◆了解FRM證照

• 英文全名:  Financial Risk Manager (FRM)
• 主辦單位: 全球風險管理協會(www.garp.com)
• 全球關於金融風險管理的考試不只一種，但以GARP舉辦之FRM最多人選擇報考
• 1997開始舉辦，至2011年中已超過26000人擁有該項證照
• 適合報考人士: 銀行及金融機構從事前台(交易)、中台(風險管理)或後台(交割及會計);基金管理、徵授信、風險管理、稽核、財務工程、軟體、諮詢、上市櫃公司投資部等人士、相關科系研究生

◆拿到FRM證照之價值

• 自從2008年銀行股股價暴跌後，銀行風險管理議題受到各銀行及主管機關高度重視。
• 2000-2001年網路泡沫化，2007-2008年發生次貸風暴及金融海嘯，2010及2011年的歐債危機
• 風險管理的議題在未來一定用的到。參加FRM考試，將更了解(銀行)風險管理的知識體系。
• 職場立於不敗之地:
  *FRM證照已成為銀行風險管理部門的金字招牌。
  *一張證照，同一天考試，同一標準，國際通用。
  *風險管理的觀念在金融界很重要，一個有風險管理的知識的人，會比沒有風險管理知識的業界人士，長期而言更容易成功!
  

◆全球雇用FRM最多的前二十個機構

• ICBC
  
• HSBC
  
• Bank of China
  
• Citi
  
• KPMG
  
• Deloitte
  
• Deutsche Bank
  
• Agricultural Bank of China
  
• Ernst & Young
  
• Samsung
  
• ING
  
• Standard Chartered
  
• Credit Suisse
  
• JP Morgan
  
• Barclays
  
• BBVA
  
• ICICI
  
• Bank of Communications
  
• UBS
  
• PwC

FRM Historical Pass Rates, 2001-2011

◆FRM自2010年改成兩部分考試

• 分成Part 1(P1)及Part 2(P2)考試
• P1考試有100題選擇權，L2考試有80題選擇權。
• P1考試時間為早上8:00-12:00，P2考試時間為下午2:00-6:00
• 過關標準為全球考生中最top 5%得分之七成左右
• 可同時報考P1+P2，如果P1通過但P2沒過，仍保留P1成績，但如果P1沒過但P2過，則P2不計; 如果P1和P2都過，則恭禧你!
• P1考過的資格，可保留四年 通過P1者，可以在履歷表上表達:“FRM Program – Passed Part I“
• 2012年P1/P2考試時間: 五月及十一月的第三個星期
  *2012年5月19日大考
  *2012年11月17日大考
  

◆2012年5月要考FRM  P1/P2者，報名費用分成兩個部分，愈早報愈便宜!

◆至GARP網站完成考試報名作業，並以信用卡付費

• 報考資格: 任何人均可報考(學生也可以考)
• 網路註冊繳費: 直接在網站上報名考試，利用信用卡線上繳費(國內的信用卡都可以成功扣款)
• 報名時姓名英文拼字請和護照上相同，並要攜帶有效護照，考場會檢查
• 報名後會收到一封email，確認註冊OK
• 金證照公司將會在網站公佈2011年網路報名之逐頁說明檔，免費供準考生參考

◆取得證照過程

• 通過P1及P2考試
• 需「相關」工作經驗滿二年，才可以在網站上(Resume builder)向GARP提出您的工作經驗
• 要在通過P2考試五年內提出工作經驗的申請
  p.s. 如果考過P2，但工作條件未滿2年，可以在履歷表中表達: FRM Program – Passed Parts I & II或自稱為FRM Holder (vs. Certified FRM Holder)
  

Foundations of Risk Mgmt

• The role of risk management
• Basic risk types, measurement and management tools
• Creating value with risk management
• Modern Portfolio Theory (MPT)
• Standard and non-standard forms of the Capital Asset Pricing Model (CAPM)
• Single and multi-index models and the Arbitrage Pricing Theory (APT)
• Risk-adjusted performance measurement
• Enterprise Risk Management
• Financial disasters and risk management failures
• Case studies
• Ethics and the GARP Code of Conduct

◆Quantitative Analysis

• Discrete and continuous probability distributions
• Population and sample statistics
• Statistical inference and hypothesis testing
• Estimating the parameters of distributions
• Graphical representation of statistical relationships
• Linear regression with single and multiple regressors
• The Ordinary Least Squares (OLS) method
• Interpreting and using regression coefficients, the t-statistic, and other output
• Hypothesis testing and confidence intervals
• Heteroskedasticity and multicollinearity
• Monte Carlo Methods
• Estimating correlation and volatility using EWMA and GARCH models
• Volatility term structures
• Quantifying volatility in VaR models
  

◆Financial Markets & Products

• Mechanics of OTC and exchange markets
• Forwards, futures, swaps and options
• Mechanics
• Pricing and factors that affect it
• Uses in hedging and hedging strategies
• Delivery options
• Interest rates and measures of interest rate sensitivity
• Derivatives on fixed income securities, interest rates, foreign exchange, and equities
• Commodity derivatives
• Foreign exchange risk
• Corporate bonds
  

