08年FRM考试Operational&Integrated Risk Mgt.考点解析

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

Operational and integrated risk management, as well as legal issues, will account for 25% of the exam questions. Modeling operational risk is an important concept here in addition to Basel II. Expect to see questions on operational and liquidity risk case studies as well as numerous questions from the Basel readings.

• The Bank of International Settlement(BIS) defines operational risk as the risk of losses due to inadequate or failed pocesses, persons, and systems that are unable to protect a firm from outside events. This definition focuses on the impact of operational losses.
• Be familiar with the methodologies for measuring operational risk and calculating capital charges, The approaches include basic indicator, standadized, and advanced measurement.
• There are two categories used to describe operational losses. Low frequency, high severity(LFHS) risks are the greatest area of concern for operational risk managers because there is little data available to study such risks, and their cost to the firm  could be catastrophic. Expect a test question in some form regarding this concept.
• Distinguish between top-down and bottom-up operational risk models and know the strengths and weaknesses of each approach. You should also know examples of operational risk models for each approach.
• Know the characteristics of catastrophe options and catastrophe bonds.
• Be familiar with the general structure of loss distribution approach(LDA) models and understand the application of frequency and severity distributions when modeling losses.
• Have a general understanding of the types of distributions that are used to model operational risk severity with LDA models.
• Know the two risks of implementing technological innovations.
• Know the difference between economies of scale and economies of scope.
• Daylight overdraft risk is a significant risk for the banking system. Know this concept.
• Model risk is the risk associated with using financial models to simulate complex relationships. It may arise from incorrect model application, implementation risk, calibration errors, programming errors, and data problems. Managers can protect against model risk by employing reality checks of the model.
• Know that under an EMH framework, the best way to manager model risk is to find a better model. Under a non-EMH framework, the focus is on how current pricing methodologies will change in the future.
• Read and be familiar with the various case studies presented, including Metallgesellschaft, Sumitomo, Barings, and Long-Term Capital Management. Lessons from history are important, and as a potential certified Financial Risk Manager, GARP will test your knowledge of the factors that caused the enormous losses in these cases, hoping that your knowledge will prevent history from repeating itself. Be able to cite examples of risk controls that could have been in place to stop these disasters from occurring.
• Be familiar with the various ways corporations can manage risk through the use of an Enterprise Risk Management(ERM) process. ERM can be used to better carry out a company's strategic plan, gain a competitive advantage, and create shareholder value.
• The formula for the RAROC of a loan is one of the few equations in this section that you need to memorize. You should also know the formula for adjusted RAROC(ARAROC), which overcomes the deficiency in RAROC of assuming the probability of default is constant.
• Know that liquidity risk is comprised of funding risk and market liquidity risk. Alternatives to measuring liquidity risk include: liquidity gap and liquidity risk elasticity.
• Be aware that VAR can be adjusted for liquidity risk(LVAR) by incorporating the impact of the bid-ask spread.
• Review the recommendations and guiding principles of the Counterparty Risk Management Policy Group II report. Understand that it was drafted with the goal of promoting global financial stability. Do not memorize all the recommendations, but rather focus on the big picture concepts for each category and recognize that much of the material addressed is related to other areas of the FRM curriculum.
• Be familiar with the four primary justifications for the existence of banking regulation. They include: protect bank depositor from a loss in bankruptcy, provide stability for transactions, avoid domino effects on the banking system, and maintain stability in the economy.
• The new Basel Capital Accord is very important. Questions about Basel are the closest to a "sure thing" there is for the FRM exam. Read the Basel material more than once to make sure you understand the big picture of the Accord's purpose, as well as the many details in this material that may show up as test questions.
• Be able to define what is included in tier 1, tier 2, and tier 3 capital. Ways you could see this material tested on the exam include giving you a balance sheet and asking you to calculate one of the forms of capital, or asking you which asset mix would best satisfy Basel's rules regarding the capital used to satisfy capital requirements.
• Be able to relate to the expectation of the amount of overall capital that should result, either through the standardized approach or the internal ratings-based(IRB) approach for the risk-weighted capital calculations.
• Know which factors the bank calculates internally for the fundation and advanced IRB approaches.
• Know the difference between the simple and comprehensive approaches of addressing credit risk mitigation practices.
• Securitization exposures under Basel II are addressed differently than other exposures; be able to explain how they are addressed.
• Know the three methods for addressing operational risk under Basel II. Be careful not to confuse the terminology of the operational risk approaches with the terms used for credit risk.
• Be familiar with the four principles of the new Accord's Second Pillar. Read about the three pillars of the new Basel II Accord.
• Know that current regulations regarding financial conglomerates require updating. Current regulation views each subsidiary of a financial conglomerate independently. To better handle the unique circumstances of financial conglomerates, a 3+1 Pillar framework was established.