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1 2010 FRM STUDY NOTES 변경사항요약 Over view 전체적으로 2009년교재와큰차이는없으나 PART2의 BOOK3에해당하는 Operational Risk쪽은과목의특성상삭제및추가된내용이다소많습니다. 2009년과 GUIDE자체가크게변경이없는관계로전체적인내용이 AIMS에맞게구성이되었다고보시면되겠습니다. BOOK 1- FOUNDATIONS OF RISK MANAGEMETNT; QUANTITATIVE ANALYSIS(09) ( 변경정도 : ) 2010 년교재에서는 PART1-BOOK1 에해당합니다. The Need For Risk Management Investors and Risk Management Creating Value with Risk Management Some Important Probalility Distributions Statistical Inference:Estimation and Hypothesis Testing Continuous Probability Distributions Basic Ideas of Linear Regression : The Two-Variable Model The Two-Variable Model : Hypothesis Testing Multiple Regression : Estimation and Hypothesis Testing Estimating Volatilities and Correlations Monte Carlo Methods 09 년교재 16~27 10~21 28~40 22~34 41~48 35~42 49~60 43~56 61~68 57~65 69~81 66~81 82~90 82~90 90~96 90~96 97~100 97~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ 년교재에서는각각 BOOK2 와 BOOK3 분권하여발간되었습니다. 3~9 10~25 3~18 26~35 19~29 36~44 30~40 The Need For Risk Management Investors and Risk Management Some Important Probalility Distributions Discrete Probability Distributions Continuous Probability Distributions Basic Ideas of Linear Regression : The Two-Variable Model The Two-Variable Model : Hypothesis Testing Multiple Regression : Estimation and Hypothesis Testing BOOK 2-FINANCIAL MARKET&PRODUCT;VAR(09) ( 변경정도 : ) I. Financial Market&Products-Derivatives Structural Hubs Introduction Mechanics of Futures Markets Hedging Stratsgies using Futures BOOK 1- FOUNDATIONS OF RISK MANAGEMENT (BOOK1) The Capital Asset Priceing Model Expected Returns and the Arbitrage Pricing Theory Case Studies Risk Management Failures GARP Code of Conduct BOOK 1- QUANTITATIVE ANALYSIS The Time Value of Money The Nature and Scope of Econometrics Review of Statistics I Characteristics of Probability Distributions Discrete Probability Distributions 내용이동 (BOOK2->BOOK1) Creating Value with Risk Management The Capital Asset Priceing Model Expected Returns and the Arbitrage Pricing Theory Case Studies => Financial Disasters ( 제목및내용변경 ) Risk Management Failures GARP Code of Conduct The Time Value of Money The Nature and Scope of Econometrics Review of Statistics I Characteristics of Probability Distributions Statistical Inference:Estimation and Hypothesis Testing Estimating Volatilities and Correlations (09 년교재 BOOK2 있던내용으로 BOOK1 으로이동 ) Monte Carlo Methods 10 년교재 Structural Hubs ( 삭제 ) Introduction Mechanics of Futures Markets Hedging Stratsgies using Futures