◆Valuation & Risk Models

• Value-at-Risk (VaR)
  * Applied to stock, currencies, and commodities     
  * Applied to linear and non-linear derivatives    
  * Applied to fixed income securities with embedded options    
  * Structured Monte Carlo, stress testing, and scenario analysis   
  * Extending VaR to operational risk     
  * Limitations as a risk measure    
  * Coherent risk measures
• Option valuation
  *Pricing options using binomial trees
  *The Black-Scholes-Merton Model
  *The “Greeks”
• Fixed income valuation
  *Discount factors, spot rates, forward rates, and yield to maturity
  *Arbitrage and the Law of One Price
  *One factor measures of price sensitivity
• Country and sovereign risk models and management
  *Fundamental analysis
  *Contingent claims approach
• External and internal credit ratings
• Expected and unexpected losses
• Operational risk
• Stress testing and scenario analysis
  

Market Risk Measurement & Mgt

• Fixed income securities
  Duration, DV01, and convexity
  Key rate exposures
  Hedging and immunization
  Risk neutral pricing
  Mortgage-backed securities: structure and valuation
• VaR and other risk measures
  VaR mapping
  Backtesting VaR
  Expected shortfall (ES) and other coherent risk measures
  Parametric and non-parametric methods of estimation
  Modeling dependence: correlations and copulas
  Extreme value theory (EVT)
• Volatility: smiles and term structures
• Exotic options

• Subprime mortgages and securitization
• Counterparty risk and OTC derivatives
• Credit risk concentration
• Credit derivatives
• Types and uses
• Mechanics and structure
• Valuation
• Structured finance and securitization
• The structuring and securitization process
• Agency problems and moral hazard in the securitization process
• Tranching, subordination, and support
• Default risk
• Quantitative methodologies
• Loss given default and recovery rates
• Estimating defaults and recoveries from market prices and spreads
• The use of historical default rates and credit risk migration
• Expected and unexpected losses

• Calculating and applying risk-adjusted return on capital (RAROC)
• Estimating liquidity risk, sources of model risk,
• Evaluating the performance of risk management systems
• Validating VaR models
• Enterprise risk management (ERM)
• Economic capital
• Operational loss data    
  *Frequency and severity distributions     
  *Modeling and fitting distributions     
  *Data sufficiency     
  *Extrapolating beyond the data     
  *Failure mechanics of dealer banks
• Regulation and the Basel Accords     
  *Minimum capital requirements   
  *Methods for calculating credit, market, and operational risk
  *Liquidity risk management     
  *Modeling risk aggregation    
  *Stress testing     
  *Revisions to the Basel II Accord     
  *The Basel III framework

• Portfolio construction
• Portfolio-based performance analysis
• Tests of the Capital Asset Pricing Model (CAPM)
• Portfolio and component VaR
• Risk budgeting
• Risk monitoring and performance measurement
• Hedge funds
• Hedge fund strategies
• Due diligence and fraud detection
• Liquidity
• Risk management of hedge funds
• Private equity
  

Current Issues in Financial Markets

• Subprime mortgages, securitization, and subprime CDOs
• Causes, consequences, and lessons learned from the current crisis
• Impact of financial development on risk
• Sovereign risk
• Historical view of sovereign defaults
• Interpreting sovereign spreads
• The U.S. and Irish credit crisis
• The Flash Crash
• The Lehman collapse
• Central counterparties
• Sound compensation practices
  

◆準備考試的過程

• 2011年P1/P2考試的Study Guide及AIM可在金證照網站查詢，2012年的考綱及AIM將在2011年12月1日公佈
• 2011年的AIM共有81個Readings，P1有411個AIM，P2有426個
• Study Guide中列出教科書(Core Readings Course Packs)及其章節。
• 2012年的教科書GARP將統一編訂，方便考生使用。目前訂價為part 1約250元美金(實體版，要加運費)，part 2約250元美金(線上版)/或370元美金(實體版)
• FRM考試書籍官方網站相關資訊網址: http://garpdigitallibrary.org/display/frm_course_pack.asp
• 註冊考生可以在線上(Digital Library)免費下載歷屆考題(Practice Exam)參照，考古題出現機率約1成
• 參加本公司為您設計的2012年FRM的全修解題課程，是最有系統性及最保險的方式，也會讓你過關率增加一倍以上
• 自修者可以購買參考書(Schweser FRM Essentials)自行有系統的閱讀(報價9700元)
• 不管用何種方式，P1或P2的準備時間均要超過200個小時以上，準備得愈多則愈有心得，也愈能運用在職場上

◆參加FRM輔考班，金證照為首選

• 金證照FRM課程為台灣唯一連續五年都受到GARP總會認可的FRM考試輔導機構:
  http://www.garp.org/frm/test-preparation/current-course-providers.aspx 
  (金證照英文名稱在該名單上為Gocharter Company)
• 師資最整齊(Terrence, 中山、齊菲、Steven、王拓等組成全國最強FRM師資)
• 辦學經驗最豐富: 金證照開FRM班已達九年(2003-2011)，為全國開班次數最多的機構
• 課程設計最好: 上課+小考+模考+解題+總複習
• 金證照FRM學員參加FRM 2011年上半年 P1/P2考試的錄取率為58%/89%， 全球平均為53%及62%。金證照擊敗大盤!
  

2012年下半年P1全修解題複習班課程表http://www.gocharter.com.tw/frm/f08.htm

2012年下半年P2全修解總複習題班課程表http://www.gocharter.com.tw/frm/f10.htm