GARP/FRMコミュのFRMなニュース

ＦＲＭ試験が２段階に変更！

【ニューヨーク、ロンドン２６日ＰＲＮ＝共同ＪＢＮ】世界リスク管理専門家協会（ＧＡＲＰ：グローバル・アソシエーション・オブ・リスク・プロフェッショナルズwww.garp.org）は２６日、リスク管理専門家の世界的標準として広く認められている目標である金融リスク管理者（ＦＲＭ：登録商標）の認証計画の授業細目で重要な変更を発表した。ＧＡＲＰによると、認定試験を受ける人が必要とする学習資料の幅が一回の試験で効果的にカバーできる量を超えて拡大された。この結果ＦＲＭプログラムは現在の１回の試験から今年後半に２段階の試験へと移行し始める。
　ＧＡＲＰのリチャード・アポストリク理事長兼最高経営責任者（ＣＥＯ）は「金融危機は劇的にグローバルな金融システムを変えており、それで金融リスク管理専門家のステータスと役割を評価している。その結果世界のリスク管理専門家は上級管理職に就く準備をする必要があり新しいグローバルで相互に結びついた市場の複雑さに対応する必要がある。われわれの認定プログラムへの追加はＦＲＭ認定リスク管理者が現在の急速に変化している金融情勢のダイナミックで変転する要求に応じた知識と技能を持っていることを確実にするだろう」と語った。
　ＦＲＭプログラムはこの結果２００９年から受験者が２つの試験、レベル１とレベル２に合格することが必要となるように移行する。新プログラムではレベル１は量的分析、金融市場、商品、重要なリスクモデリングなどリスク管理の中核をカバーする。レベル２は市場、クレジット、運用上リスクの実践と計測、管理の実行に関する特定の問題および現在の金融市場で起きている問題の新しい分野をカバーする。
　試験は１年に２回行われ、最初のレベル１試験が２００９年１１月２１日、レベル２が２０１０年５月にそれぞれ行われる。２０１０年とそれ以降はレベル１試験が５月にレベル２試験が１１月にそれぞれ実施される。
　ＧＡＲＰは２００９年の移行期間中２００８年に受験しなかった人を対象に１１月２１日に１回だけの試験を行うが、この日は最初のレベル１試験も行われる。
　ＦＲＭプログラムは過去７年間で総登録者数で２５％の年間複合成長率を実現した。２００８年には１３６８１人がＦＲＭ受験を登録し２００７年から３５％増加した。試験は世界の８０試験場で行われ受験者が理論的学習を実際的状況に適応させる能力があるかを問う実世界と関連した質問が出される。ＦＲＭ試験準備は受験者に各レベルでの読書指導、学習結果、模擬試験などを提供して柔軟で、自習形式で行えるようになっている。
http://news.cybozu.net/press/prwkyodo/000069314.html

オフィシャル・リリース
http://www.garp.com/frmexam/letter_to_members.aspx

詳細はFAQを参照
http://www.garp.com/frmexam/faq.aspx

Breaking Down the CFA and FRM　[From GARP Risk Review - February 2009, Issue 46]

The CFA and FRM are successful certification programs. Theodore Kim, a financial research execu tive who holds both certifications, explores how they have grown over the past decade and explains their similarities and differences.

Despite the recent turmoil in financial markets, professional education is still growing. In fact, enrollment numbers for two of the most visible and popular postgraduate certifications ― the CFA Institute’s chartered financial analyst (CFA) and the Global Association of Risk Professionals’ financial risk manager (FRM) ― remain very strong (see Table 1, below).

In a period of increasing job competition and massive downsizing in the financial services, analysts and risk practitioners are doing anything and everything they can to enhance their skill sets. That includes obtaining the CFA, the FRM (the flagship certification of the publisher of this magazine) or even both. As training programs, these two certifications share some common attributes, as well as fundamental differences.

The subject matter for the CFA encompasses 10 categories: ethics, quantitative methods, economics, financial reporting, corporate finance, equities, fixed income, derivatives, alternative investments and portfolio management. While the CFA Institute publishes general guidelines as to the percentage weighting for each category, the questions on the exam are usually so evenly distributed that candidates are compelled to be thoroughly prepared for each and every topic.

Candidates pursuing the CFA must pass three separate six-hour exams within a three-year period to achieve a charter. Recent statistics provided by the CFA Institute indicated this is a difficult challenge. The worldwide pass rates for the 2008 set of CFA exams, for example, were35%, 46% and 53%, for Levels I, II and III, respectively, according to CFA literature.1

As presently constituted, the FRM certification process is a single-level event. It requires candidates to pass one exam, given annually in November, and its coverage is divided into five general areas: market risk, credit risk, operational risk, quantitative analysis and risk management in investment management.

