2010年澳门特别行政区CFA二级考试试题(必备资料)

CFA考试《CFA二级》历年真题精选及答案1122-401、Based on Exhibit 1, the maximum loss of Strategy 1 is:【单选题】A.￥210.44.B.￥225.76.C.￥232.34.正确答案:A答案解析:A is correct. Strategy 1 is a covered call position using SMTC July 240 calls. A covered call position is a combination of a long position in the shares and a short call option. For this covered call position on SMTC, YCM would have a long position in SMTC shares and a short position in the July 240 call option on SMTC shares. The maximum loss for this covered call position would occur if the SMTC share price fell to zero. The loss on the shares would be reduced by the amount of the premium received from selling the call option. Therefore, the maximum loss of Strategy 1 is the difference between the original share price (S0) and the option premium (c2、Should Costa’s end-of-meeting comments result in changesto Hernández’s capital budgeting analysis?【单选题】A.No.B.Yes, but only to incorporate the possible delay.C.Yes, to incorporate both the possible delay and the cost of producing the prototype.正确答案:B答案解析:B is correct. Timing options (e.g., delay investing) should be included in the NPV analysis, but sunk costs should not.3、Are the two observations Berg records after the fixed income conference accurate?【单选题】A.Both statements are accurate.?B.Only Statement 1 is accurate.C.Only Statement 2 is accurate.正确答案:A答案解析:Statement 1 is correct. Swap markets tend to have more maturities with which to construct a yield curve as compared to government bond markets. Statement 2 is correct. Retail banks tend to have little exposure to swaps and hence are more likely to use the government spot curve as their benchmark.4、【单选题】。

2010年09月试卷二注册国际投资分析师[CIIA]·考试真题与参考答案试卷二科目1、固定收益分析与估值2、衍生产品分析和估值3、组合管理问题1：固定收益分析和估值(31 分) ——————————————————————————————————投资顾问服务公司X的债券基金组合中原先并没有包含消费价格指数（CPI）挂钩国债。

然而，由于在去年的资本市场巨变中，CPI挂钩国债比普通国债的价格下跌幅度大得多，因此，作为一个债券分析师，你想建议他们购入CPI挂钩国债。

a)自二十世纪九十年代始，许多发达国家政府开始发行CPI挂钩国债。

请提供CPI挂钩国债被认为是有利于政府融资行为以及债务政策的两条理由，并简要解释之。

(5 分)表１内容中包括了一种十年期CPI挂钩国债的实际收益率，一种和上述CPI挂钩国债有相同到期时间的普通“基准”国债的平准通胀率（breakeven inflation rate）和名义收益率。

该CPI挂钩国债支付一固定息票，本金则按照发行日和每次利息支付日（以及到期日）之间的CPI的累计变化率而调整。

息票支付数额和赎回价格以调整后的本金为基础。

然而，该CPI挂钩国债也有一个“底部”：即使累计CPI变化率是负值，它的本金也不能跌破发行时的价值。

表１：CPI挂钩国债（10年期）和基准国债的市场利率b)CPI挂钩国债的实际收益率被定义为假定消费者价格指数的增长率为零时，现金流的内部回报率；平准通胀率被定义为基准国债的到期收益率和CPI挂钩国债的实际收益率的利差。

解释为何这被叫做“平准通胀率”。

(5 分)c)CPI挂钩国债的价格“底部”对于投资者对它要求的实际收益率有何种影响(4 分)d)你想建立一个能在CPI挂钩国债的平准通胀率上升时获益的投资头寸。

在CPI挂钩国债和基准国债间，你将使用何种多头头寸和空头头寸的组合，使得：1）你的组合对于基准国债收益率和CPI挂钩国债的实际收益率产生同等变化时呈中性；2）平准通胀率每上升一个基点（0.01%），你就有10,000货币单位的收益？为达到这效果，每种债券你各要交易多少价值（请四舍五入到最近的1,000货币单位）？请利用表2中提供的CPI挂钩国债和基准国债的修正久期来计算。