2 Fundamentals of Commodity Spot and Futures Markets commodity Forwards and Futures II. Financial Market&Products-Fixed Income 2010 년교재에서는 Value at Risk_BOOK3 로이동 Bond Price, Discount Factors, and Arbitrage Bond Price, Spot Rates, and Forward Rates Yield to Maturity One-Factor Measures of Price Sensitivity III. Value At Risk Interest Rates Determination of Forward and Futures Prices Interest Rates Futures Swaps Properties of Stock Options Trading Strategies Involving Options Foreign Exchang Risk Dealing with Sovereign Risk Exposure Coporate Bond Binomial Trees The Black-Scholes-Merton Model The Greek Letters Introduction to Value at Risk VAR Methods Forecasting Risk Putting VAR to Work Extending the VAR Approach to Operational Risk Stress Testing Principles for Sound Stress Testing Practices and Supervision I. Measuring Credit Risk Exposures The Rating Agencies External and Internal Ratings Country Risk Models sovereign Risk Loan Portfolios and Expected Loss Unexpected Loss 45~59 41~56 60~71 57~69 72~84 70~82 85~100 83~98 101~112 99~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~201 3~12 202~213 13~24 214~223 25~36 224~237 37~53 238~252 54~67 253~266 68~81 267~278 82~94 279~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~225 Interest Rates Determination of Forward and Futures Prices Interest Rates Futures Swaps Properties of Stock Options Trading Strategies Involving Options Fundamentals of Commodity Spotand Futures Markets commodity Forwards and Futures Foreign Exchang Risk Dealing with Sovereign Risk Exposure Coporate Bond Intrerest Rate Derivatice Instruments( 추가 ) Bond Price, Discount Factors, and Arbitrage Bond Price, Spot Rates, and Forward Rates Yield to Maturity One-Factor Measures of Price Sensitivity Binomial Trees The Black-Scholes-Merton Model The Greek Letters PART1-BOOK1 로이동 PART1-BOOK1 로이동 PART2-BOOK1 로이동 Forecasting Risk ( 삭제 ) Putting VAR to Work Extending the VAR Approach to Operational Risk Stress Testing Principles for Sound Stress Testing Practices and Supervision The Rating Agencies External and Internal Ratings Country Risk Models sovereign Risk Loan Portfolios and Expected Loss Unexpected Loss BOOK 3- Market Risk Measurement and management; Investment Management(09) ( 변경정도 : ) 2010 년교재에서는 PART2-BOOK1 에해당합니다. I. Measuring Credit Risk Exposures Measures of Financial Risk Modeling Dependence : Correlation and Corpuals Backtesting VAR Parametric Approaches(II) : Extreme Value Measures of Price Sensitivity Based on Parellel Yield Shifts Key Rate and Bucket Exposures 3~14 11~23 15~21 24~32 22~29 33~39 30~37 40~49 38~46 50~57 47~56 58~67 57~64 68~77 Estimating Market Risk Measures( 추가 ) Non-Parametric Approaches( 추가 ) Modeling Dependence : Correlations and Copulas Parametric Approaches(II) : Extreme Value Backtesting VAR Measures of Price Sensitivity Based on Parellel Yield Shifts

3 The Science of Term Structure Models 65~80 78~85 An Overview of Mortgages and the Mortgage Marke 81~93 86~102 Mortgage-Backed Securities 94~ ~115 Valuaiton of Mortgage-Baxked Securities 109~ ~130 Volatility Smiles 125~ ~146 Exotic Options 134~ ~ II. Risk Management and Investment Management Portfolio Construction 143~ ~178 Performance Analysis 155~ ~201 Risk monitoring and Performance measurement 178~ ~211 Portfolio Risk : Analytical Methods 188~ ~229 VAR and Risk Budgeting in Investment Managemen 205~ ~246 Key Rate and Bucket Exposures The Science of Term Structure Models An Overview of Mortgages and the Mortgage Market Mortgage-Backed Securities Valuaiton of Mortgage-Baxked Securities Volatility Smiles Exotic Options Portfolio Construction Performance Analysis Risk monitoring and Performance measurement Portfolio Risk : Analytical Methods VAR and Risk Budgeting in Investment Management Risk Budgeting for Pension Funds and Invesment Managers using VAR ~262 Risk Budgeting for Pension Funds and Invesment Managers using VAR Individual Hedge Fund Strategies Hedge Funds: Past, Present and Future Funds of Hedge funds Style Drifts: Monitoring, Detection and Control 237~ ~ ~ ~ ~ ~ ~ ~ ~ ~327 3~14 3~14 15~25 15~25 Individual Hedge Fund Strategies Hedge Funds: Past, Present and Future Funds of Hedge funds Style Drifts: Monitoring, Detection and Control Deleveraging After Lehman : Evidence from Reduced Rehypothecation( 추가 ) Finding Bernie Madoff : Detecting Fraud by Investment Managers( 추가 ) BOOK 4- CREDIT RISK MEASUREMENT&MANAGEMENT(09) ( 변경정도 : ) 2010 년교재에서는 PART2-BOOK2 에해당합니다. Credit Risk Extending the VAR Approach to Non-Traseable Loans Credit Risk Extending the VAR Approach to Non-Traseable Loans Default Risk Loss Given Default Introduction to Portfolio Approaches Economic Capital and Capital Allocation Applications of Portfolio Approaches Portfolio Effects : Risk Contributions and unexpected Losses Measuring and Marking Counterparty Risk Credit Risks and Credit Derivatives Credit Derivatives and Credit-Linked Notes The Structuring Process Cash Collateralized Debt Obligations Synthetic Collateralized Debt Obligations Credit Derivatives Studies on Credit Risk concentration Securitization Understanding the Securitization of Subprime Mortgage Credit 26~36 26~38 37~42 39~44 43~50 51~57 58~71 72~81 45~55 82~91 56~65 92~116 66~90 117~127 91~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~168 Default Risk Loss Given Default Portfolio Effects : Risk Contributions and unexpected Losses Measuring and Marking Counterparty Risk Credit Risks and Credit Derivatives Credit Derivatives and Credit-Linked Notes The Structuring Process Cash Collateralized Debt Obligations Synthetic Collateralized Debt Obligations Credit Derivatives Studies on Credit Risk concentration Securitization Understanding the Securitization of Subprime Mortgage Credit