There is some overlap between the subjects covered by the FRM and CFA exams. Both, for example, have a dedicated section on quantitative analysis ― though the FRM goes into greater depth in this area.

While there may be fewer topics covered in the FRM, and while the exam process itself is shorter than the CFA, the FRM is definitely intense, thorough and quantitatively rigorous (see Table 2, pg. 34).

Coverage of fixed-income investments is one area where there is a major difference between the CFA and FRM. While the CFA provides coverage of structured products, interest rate risk and embedded options, its overall fixed-income curriculum is general. It starts with the definition of a bond and also explains the differences between interest-rate risk and credit risk.

In contrast, the FRM fixed-income section drills down deeper, through analyses of bankruptcy and default, loss-given default and recovery rates, external and internal credit ratings, securitization, collateralized debt obligations and portfolio credit risk.

[Continued...]

Global Recognition and a 45-year Head Start

The CFA is one of the most recognized of all financial credentials.

The CFA Institute has exam centers and chapters across the globe, and financial recruiters ― particularly in major financial cities such as Hong Kong, Singapore and London ― are actively searching for CFA-qualified candidates. Moreover, the CFA also has very strong appeal among recruiters in emerging markets like Sao Paolo, Mumbai and Shanghai.

The longevity of the CFA has contributed to its widespread professional recognition. The CFA dates back to June 15, 1963, when 284 senior analysts sat for the first-ever CFA exam. (In comparison, the FRM was started only 10 years ago.) Over the last 45 years, according to data provided by the CFA, more than one million candidates

have sat for the exam (as of December 2008).

In 1942, industry giants Benjamin Graham (the pioneer of value investing) and David Dodd (best known for his fundamental securities research) first proposed the need for a professional-rating designation for financial analysts. In 1959, the National Federation of Financial Analysts Societies (NFFAS) voted to form the Institute of Chartered Financial Analysts (ICFA) to provide a certification of competence in financial analysis.

The ICFA was formally incorporated in 1961 and gave the first CFA exam two years later. In 1999, the ICFA formally merged with the NFFAS to form the Association of Investment Management and Research (AIMR). In 2004, in an effort to reinforce its association with the CFA charter, AIMR changed its name to the CFA Institute.

Decades ago, the original CFA program focused on equity-security analysis in a US setting, and emphasized ethical and professional standards. Today, however, while those topics are still prominent components of the CFA, they are covered in a global context, along with other issues ― including fixed-income analysis, alternative and derivative investments, hedging strategies, portfolio management and economics.

[Continued...]

FRM: Still Young, but Quickly Gaining Ground

Financial risk management has evolved during the past decade, due in part to the increasing sophistication of financial markets, ever greater levels of volatility, market fragmentation, the creation of highly bespoke investor solutions and substantial growth in sheer dollar trading volume. The FRM ― a highly specialized, quant-heavy certification targeted specifically at financial risk practitioners ― has also grown significantly during this time period.

Despite the fact that it is more narrowly focused and was initiated a relatively short time ago, the FRM, like the CFA, is highly respected in global financial markets.

GARP launched in 1996 as a not-for-profit, independent association, and it now has more than 85,000 members from roughly 150 countries. Its members (risk practitioners spread across the credit, market and operational risk disciplines) work in many different types of firms, including regional and global banks, asset management firms, insurance companies, central banks, securities regulators, hedge funds, universities, large industrial corporations and multinationals, according to GARP’s website.

The growth of GARP mirrors the escalating numbers of FRM candidates. Registration for the FRM exam process grew from 3,584 in 2002 to 13,681 in 2008, according to GARP (see http://www.garp.com/frmexam/FRMstats.aspx). During that same period, the number of financial services firms with five or more FRM registrants increased from 105 to 349, the association reports. Moreover, FRM registrations rose by 35% from 2007 to 2008, compared to an 18% increase for the CFA.

[Continued...]


Benefits of Duality

Though there are no concrete statistics on dual-holders of the CFA and FRM, the number of people who hold both designations has increased during the past five years. Bud Haslett, the chief executive officer and director of option analytics at Manhattan-based Miller Tabak Capital Management, is one such financial professional.

Haslett graduated with an MBA in investment management from Drexel University in 1982. Shortly thereafter, he began a long career as an options broker on the floor of the Philadelphia Stock Exchange, which at the time was one of the largest options markets in the world.