CFA试题是指在CFA考试中出现的题目，这些题目旨在评估考生对金融理论、实践和伦理道德的理解和应用能力。

CFA考试分为三个级别，每个级别的试题类型和内容都有所不同。

一级CFA考试主要考察考生对投资评估及管理方面的工具及基础概念的理解。

试题类型主要包括选择题，包括句子填空题和问答题。

二级CFA考试侧重于考察资产估值及投资工具的使用。

试题类型包括案例题，每个案例包括4道或6道选择题。

案例题通常包含图表、财务报表、统计数据等资料，考生需根据每个案例中的信息回答相关选择题。

三级CFA考试主要考察考生的投资组合管理知识。

试题类型包括简答题和论述题，案例分析题。

考生需要掌握资产定价和投资绩效分析，能够独立撰写投资报告。

CFA试题的设计目的是评估考生对金融理论、实践和伦理道德的理解和应用能力，试题类型包括选择题、案例题、简答题、论述题等。

考生在备考过程中，应通过大量练习真题和模拟题，掌握试题类型和答题技巧，提高自己的金融知识和分析能力。

CFA考试《CFA二级》历年真题精选及详细解析1007-41、In replying to Hextall’s recollection of the financial crisis, Klink most likely considered which risk measure?【单选题】A.VaRB.Scenario analysisC.Sensitivity analysis正确答案:B答案解析:B is correct. Scenario analysis is used for estimating how a portfolio might perform under conditions of market stress. Scenario risk measures estimate the portfolio returns that would result from a hypothetical change in markets. Stress tests and reverse stress tests are closely related to scenario risk measures. In addressing the possibility of direct exposure to extreme, negative events, Klink is describing a reverse stress test in which specific exposures of the portfolio (10 in this example) are identified. A hypothetical stress test (“reverse stress test”) is designed to measure its effect on each of these exposures.A is incorrect. VaR is used to measure the probabilityof a large loss. One limitation of VaR is its failure to take into account illiquidity.C is incorrect. Sensitivity analysis is used to estimate how gains and losses in the portfolio change with changes in the underlying risk factors. For a short-term investment portfolio consisting entirely of short-duration, high-credit-quality fixed-income securities, there is likely little or no exposure to market sensitivity risk measures, such as beta, duration, convexity, delta, and gamma.2、Stephenson’s return objective and risk tolerance are most appropriately described as:【单选题】A.Return Objective: Below average; Risk Tolerance: Above average.B.Return Objective: Above average; Risk Tolerance: Below average.C.Return Objective: Above average; Risk Tolerance: Above average.正确答案:C答案解析:C is correct.Risk: Stephenson has an above-average risk tolerance based on both his ability and willingness to assume risk. His large asset base, long time horizon, ample income to cover expenses, and lack of need for liquidity or cash flow indicate an above-average ability to assume risk. Hisconcentration in US small-capitalization stocks and his desire for high returns indicate substantial willingness to assume risk.Return: Stephenson’s financial circumstances (long time horizon, sizable asset base, ample income, and low liquidity needs) and his risk tolerance warrant an above-average total return objective. His expressed desire for a continued return of 20 percent, however, is unrealistic. Coppa should counsel Stephenson on what level of returns to reasonably expect from the financial markets over long periods of time and to define an achievable return objective.3、Stephenson’s time horizon is best characterized as:【单选题】A.short-term and single-stage.B.long-term and single-stage.C.long-term and multistage.正确答案:C答案解析:C is correct. Stephenson’s time horizon is long—he is currently only 55 years old. The time horizon consists of two stages: the first stage extends to his retirement in 15 years; the second stage may last for 20 years or more and extends from retirement until his death.4、Is Quek’s response to Yusuf most likely correct?【单选题】A.Yes.B.No, she is incorrect regarding the number of factors.C.No, she is incorrect regarding the identity of the factors.正确答案:B答案解析:B is correct. Quek is incorrect in stating that APT specifies the number of factors in a multifactor model but is correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.A is incorrect. Quek is incorrect in stating that APT specifies the number of factors in a multifactor model but correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.C is incorrect. Quek is correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.5、Is Hextall’s statement regarding the private wealth division likely correct?【单选题】A.Yes.B.No, it is incorrect about forward-looking beta.C.No, it is incorrect about ex ante tracking error.正确答案:A答案解析:A is correct. Hextall’s statement is correct. Riskmeasures for banks are typically focused on liquidity, solvency, and capital sufficiency, whereas risk measures for traditional asset managers are typically focused on investment performance. Ex ante tracking error correctly compares the current portfolio with its benchmark in attempting to measure future potential performance. Forward-looking beta is a current risk measure of a current portfolio and measures an equity portfolio’s sensitivity to the broad equity market.B is incorrect. Hextall’s statement about forward-looking beta is correct.C is incorrect. Hextall’s statement about ex ante tracking error is correct.。

