2024年12月1日GARP協(xié)會公布了2025年FRM最新考綱，25年FRM二級變動最大的科目：（Market Risk Measurement&Management）市場風險管理和（Currentlssues）金融案例，其余科目基本保持不變。

流動性和資金風險計量與管理（Liquidity and Treasury Risk Measurement and Management）占比15%：沒有變化

市場風險管理與測量（Market Risk Measurement and Management）占比20%

Chapter 4: Backtesting VaR

原考綱：Verify a model based on exceptions or failure rates.

現改為：Evaluate the accuracy of a VaR model based on exceptions or failure rates by using a model verification test.

Chapter 6: Validating Bank Holding Companies' Value-at-Risk Models for Market Risk

原第六章《Messages from the Academic Literature on Risk Measurement for the Trading Book》刪除

考綱內容:

Describe some important considerations for a bank in assessing the conceptual soundness of a VaR model during the validation process.

Explain how to conduct sensitivity analysis for a VaR model, and describe the potential benefits and challenges of performing such an analysis.

Describe the challenges a financial institution could face when calculating confidence intervals for VaR.

Discuss the challenges in benchmarking VaR models and various approaches proposed to overcome them.

Chapter 7: Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform

考綱內容:

Identify the properties of an exceedance-based backtest that indicate a VaR model is accurate, and describe how these properties are reflected in a PIT-based backtest.

Explain how to derive probability integral transforms (PITs) in the context of validating a VaR model.

Describe how the shape of the distribution of PITs can be used as an indicator of the quality of a VaR model.

Describe backtesting using PITs,and compare the various goodness-of-fittests that can be used to evaluate the distribution of PITs: the Kolmogorov-Smimov test, the Anderson-Darling test, and the Cramér-von Mises test.

Chapter 13: Expectations,Risk Premium, Convexity, and the Shape of the Term Structure

原考綱:

Evaluate the impact of changes in maturity, yield, and volatility on the convexity of a security.

Calculate the price and return of a zero-coupon bond incorporating a risk premium.

現改為:

Identify the components into which the return on a bond can be decomposed,and calculate the expected return on a bond for a risk-averse investor.

信用風險管理與測量（Credit Risk Measurement and Management）占比20%

Chapter 5: Introduction to Credit Risk Modeling and Assessment

原考綱：Estimate capital adequacy ratio of a financial institution.

現改為：Estimate risk-weighted assets and capital adequacy ratio of a financial institution.

操作風險與彈性（Operational Risk and Resilience）占比20%

Chapter 3: Risk Identification

原考綱：Describe best practices in the process of scenario analysis for operationalrisk.

現改為：Describe best practices in extreme risk identification for operational risk.

投資風險管理（Risk Management and Investment Management）占比15%

Chapter 3: Alpha (and the Low-Risk Anomaly)

原考綱：Describe Grinold’sfundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law.

現改為：Describe Grinold’sfundamental law of active management, including its assumptions and limitations, and calculate the maximum attainable information ratio using this law.

金融市場前沿（Current Issues）占比10%

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