2008年FRM新增科目纲要及参考书
<div class="t_msgfont" id="postmessage_74691">Section on Risk management and investment management1. Traditional investment <span class="t_tag" href="tag.php?name=risk">risk</span> management<br/><br/> Return metrics (Sharpe ratio, Information Ratio, VaR, relative VaR, Tracking Error,Survivorship bias).<br/><br/> Implementing VaR.<br/><br/> Benchmarking asset mixes for pension liabilities<br/><br/> Risk budgeting<br/><br/> Tracking error<br/><br/> Setting risk limits.<br/><br/> Risk of alpha transfer strategies.<br/><br/> Risk management issues of pension funds.2. Hedge fund risk management<br/><br/> Risk-return metrics specific to hedge funds (Drawdown, Sortino ratio).<br/><br/> Risks of specific strategies (Fixed-Income Arbitrage, Merger Arbitrage, Convert Arbitrage,Equity Long/Short-Market Neutral, Macro, Distressed Debt ,Emerging Markets)<br/><br/> Asset illiquidity, valuation, and risk measurement.<br/><br/> The use of leverage and derivatives and the risks they create.<br/><br/> Problems in measuring exposures to risk factors (Dynamic Strategies, Leverage,Derivatives, Style Drift).<br/><br/> Correlations among hedge funds and between hedge funds and other assets.Core Readings;1. Pearson, Risk Budgeting<br/><br/> Chapter 2 - value-at-Risk of a Simple Equity Portfolio<br/><br/> Chapter 7 - Using Factor Models to Compute the VaR of Equity Portfolios<br/><br/> Chapter 11 - A Long-Short Hedge Fund Manager2. Leslie Rahl, Risk Budgeting: A new Approach to Investing (London: Risk Books, 2000)<br/><br/> Chapter 3 - Risk budgeting: managing active risk at the total fund level<br/><br/> Chapter 6 - Risk budgeting for pension funds and investment managers using VaR<br/><br/> Chapter 7 - Risk budgeting for active investment managers<br/><br/> Chapter 11 - Risk budgeting in a pension fund3. Noel Amenc, Veronique Le Sourd, Portfolio theory and performance analysis, (England, Wiley 2003)<br/><br/> Chapter 4 - The Capital Asset Pricing Model and its Application to performance Measurement, Sections4.1.1, 4.1.2, and 4.2.1 through 4.2.8., pp. 95-102, pp. 108-116<br/><br/> Chapter 6 - Multi-Factor Models and their Application to Performance Measurement<br/><br/> Chapter 8 - Fixed Income Security Investment4. Lars Jaeger, ed., The New Generation of Risk Management for Hedge Funds and Private Equity Investments(London: Euromoney Books, 2003)<br/><br/> Chapter 6 - "Funds of hedge funds" by Sohail Jaffer<br/><br/> Chapter 27 - "Style drifts: monitoring, detection and control" by Pierre-Yves Moix5. Virginia Reynolds Parker, ed., "Managing Hedge Fund Risk" (Risk Books, 2003)<br/><br/> Sound practices for hedge fund managers, 299-360<br/><br/> The Risk of Hedge Funds by Alexander M. Ineichen, 377-4526. Sohail Jaffer, ed., Funds of Hedge Funds, (London: Euromoney Books, 2003)<br/><br/> Chapter 17 - Risk control strategies, the manager's perspective", by Pierre-Yves Moix7. "Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations", Mila Getmansky, Andrew W.Lo and Shauna X. Mei (November 14, 2004), 1 - 278. "The Risk in Fixed-Income Hedge Fund Strategies", David Hsieh and William Fung, Journal of Fixed Income, 12(2002), 6-279. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds", David Hsieh and WilliamFung, Review of Financial Studies, 10 (1997), 275-302</div>