专注国际财经教育FRM二级真题解析1 . 答案:bExplanation: In recent vears, correlations between hedcie fund strateqies have increased, and correlations of hedqe funds with broad market indices have also increased.2 . 答案:bExplanation:a. Incorrect. This is a drawback of the Basel II prescribed IRB model as there can exist correlation between the PDs and LGDs which is not considered in the Basel modelb. Correct. This is NOT a drawback of the Basel II prescribed IRB model as the hiqher the PD, the hiciher the idiosvncratic (individual) risk components of a borrower. The default risk depends less on the overall state of the economv and more on individual risk driversc . Incorrect. This is a drawback of the Basel II prescribed IRB model as the portfolio of the financial institutions need not be completelv ciranulard. Incorrect. This is a drawback of the Basel II prescribed IRB model as there can be manv svstematic risk factor affectinq the exposure instead of one sinqle risk factor3 . 答案:bExplanation:a. Is incorrect since qranularitv thouqh an issue, is not the maior factor here since the model assumes infinitelv qranular portfolios.b. Portfolio invariance is the onlv correct option above for the use of the ASRF in the Basel II model.c. This statement is incorrect but put here to confuse unprepared candidates.d. This statement is not correct since the model is based on a VaR minus Expected Loss approach to computinq capital to cover Unexpected Losses (U L) under credit risk exposures.4 . 答案:bExplanation: The SPE mav hold onlv passive financial assets and passive derivatives for hedciinq Statement B is incorrect; all others are correct.5 . 答案:CExplanation: The prices obtained with C are the riqht ones because thev correspond to prices at which vou could sell or buv the options.。

cfa二级资料摘要：1.CFA二级简介2.CFA二级考试内容概述3.备考CFA二级的建议4.CFA二级考试的重要性5.总结正文：**CFA二级简介**CFA（Chartered Financial Analyst）是全球金融领域最具权威的专业资格认证，分为三个级别：CFA一级、CFA二级和CFA三级。

