CFA二級(jí)知識(shí)精講-集訓(xùn)營(yíng)直播-固收-講義

科目集訓(xùn)營(yíng)（2019.06）123456789Case1ThefollowinginformationrelatestoQuestions1–6CaidenJackson,aprivateispreparingforhispost-retirementinvestmentplan.HeplanstoobtaininvestmentknowledgebytakingtheexamandhealsohiresaseniorfinancialconsultantSongtohelpJacksontellsSongthathehaspassedthelevelIyearsagoandwantstofinishtheuncompletedlevelsafterretirement.DuringstudyinglevelI,hefoundanunfamiliarconcept“risk-whichwasonlyinvolvedinderivativespartandheignoredtheconceptatthatButnowhefindsthattheconceptisalsousedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestmenttheorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.Songanswersquestionandexplainshisopinionsabouttherisk-neutralconcept.Throughhard-workingandwithhelp,Jacksonfinishedalllevelsofexamthreeyearslaterandplanstoinvestinthefixedincomefieldbyfirst.HecollectsthecurrentmarketinformationshowninExhibit1.Year1Year2Year3Year4ar10Case1Accordingtohisanalysisandprediction,healsosummarizesabinomialtreeofinterestrateinExhibit2.1%2%%34Somedaysthemarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%revertstothepricethatJacksoncalculated.Thisresultstrengthenshisconfidenceintheinvestmentfield.Fivedayshepurchasesanannuallypaymentcallablebondat$99.2.Theinformationforthebondaregiven11Case13CouponPBondA$4perCallable$102inoneandBecauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentsetoffixed-incomeproducts.hehasintenseinterestsincreditdefaultswaps(CDS).JacksonnoticesHi-companyintheITindustryisfromuncertaintyintheleadershiptransition.Jacksonfindsthatthecompanybondsyields4%andmaturesinthreeyears.TherelevantCDSonthecompanybondhasa1.75%creditspread.Jacksonforecaststhatthenewleaderforthecompanyisgoingtoacquireacompanybyissuingadditionaldebt.AftertheanalysisoftheJacksonlearnscollateralizeddebtobligation(CDO)throughafinancialJacksonseeksadvicefromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebondsandundertakingasaprotectionsellerinCDS.121.Whichoneofthefollowingtheoriesissuitableforrequirement?A.UnbiasedexpectationtheoryB.LocalexpectationtheoryC.Preferredhabitattheory13Answer答案：C考點(diǎn)：五種傳統(tǒng)利率期限結(jié)構(gòu)理論解析：根據(jù)題目信息描述，Jackson認(rèn)為風(fēng)險(xiǎn)中性性質(zhì)沒有實(shí)際意義，因此想要尋找一個(gè)不涉及這個(gè)風(fēng)險(xiǎn)中性概念的理論，expectation和localexpectation都涉及了風(fēng)險(xiǎn)中性這個(gè)概念，因此答案是除這兩個(gè)選項(xiàng)之外的任何一個(gè)傳統(tǒng)利率期限結(jié)構(gòu)理論，答案選。142.AccordingtotheExhibit1,thespotrateofyear4closesttoA.5.65%B.5.61%C.6.68%15Answer答案：A考點(diǎn)：使用bootstrap方法從parrate推出spotrate解析：需要注意的是年期的parrate就是年期spotrate，也就是第一年的spotrate是0.025，年期rate是3.5%意味著一個(gè)兩年期的債券，每年支付3.5%票息價(jià)格為100。年期parrate是4.5%意味著一個(gè)三年期的債券，每年支付4.5%票息價(jià)格為，年期的parrate是5.5%意味著一個(gè)年期的債券，每年支付5.5%票息價(jià)格為。