2018 Kaplan Schweser FRM Part 1备考指南：从入门到实践

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FRM 2018 Part 1 是金融风险管理专业认证的重要参考资料，适用于学习者提升在金融风险领域的专业知识。该部分主要由 SchweserNotes™ 提供，这是 Kaplan Schweser 公司为准备 FRM 考试而设计的学习资料。作为 Kaplan Schweser 的高级设计ations副总裁，作者强调了提前开始学习计划对于考生充分准备、练习和在考试当天表现的重要性。首先，考生需通过访问 schweser.com/frm 并使用顶部导航栏的登录按钮登录到在线账户。登录后，选择相应的考试部分（Part I），进入仪表板，从而可以访问在线学习工具，如 SchweserNotes 的电子书1 - "Getting Started"。Kaplan 的学习方法注重实践与理解的结合，通过演示和实例帮助考生掌握基础知识。第二步是制定学习计划。利用 Schweser Study Calendar（位于 Schweser 仪表板上）创建个人化的学习时间表，确保有足够的时间覆盖所有学习目标。同时，可以利用 Candidate Resource Library 中的按需视频，深入了解核心概念的介绍，这有助于考生建立起坚实的理论基础。第三步是深入准备和练习。考生应积极参与在线课程，通过完成练习题和模拟测试来检验自己的理解和应用能力。定期回顾和巩固所学内容，确保对每个章节都有扎实的理解，并能够灵活运用到实际情景中。在整个学习过程中，考生应该保持持续的学习动力，利用 Schweser 提供的答疑解惑服务，解决遇到的问题。此外，定期评估学习进度，根据需要调整学习策略，确保在考试前达到最佳的准备状态。 FRM 2018 Part 1 的学习不仅涉及理论知识的掌握，还包括实际操作技能的培养。通过 Schweser 的系统化指导和自我规划，考生可以有效地提高在金融风险管理方面的专业素养，为顺利通过考试打下坚实的基础。

The following is a review of the Foundations of Risk Management principles designed to address the learning

objectives set forth by GARP®. This topic is also covered in:

Risk Management :

A H

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Topic 1

Exam Focus

This is an introductory topic that provides coverage of fundamental risk management

concepts that will be discussed in much more detail throughout the FRM curriculum.

For the exam, it is important to understand the general risk management process and its

potential shortcomings, the concept of unexpected loss, and some of the underlying points

regarding the relationship between risk and reward. Also, the material on the main categories

of financial and non-financial risks contains several testable concepts.

The Concept of Risk

LO 1.1: Explain the concept of risk and compare risk management with risk

taking.

Risk arises from the uncertainty regarding an entity’s future losses as well as future gains.

Therefore, in simplified terms, there is a natural trade-off between risk and return. Risk

is not necessarily related to the size of the potential loss. For example, many potential

losses are large but are quite predictable and can be provided for using risk management

techniques. The more important concern is the variability of the loss, especially a loss

that could rise to unexpectedly high levels or a loss that suddenly occurs that was not

anticipated.

As a starting point, risk management includes the sequence of activities aimed to reduce

or eliminate an entity’s potential to incur expected losses. On top of that, there is the

need to manage the unexpected variability of some costs. In managing both expected and

unexpected losses, risk management can be thought of as a defensive technique. However,

risk management is actually broader in the sense that it considers how an entity can

consciously determine how much risk it is willing to take to earn future uncertain returns,

which involves risk taking.

Risk taking refers specifically to the active assumption of incremental risk in order to

generate incremental gains. In that regard, risk taking can be thought of in an opportunistic

context.

The Risk M anagement Process

Topic 1

Cross Reference to GARP Assigned Reading - Crouhy, Galai, and Mark, Chapter 1

LO 1.2: Describe the risk management process and identify problems and

challenges that can arise in the risk management process.

The risk management process involves the following five steps:

Step 1: Identify the risks.

Step 2: Quantify and estimate the risk exposures or determine appropriate methods to

transfer the risks.

Step 3: Determine the collective effects of the risk exposures or perform a cost-benefit

analysis on risk transfer methods.