CFA二级是其中的一项重要阶段，主要测试候选人对投资工具、公司金融、经济学、财务报表分析等知识的掌握程度。

**CFA二级考试内容概述**CFA二级考试共分为六个部分，分别是：1.投资工具：涵盖债券、股票、衍生品等投资工具的估值和分析方法。

2.公司金融：包括公司估值、资本结构、股利政策等内容。

3.经济学：主要涉及宏观和微观经济学原理，以及在金融决策中的应用。

4.财务报表分析：学会运用财务报表数据进行企业经营状况的分析和评估。

5.财务规划：了解个人和企业财务规划的基本原则和方法。

6.投资组合管理：探讨投资组合构建、风险管理和绩效评估等方面的知识。

**备考CFA二级的建议**1.提前规划备考时间，确保充足的学习时间。

2.系统性地学习各个知识点，强化基础概念。

3.多做练习题，提高解题速度和正确率。

4.参加模拟考试，熟悉考试题型和节奏。

5.结合实际案例进行学习，提高知识的实际应用能力。

**CFA二级考试的重要性**1.提升个人专业素质：通过学习CFA二级课程，候选人可以系统地掌握金融投资领域的专业知识和技能。

2.国际化视野：CFA二级课程具有全球统一标准，有助于拓展候选人的国际视野。

3.职业发展：拥有CFA二级资格证书，可以为候选人在金融机构、企业等领域提供更多发展机会。

4.结识行业精英：参加CFA考试的过程，也是结识同行、拓展人脉的良机。

**总结**CFA二级作为金融领域专业认证的重要阶段，对候选人的知识储备和实际应用能力提出了较高要求。

通过全面备考、系统学习，不仅能够提升个人专业素质，还能为未来的职业发展奠定坚实基础。

cfa2级资料
CFA二级考试是CFA认证考试的第二个级别，旨在测试候选人在投资工具、公司金融、经济分析和投资组合管理等方面的知识。

为了准备CFA二级考试，以下是一些建议的复习资料：
1.官方教材：CFA二级考试的官方教材是备考的基础，其中包含了考试所需
的全部知识点。

这些教材内容详实，覆盖面广，是复习的首选资料。

2.参考书：市面上有很多针对CFA二级考试的参考书，这些参考书通常由专
业的培训机构或经验丰富的金融分析师编写。

它们可以提供更深入的知识点和更丰富的案例分析，帮助考生更好地理解考试内容。

3.模拟试题：模拟试题是备考中非常重要的资料，它们可以帮助考生熟悉考
试的格式和难度，检测自己的复习效果。

建议考生在备考过程中多做模拟试题，以便更好地掌握考试知识点和提高应试能力。

4.网课和视频：现在有很多在线教育平台和社交媒体提供了大量的CFA二级
考试网课和视频。

这些资料可以帮助考生更好地理解考试内容，提供更为详细的知识点讲解和案例分析，同时还可以帮助考生提高学习效率。

总之，准备CFA二级考试需要全面的复习资料，考生可以根据自己的实际情况选择适合自己的资料进行备考。

同时，还需要注意掌握有效的学习方法，合理安排时间，坚持复习，以提高考试通过率。

CFA二级练习题精选及答案0601-51、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel's first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey's statement is incorrect, not all non-cash charges will need to beadded back. Net borrowing is added back for FCFE not FCFF, so Paschel's second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honorédescribes three potential consequences of multicollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other twopotential consequences Honorédescribes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in thesolution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is3.26% – 2.18% = 1.08%, or 108 bps.B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.4、Based on Exhibit 1, which independent variables in Varden’s model are significant at the 0.05 level?【单选题】A.ESG onlyB.10.957%.C.Tenure onlyD.Neither ESG nor tenure正确答案:C答案解析:B is correct. The t-statistic for tenure is 2.308, which is significant at the 0.027 level. The t-statistic for ESG is 1.201, with a p-value of 0.238. This result is not significant at the 0.05 level.5、Based on Exhibit 1 and Tyo’s expectations, which country’s term structure is currently best for traders seeking to ride the yield curve?【单选题】A.Country AB.Country BC.Country C正确答案:A答案解析:A is correct. Country A’s yield curve is upward sloping—a condition for the strategy—and more so than Country B’s.6、To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:【单选题】A.adjust the volatility assumption.B.increase the number of simulations.C.add a constant to all interest rates on all paths.正确答案:C答案解析:Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market pricesonly by chance. A constant is added to all interest rates on all paths such that the average present value for each benchmark bond equals its market value.A is incorrect because adjusting the volatility assumption will generate another random value not equal to the benchmark bond value. The benchmark bond is option-free, so its value should not be affected by interest rate volatility.B is incorrect because increasing the model beyond 2000 paths will not lead to a different average value for the benchmark bond.7、Which forward rate cannot be computed from the one-, two-, three-, and four-year spot rates? The rate for a:【单选题】A.one-year loan beginning in two years.B.two-year loan beginning in two years.C.three-year loan beginning in two years.正确答案:C答案解析:C is correct. There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is calculated as follows: The equation above indicates that in order to calculate the rate for a three-year loan beginning at the end of two years you need the five year spot rate r(5) and the two-year spot rate r(2). However r(5) is not provided.8、Cannan has been working from home on weekends and occasionally saves correspondence with clients and completed work on her home computer. Because of worsening market conditions, Cannan is one of several employees released by her firm. While Cannan is looking for a new job, she uses the files she saved at home to request letters of recommendation from former clients. She also provides to prospective clients some of the reports as examples of her abilities.【单选题】A.Cannan violated the Code and Standards because she did not receive permission from her former employer to keep or use the files after her employment ended.B.Cannan did not violate the Code and Standards because the files were created and saved on her own time and computer.C.Cannan violated the Code and Standards because she is prohibited from saving files on her home computer.正确答案:A答案解析:Answer A is correct. According to Standard V(C)–Record Retention, Cannan needed the permission of her employer to maintain the files at home after her employment ended. Without that permission, she should have deleted the files. All files created as p art of a member’s or candidate’s professional activity are the property of the firm, even those created outside normal work hours. Thus, answer B is incorrect. Answer C is incorrect because the Code and Standards do not prohibit using one’s personal computer to complete work for one’s employer.9、Based on the data in Exhibit 1, current real short-term interest rates would most likely be highest in:【单选题】A.Country #1.B.Country #2.C.Country #3.正确答案:B答案解析:B is correct. Real short-term interest rates are positively related to both real GDP growth and the volatility of real GDP growth. Country #1 and Country #2 have the highest real GDP growth, as estimated by the difference between nominal GDP growth and average inflation (6.5% – 4.0% = 2.5% and 5.0% – 2.5% = 2.5%, respectively), while Country #3 has the lowest real GDP growth (3.5% –2.0% = 1.5%). Looking at the volatility of real GDP growth, Country #2 has high real GDP growth volatility, whereas Country #1 and Country #3 have low real GDP growth volatility. Therefore, Country #2 would most likely have the highest real short-term interest rates.10、Which approach would an appraiser most likely use for valuing Property #2?【单选题】A.Cost approach.B.Income approach.C.Sales comparison approach.正确答案:B答案解析:Property #2 is an older office building with unique characteristics that could not be easily reproduced using current architectural designs and materials. Therefore, the cost approach would be less appropriate than the income approach as a basis for appraisal. The sales comparison approach would also be less suitable as the property is relatively unique.11。