Haslett pursued CFA certification in 1993, successfully passing all three levels and receiving the charter in 1996. He subsequently became an active member of the Philadelphia Society of Security Analysts and the chair of the derivatives committee of the New York Society of Security Analysts. In 1999, Haslett passed the FRM. “As an options market maker, I recognized how important risk management was,” Haslett explains. “It opened me up to a whole new [analytical] world, as opposed to the trading floor, where you have to make split-second decisions.”

After leaving PHLX, Haslett was joined Miller Tabak, and he now spends part of his time managing a fund that executes a conservative options strategy with downside protection. “The main advantage to the CFA is that it is very broad. In comparison, the FRM is very specifically focused in risk management and is also obtainable in a shorter period of time,” Haslett elaborates.

Like Haslett, Sharon (who spoke to GRR on the condition of anonymity) also holds both the CFA and FRM. She received an MBA from Carnegie Mellon University’s Tepper School of Business in 1996. Shortly thereafter, she pursued the three-year CFA program ― passing all three exams ― and received the CFA in 2000.

While Sharon initially worked in risk management, at Merrill Lynch and then at the insurance giant American International Group (AIG), it was only after those roles that she started the FRM program. “I first heard about GARP through some classmates on a CFA exam prep course, and the FRM seemed like a logical next step after I finished Level 3 of the CFA. To a large extent, I found that the FRM was more quantitatively oriented,” she explains.

Presently, Sharon works for a large, private bank focused on private wealth management, and her responsibilities include investment manager selection. “Investment management and risk management, especially in these markets, I think, are really one and the same. So … the entire FRM exam process provides you with very good training to understand and manage volatility, as well as investor expectations,” she says.

There are, of course, other reasons why it is desirable to hold both the CFA and FRM. Here are a few:

- Many CFAs see the FRM as a readily obtainable, career-enhancing credential.

- The skill sets of FRM- and CFA-holders tend to be complementary. Much of securities valuation and portfolio management is based on risk assessment. The value of a fixed income portfolio, for instance, is heavily dependent on the risk associated with receiving all scheduled cash payments in a timely matter. On the other hand, much of risk management is based on expected securities valuation.

- The investment management/securities analyst field is considered to be in a protracted downsizing period because of industry consolidation, outsourcing and risk aversion. On the other hand, Wall Street recruiters see risk management as one of the few career growth areas. Therefore, job seekers who hold both qualifications may be the best equipped to compete for open positions in this evolving environment.

[Continued...]


The Next Step: Continuing Education

Much like doctors and lawyers ― professions in which there is a long tradition of extended education ― financial professionals are active in continuing education (CE) programs.

The CFA Institute offers an array of options to accumulate CE credits. For instance, nearly all training courses offered by CFA Institute chapters, such as NYSSA, provide attendees with a certain number of CE credits upon completion. However, CE is not mandatory for CFAs.

In the global financial risk management community, increasing demands for CE prompted GARP to schedule the launch of its so-called risk professional continuing education (RPCE) program for early 2009. The FRM designation, according to GARP literature on the RPCE program, is most effective when paired with continuous training and education.

Like the CFA’s CE program, GARP’s RPCE program is voluntary and is only available to certified FRM-holders. The RPCE requires participants to complete 40 credit hours of approved continuing education activities within a two-year time frame.





Advantages of the CFA and FRM

CFA

* More widely recognized by recruiters and financial insti tutions, particularly in business areas not specifically fo cused on risk management.

* Perceived as a demanding professional certification, due in part to its three-year exam schedule and high failure rate.

* Offers substantial networking opportunities at chapters across globe. NYSSA alone, the New York-based chapter of the CFA Institute, has more than 10,000 members.

* In certain markets, the certification is recognized by regulatory bodies as a qualifying exam. This means that charter holders are exempt from certain state licensing ex ams (e.g., part 1 of the US Series 16 supervisory analyst exam).

* As a result of the broad CFA curriculum, CFA-holders may be in a better position to gain more client-facing job responsibilities (increasing their visibility within a firm). This is because ordinary investors are more apt to chat about the next hot stock, the next hot sector or the global economy rather than narrowly defined risk topics.

FRM

* Perceived as highly quantitative oriented. This is always a big plus in an industry where complexity and sophistica tion of instruments is an ever-increasing challenge.

* Within the field of risk management ― whether credit, market, operational or even IT systems architecture de velopment ― it is perfectly targeted toward meeting client needs.

* Relative to other fields, risk management is highly reces sion resistant. When the markets are good, skilled and qualified risk managers do well. When the markets tank, they may do even better.

* Highly practical and doable certification requiring only one exam and achievable within one year.

* Rapidly growing recognition among recruiters and finan cial industry human resource departments as a highly prized credential for a risk-management career. To date, more than 14,000 risk professionals hold the FRM.