute VaR. From estimates of VaR, we can derive the expected shortfall (ES).【資料下載】點擊下載融躍教育金融專業英語詞匯大全.pdf

Backtesting VaR：

? Compares the number of instances when losses exceed the VaR level (exceptions) with the number predicted by the model at the chosen level of confidence.

? Failure rate: number of exceptions/number of observations.

? The Basel Committee requires backtesting at the 99% confidence level over one year; establishes zones for the number of exceptions with corresponding penalties (increases in the capital multiplier).

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