在FRM二级考试中，有很多公式是需要考生所掌握的。因为在FRM考试中是有很多的计算题的。关于FRM二级考试公式，考生需要掌握哪些？下面是小编列举的，一起了解一下！
Weighted Historical Simulation Approaches：
• Age-weighted: adjusts the most recent (distant) observations to be more (less) heavily weighted.
• Volatility-weighted: replaces historic returns with volatility-adjusted returns; actual procedure of estimating VaR is unchanged.》》》戳：免·费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）
• Correlation-weighted: updates the variance- covariance matrix between assets in the portfolio.
• Filtered historical simulation: relies on bootstrapping of standardized returns based on volatility forecasts; able to capture conditional volatility, volatility clustering, and/or data asymmetry.
Peaks-Over-Threshold (POT)：
Application of extreme value theory (EVT) to the distribution of excess losses over a high threshold. The POT approach can be used to compute VaR. From estimates of VaR, we can derive the expected shortfall (ES).【资料下载】点击下载融跃教育金融专业英语词汇大全.pdf
Backtesting VaR：
• Compares the number of instances when losses exceed the VaR level (exceptions) with the number predicted by the model at the chosen level of confidence.
• Failure rate: number of exceptions/number of observations.
• The Basel Committee requires backtesting at the 99% confidence level over one year; establishes zones for the number of exceptions with corresponding penalties (increases in the capital multiplier).
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