因此有16Answer17Answer183.AccordingtotheExhibits1and2,ifthepriceofa3-yearannuallystraightbondisattheintrinsicvalueofa3-yearbondisclosestto?A.104.66768B.102.77452C.103.2654719Answer答案：A考點(diǎn)：用二叉樹估計(jì)普通債券估值解析：解題過程中首先要明確的是，根據(jù)表如果個(gè)年期的普通債券以面值發(fā)行意味著它的coupon是4.5在最后一期所有支付都是本金加票息104.5。其次雖然二叉樹給了期，但是解題只需要使用前期。因此可以得到在三個(gè)節(jié)點(diǎn)的折現(xiàn)值為20Answer214.AccordingtoExhibits2and3,theoptioncostofthecallablebondisclosestto:A.0.03B.0.05C.0.0722Answer答案：A考點(diǎn)：用二叉樹對(duì)bond估值解析：23Answer245.BaseontheanalysisfortheappropriatestrategyforJacksonisto:A.buythecompanybondandbuyCDSoncompanybondsimultaneouslyB.sellthecompanybondandbuyCDSoncompanybondsimultaneouslyC.sellthecompanybondandsellCDSoncompanybondsimultaneously25Answer答案：B考點(diǎn)：交易策略解析：因?yàn)镴ackson預(yù)計(jì)公司的新領(lǐng)導(dǎo)人將會(huì)發(fā)行債務(wù)去收購(gòu)一個(gè)目標(biāo)企業(yè)，因此新發(fā)行的債務(wù)勢(shì)必會(huì)造成已有債務(wù)的信用風(fēng)險(xiǎn)敞口增加，所以現(xiàn)存?zhèn)膬r(jià)格會(huì)下降；由于債券的信用風(fēng)險(xiǎn)增加，價(jià)格也會(huì)上漲，所以最好的交易策略就是賣出債券，同時(shí)買入，所以選。266.IsstatementonCDOcorrect?A.B.No,becauseheincorrectwithregardtodefault-freebonds.C.No,becauseheincorrectwithregardtoprotectionsellerinCDS.27Answer答案：A考點(diǎn)：合成解析：使用合成CDO首先是買入無違約風(fēng)險(xiǎn)的債券，然后在市場(chǎng)中作為protectionseller增加信用風(fēng)險(xiǎn)敞口，來達(dá)到合成CDO的目的，因此正確。28Case2ThefollowinginformationrelatestoQuestions7–12MichaelGrossisthejuniorstudentofpsychologyinDukeIntheperiodofschool,heearnhistuitionbypokerLasduringthevacation.InLashefoundthatthepokerplayerbecapableoffinishingthelogicalprocessquicklyinthelightofthesituationsongamblinggames.ButhecannotfinishthereasoningprocessattheshortHisteachersuggeststhattheinvestmentanalystisprobablysuitableforTheanalysthasenoughtototheconclusionbecauseofthesignificanceofresult.Therefore,HewantstofindaninternjobinthefixeddepartmentofGaodunFinance.Evenifhehasanexcellentbackground,heneedstopasstheexaminationbyansweringthequestionsfromthe29Case2GloriaDavies,theleaderofthefixedincomedepartment,isdesignatedtobethebutsheneedstodealswithherjobfirst.JohnThomas,theseniorinterestrateanalyst,providesherwiththespotratecurveshowninExhibit1basedonthecollectedmarketinformation.DavieschecksthedataandasksThomastocalculatetheforwardratesbasedontheinformation.30Case231Case2BecauseoftheperfectperformanceintheGrossisenrolledinGaodunFinanceasanintern.OneGrossisconfusedaboutcreditanalysisandconsultswithLesson.Grossasks”Isthereanycreditanalysismethodthatcanprovidequantitativeresultsonthedefaultprobabilityandexpectlossgivendefaultandthatcantakeintoconsiderationsofdifferentbusinessstages?”Afterthediscussionofcreditanalysis,DaviesasksGrosstointroduceasset-backedsecurities(ABS)tothepotentialclientsofGaodunFinance.DuringtheGrosspresentsthatthecreditanalysisprocessforABSisdifferentfromtraditionalbondsduetothetranchestructureofABS.Forexample,ifanyprincipalorinterestsallthetranchesoftheABSproductionclaimtheprincipalequallybutthehighesttranchereceivestheinterestsforemost.327.AccordingtotheExhibit1,thef(1,2)isclosestto:A.1.40%B.1.35%C.1.38%33Answer348.AccordingtotheExhibit2,thedifferencebetweenforecastvalueforNode2-2andtheactualvalueforNode2-2isclosestto:A.0B.0.06%C.0.03%35Answer369.WhichoneofthefollowingspreadsistheappropriateresponsetoQuestion1？