Risk Management and Investment Managementshi是FRM考试的重要科目，在2021年新的考纲中都发生了哪些变化，下文是详细介绍！>>>点击领取2021年FRM备考资料大礼包（戳我免·费领取）

2021FRM备考资料大礼包

Risk Management and Investment Management（投资风险管理考纲）科目占比是15%。

Risk Management and Investment Management（投资风险管理考纲）考纲变化：

考纲修改：

第六章Factor Theory

Describe the capital asset pricing model (CAPM)

改做：

Discuss the capital asset pricing model (CAPM)

没有实质性变化。

第十章Alpha (and the Low-Risk Anomaly)

Explain how to measure time-varying factor exposures and their use in style analysis.

改做：

Explain how to use style analysis to handle time-varying factor exposures.

说法相似，无实质性变化。

第十四章Portfolio Construction

1、 Describe neutralization and methods for refining alphas to be neutral.

改做：

Describe neutralization and the different approaches used for refining alphas to be neutral.

说法相似，无实质性变化。

2、 Assess the impact of practical issues in portfolio construction, such as determination of risk aversion, incorporation of specific risk aversion and proper alpha coverage.

改做：

Describe practical issues in portfolio construction, including the determination of an appropriate risk aversion, aversions to specific risks, and proper alpha coverage.

说法相似，无实质性变化。

第七章Portfolio Risk: Analytical Methods

1、Define, calculate and distinguish between the following portfolio VaR measures: individual VaR,incremental VaR, marginal VaR, component VaR, undiversified portfolio VaR and diversified

portfolio VaR.

改做：

Define, calculate and distinguish between the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR.

说法相似，变化不显着。

2、 Describe the challenges associated with VaR measurement as portfolio size increases.

这条删除

第17章VaR and Risk Budgeting in Investment Management

1、 Apply VaR to check compliance, monitor risk budgets and reverse engineer sources of risk.

改做

Explain the use of VaR to check manager compliance and monitor risk.

删除了reverse engineer sources of risk

1、 Explain how VaR can be used in the investment process and the development of investment guidelines

改做

2、Explain how VaR can be used in the development of investment guidelines and for improving the investment process.

说法相似，无实质性变化。

第十七章（2）Risk Monitoring and Performance Measurement

Define, compare and contrast VaR and tracking error as risk measures.

改做：

Describe the three fundamental dimensions behind risk management and their relation to VaR and tracking error.

第二十四章Portfolio Performance Evaluation

1、Describe and distinguish between risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha)and information ratio.

改做：

Describe risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha) and the information ratio, and identify the circumstances under which the use of each measure is most relevant.

FRM网课

增加了适用场景

2、 Explain the difficulties in measuring the performance of hedge funds.

改做：

Explain the difficulties in measuring the performance of actively managed portfolios.

强调了actively managed portfolios

3、 Describe techniques to measure the market timing ability of fund managers with a regression and with a call option model and compute return due to market timing.

改做：

Describe performance manipulation and the problems associated with using conventional performance measures.

突出了业绩操控和潜在问题

第十七章（3）Hedge Funds

1、Explain the evolution of the hedge fund industry and describe landmark events that precipitated major changes in the development of the industry

这部分内容由大标题改为子标题，不算实质性改变。

2、 新增以下部分：

Stephen G. Dimmock and William C. Gerken: Finding Bernie Madoff: Detecting Fraud by Investment Managers (2011) [IM–11]

After completing this reading, you should be able to:

Explain the use and efficacy of information disclosures made by investment advisors in predicting fraud.

Describe the barriers and the costs incurred in implementing fraud prediction methods.

Discuss ways to improve investors’ ability to use disclosed data to predict fraud.