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所在平台: Udemy |
课程主页: https://www.udemy.com/course/frm-part-2-book-1-market-risk-part-12/
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## FRM Part 2 - Book 1 - Market Risk (Part 1/2) 课程摘要 本课程由拥有超过25年金融教学和学术经验的James Forjan教授主讲，他也是多本大学投资教材的合著者，并持有CFA特许。本课程旨在帮助学员学习或复习FRM Part 2考试中的重要概念，重点涵盖《市场风险计量与管理》教材的前9章，具体内容包括： 1. **市场风险计量估算 (Estimating Market Risk Measures)** 2. **非参数方法 (Non-Parametric Approaches)** 3. **参数方法 (II): 极值理论 (Parametric Approaches (II): Extreme Value)** 4. **VaR 回测 (Backtesting VaR)** 5. **VaR 映射 (VaR Mapping)** 6. **交易账簿风险管理的学术文献启示 (Messages from the Academic Literature on Risk Management for the Trading Book)** 7. **相关性基础：性质、动机、术语 (Some Correlation Basics: Properties, Motivation, Terminology)** 8. **相关性的实证性质：现实世界中的相关性如何表现？ (Empirical Properties of Correlation: How Do Correlations Behave in the Real World?)** 9. **金融相关性建模 - 自下而上方法 (Financial Correlation Modeling - Bottom-Up Approaches)** 通过本课程，学员将系统地掌握市场风险管理的核心理论和实践应用，为FRM Part 2考试做好充分准备。
James Forjan has taught graduate and post-graduate finance classes for over 25 years and has also co-authored college-level investment books. His resume includes:BS in AccountingMaster of Science in FinancePhD in Finance (minor in Economics, two PhD level courses in Econometrics)Completed the CFA Program in 2004 and earned the CFA charter later that yearCollege professor who taught at six institutions since classes such as Corporate Finance, Investments, Derivatives Securities, International FinanceIn this course, Prof. James Forgan, PhD, summarizes the first 9 chapters from the Market Risk Measurement and Management book so you can learn or review all of the important concepts for your FRM part 2 exam.This course includes the following chapters:1. Estimating Market Risk Measures2. Non-Parametric Approaches3. Parametric Approaches (II): Extreme Value4. Backtesting VaR5. VaR Mapping6. Messages from the Academic Literature on Risk Management for the Trading Book7. Some Correlation Basics: Properties, Motivation, Terminology8. Empirical Properties of Correlation: How Do Correlations Behave in the Real World?9. Financial Correlation Modeling - Bottom-Up Approaches