A.Z-spreadB.Option-adjustedspreadC.G-spread37Answer答案：B考點(diǎn)：衡量含權(quán)債券信用風(fēng)險(xiǎn)的指標(biāo)解析：根據(jù)定義G-spread是thespreadinoveranactualorinterpolatedgovernment這個(gè)數(shù)值的差距反映了一切債券和國(guó)債不同的特性。Zspread同樣是反應(yīng)一切債券和國(guó)債差異的基差，主要的區(qū)別在于G-spread是收益率YTM做差，而Z-spread是加在spotratecurve上的一個(gè)數(shù)值。并且G-spread很容易計(jì)算出來，但是Z-spread往往是通過試錯(cuò)法得到的。兩者都是將某個(gè)債券與國(guó)債一切不同的特征反應(yīng)在一個(gè)spread中，但是區(qū)別在于一個(gè)是YTM之差，另一個(gè)是通過試錯(cuò)法在ratecurve上得到的。這兩個(gè)數(shù)值應(yīng)該極其接近，但是它們都是在反應(yīng)全部差異。相比較之下OAS是一種移除掉期權(quán)影響的spread可能會(huì)更加直觀地反映信用風(fēng)險(xiǎn)。3810.Whichofthefollowingbehaviorsofmanagingtheinterestrateofthefloating-ratebondisleastbeneficialtoissuer?A.Theissuercanaddtheinterestcaptoreducetheinterestrateriskofthefloating-ratebond.B.Theissuercanaddtheinterestfloortoreducetheinterestrateriskofthefloating-ratebond.C.Theissuercantransferthefloating-paymentintofixed-paymentbymakingtheinterestrateswap.39Answer答案：B考點(diǎn)：利率封頂或封底對(duì)發(fā)行人的優(yōu)劣解析：選項(xiàng)，發(fā)行人通過加利率封頂來保證自己支付的coupon不會(huì)超過caprate，這種安排有利于發(fā)行人。選項(xiàng)，發(fā)行人通過增加利率封底來保證自己支付的coupon不會(huì)低于floorrate，但實(shí)際上這個(gè)雖然也是降低利率風(fēng)險(xiǎn)，但是這個(gè)風(fēng)險(xiǎn)管理方式是保護(hù)了投資者而不是發(fā)行者，是一種對(duì)投資者有利的行為，但是并不利于發(fā)行者因此錯(cuò)。選項(xiàng)，發(fā)行者通過互換將浮動(dòng)利率支付轉(zhuǎn)變成一個(gè)固定利率支付，完全消除未來利率變化所導(dǎo)致的自身支付的不確定性，因此也是正確的。40questionaboutcreditanalysis,theappropriateanswergivenbyLessonis:A.creditratingB.structuremodelC.reducedmodel41Answer答案：C考點(diǎn)：信用分析模型解析：在reducedmodel中，可以計(jì)算出違約概率以及違約事件發(fā)生后的期望損失，并且在模型設(shè)定時(shí)可以考慮不同經(jīng)濟(jì)周期下宏觀經(jīng)濟(jì)對(duì)違約事件發(fā)生概率及發(fā)生后果的影響，因此正確。A中的creditrating不能給出對(duì)違約概率的定量分析，因此錯(cuò)誤。B中的structuremodel不能涉及不同的經(jīng)濟(jì)周期對(duì)違約事件的影響，因此錯(cuò)誤。4212.IsstatementonABScorrect?A.No,heisincorrectwithrespecttothecreditanalysisprocess.B.No,heincorrectwithrespecttorepaymentpriorityofprincipalandinterests.C.43Answer答案：B考點(diǎn)：資產(chǎn)證券化產(chǎn)品的信用分析解析：由于資產(chǎn)證券化債券的信用分析過程不同于一般債券，因?yàn)榇嬖诜旨?jí)結(jié)構(gòu)（tranchestructure）所謂違約損失首先由低級(jí)別的層級(jí)來承擔(dān)，這與傳統(tǒng)債券不同，因此Gross關(guān)于信用分析過程不同于傳統(tǒng)債券的言論時(shí)正確的；但是所有收回的本金和利息都要優(yōu)先償付高層級(jí)的債券，而不是把本金均勻的分配給各個(gè)級(jí)別，因此Gross關(guān)于本金及利息的償還順序的言論不正確，因此選。