FRMを英語にしてみたｗ

The Financial Risk Manager (FRM) is a certification for financial risk professionals recognized by the Global Association of Risk Professionals (GARP), headquartered in New Jersey, USA. As of 2018, GARP has announced that there are approximately 56,000 FRMs in 190 countries. Fewer than 1% of Japanese nationals hold the FRM credential.

The FRM certification is widely recognized by global financial institutions and consulting firms because it incorporates many lessons learned from the financial crisis into its curriculum and is a highly challenging exam that focuses on comprehensive risk management, mathematical finance, and financial engineering.

Overview
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To qualify for the FRM designation, candidates must pass both Part I and Part II exams and demonstrate a minimum of two years of financial risk-related work experience within five years of passing the exam.

Examination Dates - May and November each year

Examination site - GARP-designated examination sites worldwide

Examination format - Mark-sensitive (Part I - 100 questions, Part II - 80 questions), in English only

Duration - 4 hours for each part

Pass Score - Average score of the top 5% of candidates x 70%.

Pass Rate - May 2018 Part I : 41%, Part II : 53%.

Exam Eligibility - There are no specific restrictions on eligibility, but the questions will assume a working knowledge of mathematical finance, financial engineering and financial risk-related fields at the master's level or above.

Curriculum
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The exam curriculum can be found on GARP's official FRM Learning Objectives website, which assigns books, scholarly articles, etc. to be referenced for each Learning Objectives.

The following is an overview of the Learning Objectives for 2018 and 2019, with some excerpts from the Learning Objectives from the official GARP website.

Part I Examinations
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This course deals with the fundamentals of probability and statistical theory, financial markets, and risk management, which are the basis of financial engineering.

Percentage of contentFoundation of Risk Management
Foundation of Risk Management20%.

Foundation of financial risk measurement and management techniques

Comprehensive Risk Management (English version)

Recent financial crises (subprime mortgage crisis, etc.) and examples of risk management failures

LTCM, Metallgesellschaft

2008 Société Générale trading loss, Allied Irish Bank

Sumitomo Corporation (Sumitomo copper affair), Daiwa Bank New York branch, etc.

Modern portfolio theory, multi-factor models

Risk data aggregation and risk reporting

GARP Code of Ethics

Statistical Analysis
Quantitative Analysis20

Fundamentals of Probability/Statistical Theory

Central Limit Theorem, product factor generating function

Normal Distribution, Student's t Distribution, Chi-square Distribution, F Distribution, Lognormal Distribution

Bernoulli distribution, Poisson distribution, etc.

Bayesian Statistics

Hypothesis testing

Linear regression models - single regression analysis, multiple regression analysis, information criterion

Time series analysis

Autocovariance, autocorrelation, Yule-Walker equation, Q-test

Autoregressive models (AR), mean moving models (MA), autoregressive mean moving models (ARMA)

Volatility models - EWMA(p,q) model, GARCH(p,q) model, RiskMetrics

Copulas - Gaussian copulas, Student t copulas, multi-factor copulas

Monte Carlo Analysis

Financial Markets and ProductsFundamentals
Financial Markets and Products30

Structure and role of financial institutions (banking and insurance industry)

Structure of Hedge Funds

Theory and market structure of stocks and bonds

Theory and market structure of derivative products

Types of options (including exotic options) and valuation models

Types and valuation models of futures, forward contracts and commodities

Valuation models for swaps (interest rate swaps, transit swaps, CDS, swaptions, etc.)

Hedging strategies, the role of the Central Clearing Party and its risks

Theories of the foreign exchange market - interest valuation theory

Types and structure of securitization products

Theories of risk valuation models
Valuation and Risk Models30

Value at Risk, VaR and volatility measurement

Measurement of Expected Shortfall

Stress testing and scenario analysis

Option Pricing

Binomial Models

Derivation of Black-Scholes-Merton model from geometric Brownian motion model, Gleick indicator

Bond pricing - term structure theory, DV01, Key rate 01, duration, etc.

