FRM二级考试公式，考生需要掌握哪些？

在FRM二级考试中，有很多公式是需要考生所掌握的。因为在FRM考试中是有很多的计算题的。关于FRM二级考试公式，考生需要掌握哪些？下面是小编列举的，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考试的内容就分享这么多，考生如果对FRM考试还有更多的疑问，可以文章评论一起学习探讨！另外，有2022年全年备考日历，想要的私信或者评论哦！