Valuation and Risk Models是FRM二級考試知識點，備考中的考生需要對其內容有所掌握。下面是小編所列舉的相關內容，希望對你有所幫助！

Valuation and Risk Models，PART I EXAM WEIGHT | 30%

TOPICS AND READINGS

This area will test a candidate’s knowledge of valuation techniques and risk models. The broad knowledge points covered in Valuation and Risk Models include the following:

To cover these broad knowledge points, a new proprietary book has been created exclusively for FRM candidates.

While detailed learning objectives associated with these readings are presented in the 2021 FRM Learning Objectives document, a brief summary of how to relate these readings to the knowledge points follows.

The first three chapters introduce financial risk measures and models. Chapter 1 examines measures of financial risk and describes measurement frameworks such as the mean-variance approach, Value-at-risk (VaR), and expected shortfall (ES). Chapter 2 covers VaR estimation approaches and applications. Chapter 3 discusses the calculation and monitoring of volatility used in the VaR models.

The next three chapters introduce risk. Chapter 4 describes credit rating and presents a review of external and internal rating methodologies, along with their relative strengths and weaknesses. Chapter 5 explains specific sources of country risk and the use of external ratings in assessing sovereign default risk. Chapter 6 covers the basics of credit risk, specifically expected loss (EL) and unexpected loss (UL), for both individual assets and portfolios, and describes default risk models such as the Gaussian copula model, Vasicek’s model, and CreditMetrics.

Chapter 7 introduces aspects of operational risk and discusses various approaches for determining capital for operational risk. Stress testing, its importance, applications, and practices are explained in chapter 8. Chapters 9 through 13 focus on risk management for fixed income securities. The first three chapters cover the various tools of fixed income valuation, while Chapters 12 and 13 cover risk metrics and hedging.

The last three chapters discuss key elements of option pricing and option sensitivities. Chapters 14 and 15 cover option valuation using binominal trees and the Black-Scholes-Merton model. Chapter 16 presents applications of options for hedging and risk management.

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