Hi,I am new to AF,it seems like a good&informative community.
Cutting the long short I have decided to Pursue FRM,Yeah I know CFA is much higher recognized,due to some circumstances(still an undergrad business student ,also the investment based of CFA) I have decided to sit for FRM part I in nov 2015.
Here is the problem,A business degree lacks the quant background to tackle FRM,I have heard I have to learn hypothesis testing and standard dev in statistics.Anything else ?
I want to build a good understanding of the maths/statistics involved before moving to BT/Schwester for the actual exams.
You will also need to know basic probability theory. e.g. marginal/conditional/joint probabilities, bayes’ theorem, properties of expected value and variance operators, central moments,
Know how to apply the cumulative probability distributions and probability density(mass) functions. e.g. uniform, binomial, bernoulli, poisson.
Know how to calculate the test statistics of various distributions and how to conduct hypothesis tests with them. e.g. standard normal, student’s t-distribution, chi-squared, F-distributions
Know how to caluclate confidence intervals.
You should be very very familiar with regression analysis: underlying assumptions, interpretation, hypothesis testing, application to hedging, breakdown of variation, R^2, multicollinearity, heteroskedasticity etc.
Be familiar with monte carlo simulation.
Volatility estimation models will almost definitely be tested. Noteably EWMA, ARCH and GARCH models.
Calculus CAN help in the program, but is not in any way necessary to success. Sometimes when I saw optimization formulas and didn’t understand where they came from, I would derive them; but it is just as easy for the purpose of the exam to memorize the formula.
^ How is all of that not taught in business undergrad, that’s all fairly basic stats? Are programs that diluted these days? Can you sub out stats for basket weaving?
^Dealing with multicollinearity and heteroskedasticity was really only covered in my econometrics classes. Not business stats. I wasn’t exposed to EWMA/Arch/GARCH until grad school.
I never went to business school but my business school friends (mostly Sauder at UBC) only had to take one stats class that ended with multiple linear regression and they still barely understood what was going on.
The regression stuff is mostly econometrics, so econ majors. The rest, I think most require an intro to statistics class (the depth of the material I’m sure depends on the school).
Clearly, he attends the inferior Texas Tech and not UT San Antonio.
But anyway, my serious suggestion is to just start with the FRM study material and only research the concepts that you don’t know from that syllabus. Otherwise, you’ll spend time on lots of things you don’t need. Presumably, your primary goal is to pass the test, and only later revel in the elegance of the statistical concepts that you would then know…