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FRM Part II
FRM二级前导班
讲师:Henry Liang
1-75
Topic Weightings in FRM Part Ⅱ
Session NO. Content %
Session 1 Market Risk Measurement and Management 20
Session 2 Credit Risk Measurement and Management 20
Session 3 Operational Risk and Resiliency 20
Liquidity and Treasury Risk Measurement and
Session 4 15
Management
Session 5 Risk Management and Investment Management 15
Session 6 Current Issues in Financial Market 10
2-75
Session
1
Market Risk Measurement and Management
3-75
VaR and other Risk Measures
• Estimating Market Risk Measures
Framework • Non-parametric Approaches
• Extreme value
• Backtesting VaR
• VaR Mapping
Risk Measurement for the Trading
Book
Modeling Dependence: Correlations
And Copulas
• Some Correlation Basics
• Empirical Properties of
Correlation
• Financial Correlation Modeling
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