20110215FRM一级估值与&eacut

20110215FRM一级估值与&eacut

Info icon This preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
1 上海金程国际金融专修学院 上海金程国际金融专修学院 金程教育2011年FRM Part I基础班讲义 Valuation and Risk Models 讲师:程黄维 FRM 日期:2011年02月19~20日 地点: ■ 上海 □ 北京 □深圳 100% Contribution Breeds Professionalism 2 - 125 ¾ Fixed Income Valuation 9 Bond Prices, Discount Factors, and Arbitrage 9 Bond Prices, Spot Rates, and Forward Rates 9 Yield to Maturity 9 One Factor Measures of Price Sensitivity ¾ Option Valuation 9 Binomial Trees 9 The Black-Scholes-Merton Model 9 The Greek Letters ¾ Value at Risk 9 Introduction to Value at Risk 9 VAR Methods 9 Forecasting Risk 9 Extending the VAR Approach to Operational Risk 9 Stress Testing ¾ Measuring Credit Risk 9 The Rating Agencies 9 External and Internal Ratings 9 Country Risk Models 9 Loan Portfolios and Expected Loss 9 Unexpected Loss Valuation and Risk Models-(30%) 100% Contribution Breeds Professionalism 3 - 125 Fixed Income Valuation 100% Contribution Breeds Professionalism 4 - 125 Bond Prices, Discount Factors, and Arbitrage ¾ Fundamentals of Bond Valuation Price Discount Rate Cash flow Principal ( ) t t t 1 cash flow 1 discount rate n P = = + coupon Spot Rates YTM
Image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon