08年FRM考试Market Risk Mgt.考点解析

来源：Kaplan Schweser　作者：Vivian　时间：2008-09-10　点击：

Topics in the market risk area will account for 30% of the questions on the 2008 exam. Your accumulated knowledge of the quantitative analysis material should help you related to market risk topics such as forward contract pricing, swap valuation, and option pricing. This section also contains a great deal of qualitative information about VAR and portfolio concepts that will overlap with the investment management material.

• Memorize the formula for the forward price. Learn how the forward price is computed under the conditions of known dividends, storage costs, and the convenience yield. Also know how an arbitrage opportunity can be exploited if a forward/futures contract is mispriced.
• Be prepared to determine a duration-based hedging strategy using interest rate futures. A twist that could be thrown in on exam day could ask you to hedge a portfolio that consists of a long and short bond position, thus requiring you to determine the interest rate sensitivity of the combined portfolio before determining the number of contracts or duration of the appropriate T-bond contract.
• Be prepared to calculate and interpret basis risk and how it arises in hedging. Note that the optimal hedge ratio minimizes the variance of the combined hedged position.
• Regarding various day count conversions, focus on the three more common forms: actual/actual, 30/360, and actual/360. For the day count conversion of the T-bonds, always use the actual/actual method.
• Know the mechanics of  interest rate and currency swaps. The value of a swap is simply the difference between the present value of the remaining payments. The confusing part is keeping track of which party is paying fixed and which party is receiving fixed. One party's positive value is the other party's negative value.
• Determine the number of options or shares of stock you need to buy or sell to delta hedge and how that calculation changes when adjusting for gamma.
• The equation for put-call parity can be simply stated as: call price - put price = current stock value - PV of excercise price. This equation can be stated differently by manipulating the terms. Learn one form of this equation, memorize it, and be prepared for its application on the exam.
• Memorize all six factors affecting the option price for both a call option and a put option. Remember, it is never optimal to exercise an American call option on nondividend-paying stocks prior to expiration. Do not get carried away with the details of the pricing bounds.
• Understand the nature of volatility "smiles" for foreign currency options and the volatility "smirk" for equity options.
• Learn the various option trading strategies and be prepared for a question on how to construct a particular strategy or a simple computation on the profit(loss) of a strategy. On past exams, spread strategies, including bull the bear spreads, seem to be popular test topics.
• The binomial option pricing model is important for the exam. Focus on the two-step process. In binomial option pricing, there are three steps involved: the future value, the expected value, and the present value. The main parameters you need are the size of the upward/downward  movements and the probabilities of the upward/downward option pricing if the parameters are provided to you on the exam.
• Memorize the Black-Scholes-Merton equation for a European call option and know how to calculate its value. You can also use the same equation to value American call options if the option is on a nondividend-paying stock. Rearranging the equation will result in the put option value. As long as we know the value of either a call or a put, we can use the put-call parity equation to solve for the other value. Note that the Black-Scholes-Merton model applies only to European style options.
• Know the definitions of the various "Greek" and be prepared for questions about the impact of changing market conditions on each of the Greeks. Know when each Greed measure is most sensitive to changes in its underlying factors.
• Be prepared for the definitions(without computations) of various exotic options, including barrier options, binary options, and Asian options. You do not want to miss points on those descriptive-but-important-topics.
• Be proficient in computing durations. You should know that bond yields and prices move in opposite directions. One measure used to approximate this relationship is duration. Review the limitations of duration.
• When used together, note that duration and convexity provide an accurate estimate for the bond price sensitivity to a given yield change. The contribution of convexity to price sensitivity is always positive(favorable). However, for very small changes in the interest rate, one may ignore the impact of convexity. The larger the change in the interest rates, the more important the impact of convexity.
• Memorize the formulas for effective duration and convexity. When computing the percentage price change for a bond using both duration and convexity, remember that positive convexity always has a favorable impact on the price of the bond.
• Know how various factors(e.g., maturity, coupon, yield, compounding conventions) affect duration. There are a number of ways this concept could be tested. For example, you could be given a direct question, or you may be given various bonds with different coupons or durations and asked questions about their duration.
• Basic bond valuation is important. Know how to use your financial calculator to calculate the price of  a bond and its yield to maturity, given various bond characteristics. It is unlikely that you will be given a direct question about bond valuation, but these simple concepts will be important for answering other questions(e.g., duration).
• Understand how to calculate forward rates from spot rates. This material may now show up as a direct question, but it will be necessary in other areas of the exam, such as complex interest rate parity questions and determining future default probabilities.
• Learn the simple formula for compounding conventions. Most of the time, compounding will be semiannual—you should know how to annualize a semiannual interest rate.
• For key rate duration, know that a change in one key rate affects the previous and subsequent key rate. Understand how to use linear interpolation between key rates.
• Understand the concept of negative convexity for callable bonds.
• VAR is the loss we would expect to equal or exceed a certain percentage of the time over a specified period, given soem confidence level. If the underlying distribution is normal, it is called the delta-normal VAR. You should memorize the critical values for alpha at the 90,95, and 00 percent conficence levels.
• Be familiar with VAR, which can be calculated on a dollar or a percentage basis and is interpreted as the dollar or percentage loss in value that will be equaled or exceeded a specified percentage of the time. Memorize how to calculate VAR and how to extend the daily VAR to a multiple period VAR.
• VAR calculations employ a one-tailed test, meaning that we are concerned about those events(losses) contained in the left tail of the distribution only.
• Understand the process of mapping as it pertains to calculating VAR. With mapping, portfolio exposures are broken down into general risk factors and mapped onto those factors.
• Stress testing is an important complement to VAR because it can be used to identify the magnitude of losses in extreme market conditions.
• Understand interest rate parity. Learn this formula and practice problems that use it. A potential twist on the exam may ask you to calculate an exchange rate multiple years into the future using forward interest rates.
• Cash flow at risk(CFAR) is a concept that is an extension of VAR. Recognize that the dollar cost of VAR can be factored into trading decisions, and the dollar cost of CFAR should be incorporated into the net present value of a project.