CFA考试《CFA二级》历年真题精选及答案1122-371、In replying to Hextall’s recollection of the financial crisis, Klink most likely considered which risk measure?【单选题】A.VaRB.Scenario analysisC.Sensitivity analysis正确答案:B答案解析:B is correct. Scenario analysis is used for estimating how a portfolio might perform under conditions of market stress. Scenario risk measures estimate the portfolio returns that would result from a hypothetical change in markets. Stress tests and reverse stress tests are closely related to scenario risk measures. In addressing the possibility of direct exposure to extreme, negative events, Klink is describing a reverse stress test in which specific exposures of the portfolio (10 in this example) are identified. A hypothetical stress test (“reverse stress test”) is designed to measure its effect on each of these exposures.A is incorrect. VaR is used to measure the probability of a large loss. One limitation of VaR is its failure to take intoaccount illiquidity.C is incorrect. Sensitivity analysis is used to estimate how gains and losses in the portfolio change with changes in the underlying risk factors. For a short-term investment portfolio consisting entirely of short-duration, high-credit-quality fixed-income securities, there is likely little or no exposure to market sensitivity risk measures, such as beta, duration, convexity, delta, and gamma.2、Stephenson’s return objective and risk tolerance are most appropriately described as:【单选题】A.Return Objective: Below average; Risk Tolerance: Above average.B.Return Objective: Above average; Risk Tolerance: Below average.C.Return Objective: Above average; Risk Tolerance: Above average.正确答案:C答案解析:C is correct.Risk: Stephenson has an above-average risk tolerance based on both his ability and willingness to assume risk. His large asset base, long time horizon, ample income to cover expenses, and lack of need for liquidity or cash flow indicate an above-average ability to assume risk. His concentration in US small-capitalization stocks and his desire for。

CFA考试《CFA二级》历年真题精选及答案1122-481、In regard to calculating Wadgett\\\\\'s FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel\\\\\'s first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey\\\\\'s statement is incorrect, not all non-cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, so Paschel\\\\\'s second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honoré describes three potential consequences ofmulticollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other two potential consequences Honoré describes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical。