44Case3ThefollowinginformationrelatestoQuestions13–18PhillipsJosephisaseniorcreditanalystworkingforLoftyInc.heisaskedtopressacreditreportonSliverForwardacompanyintheconsultingarea.HensonLeonard,acolleagueofJoseph,isaspecialistinquantitativeanalysis.Leonardsuggeststhat“insteadofcreditrating,Ipreferstructuralmodelbecausestructuralmodelrendersquantitativeresults,suchasthepresentvalueoftheexpectedlossandtheprobabilityofdefault,andithasnoonthebalancesheet.”Josephreplies”Althoughtherearetremendouslyobviousadvantagesofthestructuralmodel,isrelativelycomplicatedforinvestorstounderstand.Incontrast,thecreditratingisstraightforwardbecausetheratingprovidesastatisticthatthefutureperformanceonapotentialdebtFurthermore,creditratingisrelativelystableoverwhichresultsinlowvolatilityinthedebtmarket.”Afterthediscussion,JosephfulfillsthecreditreportonSliverForward45Case3Accordingtothepreviousanalysis,Sumail,oneofcolleagues,concludesthatthecorporationhashighcreditqualityandlistssupportingevidenceinthereportofcreditanalysis.Buttheinvestorthinksthatthedecisionofinvestmentisbasedonthepreciselyquantitativestandardratherthanthequalitativeconclusions.Hence,isrequiredtoanumericalindicatorformeasuringthechangeofthecreditrisk.Hethinksthatthecreditriskofthecorporationisconstantoveralong-termperiodandZ-spreadcanbeappropriateriskmeasurement.Hesummarizesthespotratecurvebasedonthereportfromthedepartmentofprediction.46Case3AccordingtotheZ-spreadgiveninthecreditanalysisreport,ZhileiXuatradinglossatthepositionofBondA.Hehiresanewinvestmentconsultantwhoisspecializinginthevaluationoffloating-ratebondbecauseXuthinksthatthefloating-propertyoffeedbackformarketenvironmentalchangeisdesirabletobothFortheissuingwillpaytheborrowingcostthatisexactlyequaltoriskForthethefloating-ratebondtremendouslyreducestheinterestrateTheinvestorwillnotalossandalsonotaprofit.Xudecidestoinvestinthefloating-ratebondwithinterestratecapissuedbyEvilgeniusandherequiresaconsultanttoafairvalueofthecappedfloating-ratebond.Hisconsultantcollectsinformationas47Case3Basedonthepredictionoftheinterestratebinominaltree,Xuexpressesthattheprotectionofdownsideinterestrateisnecessarybecausehehasapredictablefixedcashoutflowoverthenextthreeyears.Hehopesthatthecouponpaymentfromthefloating-ratebondisneverbelow6%.TheconsultantstatesthatouranalystgivestheexpectationofhigherTIIBORrelativetothecurrentexpectationofTIIBOR.4813.Isstatementonthestructuralmodelcorrect?A.sB.No,heincorrectregardtoquantitativeresults.C.No,heisincorrectregardtotheonthebalancesheet.49Answer答案：C考點(diǎn)：structuralmodel的假設(shè)條件解析：structuralmodel中需要假設(shè)公司的資產(chǎn)負(fù)債表中只有一筆負(fù)債，且該債務(wù)是一次性償還的Z-bond，因此structural是對(duì)公司資產(chǎn)負(fù)債表有所要求的，因此選。5014.Isstatementonthecreditratingcorrect?A.sB.No,heincorrectbecausecreditratingisbasedonthepastperformanceofapotentialC.No,heisincorrectbecausecreditratingisfugitiveoverwhichresultsinhighvolatilityinthedebtmarket.51Answer答案：B考點(diǎn)：creditrating的優(yōu)缺點(diǎn)解析：信用評(píng)級(jí)的主要優(yōu)點(diǎn)之一就是評(píng)級(jí)相對(duì)穩(wěn)定，因此能減少債券市場(chǎng)的波動(dòng)性，但是信用評(píng)級(jí)的缺點(diǎn)之一就是信用評(píng)級(jí)是基于債券發(fā)行者的過去表現(xiàn)得出的，因此存在滯后性，所以Joseph涉及到信用評(píng)級(jí)是基于未來表現(xiàn)的言論是不正確的，因此選。5215.AccordingtotheExhibit