Sovereign risk valuation models

Fundamentals of credit and liquidity risk

Expected Loss and Unexpected Loss

Operational Risk Management

Basel Regulations

Measurement (Basic Indicator Approach, The Standard Approach, Advanced Measurement Approach) and Control of Operational Error (KRI, RCSA, etc.)

Part II Examination
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The examination will apply the fundamentals of financial engineering learned in Part I to each risk analysis (market risk, credit risk, liquidity risk, and operational risk), and furthermore, it will test the knowledge of comprehensive risk management. The course also deals with recent financial market topics (the topics of recent financial markets change drastically every year).

Percentage Content Market Risk Management
Market Risk Measurement and Management25%.

Value at Risk (VaR), Expected Shortfall, and Coherent Risk Measure measurements

Non-parametric analysis - time weighted models, volatility weighted models, correlation coefficient weighted models, Filtered-HS models

Model risk measurement through Backtesting VaR

VaR Mapping

Correlation coefficients - Pearson correlation coefficient, Spearman's rank correlation coefficient, Kendall's rank correlation coefficient

Predicting default time using Gaussian copulas and copulas

DV01 Neutral Hedging (linear regression model)

Term structure theory - Binomial model, Ho-Lee model, Vasicek model, Cox-Ingersoll-Ross model, Black-Karasinski model

Volatility Smile

Credit Risk Measurement and Management
Credit Risk Measurement and Management25%.

Credit risk measurement models - Experts-based approach, Statistical-based approach (Merton model, KMV model, etc.), Reduced-Form approach (Linear Discriminant Analysis, Neural Discriminant Analysis) Altman Z-score, Neural Network, etc.)

Derivation of Distant to Default using Single Factor Model and Merton Model

Derivation of Hazard Rate and Default Probability using Exponential Distribution

Measurement of Credit VaR

Waterfall structure and risk management in securitized products

Counterparty credit risk measurement: Credit Value Adjustment, Bilateral Credit Value Adjustment, and stress testing techniques

ISDA agreements - ISDA Master Agreement and CSA articles

Role of the central clearing house and its risks

Wrong-way and right-way risk

Credit risk management in the retail market

Operational and Integrated Risk Management
Operational and Integrated Risk Management25

Operational risk management methodologies (RCSA, KRI, Internal/External Loss Analysis) and Basel guidelines

Operational Risk Measurement Methodology - Basic Indicator Approach, The Standard Approach, Advanced Measurement Approach, Standard Measurement Approach

Risk Appetite Framework and development of an effective IT Infrastructure

Extreme value theory, Peak-Over-Threshold (POT) theory and generalized Pareto distribution

Measuring risk-adjusted returns

Model risk and examples

Fixed income repo market and liquidity risk management (Liquidity VaR, Liquidity at Risk)

Basel Regulatory History and Risk Measurement Methodology - Basel I, Basel I 1996 Amendment, Basel II, Basel II.5, Basel III, Fundamental Review of the Trading Book

Outsourcing Risk and AML/CTF

Portfolio Risk Management
Risk Management and Investment Management15

Risk Management of Illiquid Assets

Portfolio construction and risk management through VaR (Marginal VaR, Incremental VaR, Comonent VaR, Diversified VaR, etc.)

Portfolio alpha measurement and beta anomaly

Hedge fund risk and performance measurement

Hedge Fund Due Diligence

Current Issues in Financial Markets
Current Issues in Financial Markets10

Measuring Credit Risk under IFRS and US GAAP

Artificial Intelligence, Machine Learning and Big Data

Risk Transfer through Central Clearing House

The Collapse of Risk Metrics (VIX and Interest Rate Parity) and the Role of the US Dollar as the Next Risk Metric

The FinTech market

Theories of Corporate Culture

Cyber Risk

FRM certification procedures after passing the exam
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Upon passing FRM Part II, certify at least 2 years of risk-related work on the official GARP website Upon completion of GARP certification, you will be officially registered in the GARP FRM Directory as a FRM credential holder, which can be found on the official GARP website.

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