4 169~181 Innovation in Credit Risk Transfer : Implicaions for Financial Stability ( 추가 ) BOOK 5- OPERATIONAL&INTEGRATED RISK MANAGEMENT(09) ( 변경정도 : ) 2010년교재에서는 PART2-BOOK3에해당합니다. 09년교재 10년교재 I. OPERATIONAL AND INTEGRATED RISK MANAGEMENT Introduction to Operational Risk LDA at work Model Risk Aligning BaselII Operational Risk And Sarbanes Oxley 404 Projects Enterprise Risk Management Capital Allocation and Performance Measurement Risk Measurement, Risk Management and Capital Adequacy Liquidity Risk Estimating Liquidity Risks Regulation The Basel II Accord Revisions to the Basel II Market Risk 3~8 9~22 03월 16일 23~35 17~25 36~44 26~34 45~53 35~44 54~63 45~54 64~71 55~62 72~82 63~69 83~95 70~83 96~ ~ ~138 LDA at work Model Risk Aligning BaselII Operational Risk And Sarbanes Oxley 404 Projects Enterprise Risk Management Capital Allocation and Performance Measurement Risk Measurement, Risk Management and Capital Adequacy Liquidity Risk Estimating Liquidity Risks 내용변경 Priciples of Sound Liquidity Risk Management 139~152 84~107 Priciples of Sound Liquidity Risk Management 108~128 Basel II( 추가 ) 129~137 Supervisory Guidance for Assessing Bank's Financial Instrument 추가 ) Guidelines for computing Capital for Incremental Risk in the Trading Book 153~ ~145 Guidelines for computing Capital for Incremental Risk in the Trading Book 146~153 Revisions to the Basel II Market Risk Framework( 추가 ) 154~169 Range of Practices and Issues in Economic Capital Modeling( 추가 ) What We Know,Don't Know and Can't Know About Bank Risk 161~ ~185 What We Know,Don't Know and Can't Know About Bank Risk II. CURRENT ISSUES IN FINANCIAL MARKETS Information, Liquidity, and the (Ongoing) Panic of 2007 Has Financial Development Made the World Riskier? FSA Moves to Enhance Supervision in Wake of Northern Rock Observations on Risk Management Practices During the Recent Market Turbulence A Primer on the Role of Securitization in the Credit Market Crsis 177~ ~ ~ ~ ~ ~ ~ ~219 Information, Liquidity, and the (Ongoing) Panic of 2007 제목은 09 년교재와유사하나가많이됨 Has Financial Development Made the World Riskier? Observations on Risk Management Practices During the Recent Market Turbulence

5 Shareholder Report on UBS's Write-Downs Why Banks Failed the Stress Test Hedge Funds, Systematic Risk, and the Financial Crisis of ~ ~ ~ ~242 Shareholder Report on UBS's Write-Downs 227~243 Systemic Risk in the Financial Sector( 추가 ) 244~ ~262 This Time Is Different( 추가 ) The Failure Mechanics of Dealer Banks( 추가 )

제 출 문 국방부 장관 귀하 본 보고서를 국방부 군인연금과에서 당연구원에 의뢰한 군인연금기금 체 계적 관리방안 연구용역의 최종보고서로 제출합니다. 2009. 4 (주)한국채권연구원 대표이사 오 규 철

군인연금기금 체계적 관리방안 연구 2009. 04 (최종보고서) 제 출 문 국방부 장관 귀하 본 보고서를 국방부 군인연금과에서 당연구원에 의뢰한 군인연금기금 체 계적 관리방안 연구용역의 최종보고서로 제출합니다. 2009. 4 (주)한국채권연구원 대표이사 오 규 철 목 차 제1장 서론 1 1. 연구의 목적 1 2. 연구의 방법 및 내용 2 제2장 현황분석 (AS-IS