在FRM二級(jí)考試中，有很多公式是需要考生所掌握的。因?yàn)樵贔RM考試中是有很多的計(jì)算題的。關(guān)于FRM二級(jí)考試公式，考生需要掌握哪些？下面是小編列舉的，一起了解一下！

Weighted Historical Simulation Approaches：

Age-weighted: adjusts the most recent (distant) observations to be more (less) heavily weighted.

Volatility-weighted: replaces historic returns with volatility-adjusted returns; actual procedure of estimating VaR is unchanged.

Correlation-weighted: updates the variance- covariance matrix between assets in the portfolio.

Filtered historical simulation: relies on bootstrapping of standardized returns based on volatility forecasts; able to capture conditional volatility, volatility clustering, and/or data asymmetry.

Peaks-Over-Threshold (POT)：

Application of extreme value theory (EVT) to the distribution of excess losses over a high threshold. The POT Approach can be used to compute VaR. From estimates of VaR, we can derive the expected shortfall (ES).

Backtesting VaR：

Compares the number of instances when losses exceed the VaR level (exceptions) with the number predicted by the model at the chosen level of confidence.

Failure rate: number of exceptions/number of observations.

The Basel Committee requires backtesting at the 99% confidence level over one year; establishes zones for the number of exceptions with corresponding penalties (increases in the capital multiplier).

FRM考試的內(nèi)容就分享這么多，考生如果對FRM考試還有更多的疑問，可以文章評論一起學(xué)習(xí)探討！另外，有2022年全年備考日歷，想要的私信或者評論哦！