Step 4: Develop a risk mitigation strategy (i.e., avoid, transfer, mitigate, or assume risk).

Step 5: Assess performance and amend risk mitigation strategy as needed.

In practice, this process is not likely to operate perfectly in this sequence. Two key problems

with the process include identifying the correct risk(s) and finding an efficient method of

transferring the risk.

One of the challenges in ensuring that risk management will be beneficial to the economy is

that risk must be sufficiently dispersed among willing and able participants in the economy.

Unfortunately, a notable failure of risk management occurred during the financial crisis

between 2007 and 2009 when it was subsequently discovered that risk was too concentrated

among too few participants.

Another challenge of the risk management process is that it has failed to consistently assist

in preventing market disruptions or preventing financial accounting fraud (due to corporate

governance failures). For example, the existence of derivative financial instruments greatly

facilitates the ability to assume high levels of risk and the tendency of risk managers to

follow each other’s actions (e.g., selling risky assets during a market crisis, which disrupts

the market by increasing its volatility).

In addition, the use of derivatives as complex trading strategies assisted in overstating the

financial position (i.e., net assets on balance sheet) of many entities and understating the

level of risk assumed by many entities. Even with the best risk management policies in

place, using such inaccurate information would not allow the policies to be effective.

Finally, risk management may not be effective on an overall economic basis because it only

involves risk transferring by one party and risk assumption by another party. It does not

result in overall risk elimination. In other words, risk management can be thought of as

a zero-sum game in that some “winning” parties will gain at the expense of some “losing”

parties. However, if enough parties suffer devastating losses due to an excessive assumption

of risk, it could lead to a widespread economic crisis.

Topic 1

Cross Reference to GARP Assigned Reading - Crouhy, Galai, and Mark, Chapter 1

Professor’s Note: This calculation is an example o f historical VaR. In Book 4,

we will discuss the main types o f value at risk: delta-normal VaR, historical

VaR, and Monte Carlo simulation VaR.

Economic capital refers to holding sufficient liquid reserves to cover a potential loss. For

example, if one-day VaR is $2.5 million and the entity holds $2.5 million in liquid reserves,

then it is unlikely to go bankrupt that day.

Qualitative Assessment

Scenario analysis takes into account potential risk factors with uncertainties that are often

non-quantifiable. One option is to consider an adverse scenario or worst-case scenario

analysis to get an idea of the full magnitude of potential losses even if they have a very small

chance of occurring. Worst-case scenario analysis involves examining the effects of possible

macroeconomic scenarios on the entity and within its various divisions, often taking into

account several categories of risk.

Stress testing is a form of scenario analysis that examines a financial outcome based on a

given “stress” on the entity. For example, it is plausible for interest rates or unemployment

rates to rise severely in an economic crisis and stress testing attempts to examine such crisis

situations to determine the outcome on the entity.

Enterprise Risk Management (ERM)

ERM takes an integrative approach to risk management within an entire entity, dispensing

of the traditional approach of independently managing risk within each department

or division of an entity. ERM considers entity-wide risks and tries to integrate risk

considerations into key business decisions. Similar to traditional approaches, ERM makes

use of measures such as economic capital and stress testing. Senior risk committees may

exist within the entity to ensure that risks affecting the entire entity are examined. Within

the ERM framework, the entity and its board of directors agree on specific risk exposure

limits.

Expected and Unexpected Loss

LO 1.4: Distinguish between expected loss and unexpected loss, and provide

examples of each.

Expected loss considers how much an entity expects to lose in the normal course of

business. It can often be computed in advance (and provided for) with relative ease because

of the certainty involved.

For example, a retail business that provides credit terms on sales of goods to its customers

(i.e., no need to pay immediately) incurs the risk of non-payment by some of those

customers. If the business has been in operation for at least a few years, it could use its

operating history to reasonably estimate the percentage of annual credit sales that will never

be collected. The amount of the loss is therefore predictable and is treated as a regular cost

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2018 Kaplan Schweser FRM Part 1备考指南：从入门到实践

2018 FRM Schweser notes part1

2018 FRM part1 Schweser notes

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