CFA考试《CFA二级》历年真题精选及详细解析1007-141、Prior to the president’s intervention, the actions by the farmers relative to the manufacturers over the disputed price of water is best described as:【单选题】A.moral hazard.B.adverse selection.C.regulatory arbitrage.正确答案:A答案解析:A is correct. The farmers’ having the ability to restrict the release of water to the detriment of the manufacturers during the pricing dispute is an example of a moral hazard.2、Based on Exhibit 1, which variable in the Beneish model has a year-over-year change that would increase Miland’s likelihood of manipulation?【单选题】A.DSRB.LEVIC.SGAI正确答案:A答案解析:A is correct. The DSR (days’ sales receivable index) variable in the Beneish model is related positively to the Beneish model M-score. Therefore, a year-over-year increase in DSR from 0.9 to 1.20 would lead to an increase in the M-score, which implies an increase in Miland’s likelihood of manipulation.3、ABC Investment Management acquires a new, very large account with two concentrated positions. The firm’s current policy is to add new accounts for the purpose of performance calculation after the first full month of management. Cupp is responsible for calculating the firm’s performance returns. Before the end of the initial month, Cupp notices that one of the significant holdings of the new accounts is acquired by another company, causing the value of the investment to double. Because of this holding, Cupp decides to account for the new portfolio as of the date of transfer, thereby allowing ABC Investment to reap the positive impact of that month’s portfolio return.【单选题】A.Cupp did not violate the Code and Standards because the GIPS standards allow composites to be updated on the date of large external cash flows.B.Cupp did not violate the Code and Standards becausecompanies are allowed to determine when to incorporate new accounts into their composite calculation.C.Cupp violated the Code and Standards because the inclusion of the new account produces an inaccurate calculation of the monthly results according to the firm’s stated policies.正确答案:C答案解析:Answer C is correct. Cupp violated Standard III(D)–Performance Presentations when he deviated from the firm’s stated policies solely to capture the gain from the holding being acquired. Answer A is incorrect because the firm does not claim GIPS compliance and the GIPS standards require external cash flows to be treated in a consistent manner with the firm’s documented policies. Answer B is incorrect because the firm does not state that it is updating its composite policies. If such a change were to occur, all cash flows for the month would have to be reviewed to ensure their consistent treatment under the new policy.4、Based on the three economic outlook statements, a profitable long/short trade would be to:【单选题】A.go long a Canadian CDX IG and short a US CDX IG.B.short an iTraxx Crossover and go long an iTraxx Main.C.short electric car CDS and go long traditional car CDS.正确答案:B答案解析:B is correct. Based on Outlook 1, Chan and Smith anticipate that Italy’s economy will weaken. In order to profit from this forecast, one would go short (buy protection) a highyield Italian CDS (e.g., iTraxx Crossover) index and go long (sell protection) an investment-grade Italian CDS (e.g., iTraxx Main) index.5、Assume for this question only that Global reports under U.S. GAAP and that the total periodic pension cost for the year ended 20X8 was €4,250. Ignoring income taxes, which of the following statements best describes the adjustment necessary for analyzing Global Oilfield\\\\'s cash flow statement?【单选题】A.Increase operating cash flow €750 and decrease financing cash flow €750.B.Decrease operating cash flow €2,084 and increase investing cash flow €2,084.C.Increase operating cash flow €5,000 and decrease financing cash flow €5,000.正确答案:A答案解析:Total periodic pension cost represents the true cost of the pension. If the firm\\\\'s contributions exceed its true pension expense, the difference can be viewed as a reduction inthe overall pension obligation similar to an excess principal payment on a loan. Pension contributions are reported as operating activities in the cash flow statement while principal payments are reported6、Whose statement regarding the use of multifactor models in active and passive portfolio management is correct?【单选题】m onlyB.Cheung onlyC.Both Lam and Cheung正确答案:B答案解析:B is correct. Analysts can use multifactor models in passively managed portfolios to replicate an index fund’s factor exposures.7、Based on Exhibits 1 and 2, Sienna’s FCFE in 2016 is:【单选题】A.€894 million.B.€1,466 million.C.€2,894 million.正确答案:A答案解析:A is correct. Sienna’s FCFE in 2016 is calculated as8、Based on the information in Exhibit 1, the REIT sector that represents the least desirable investment is:【单选题】A.industrial.B.office.C.apartments.正确答案:A答案解析:For industrial properties, the most important factor affecting economic value is retail sales growth, which is expected to be low in West Lundia. The most important factor affecting economic value for apartment REITs are job creation and population growth, which are both expected to be high. For office properties, the most important factor is job creation, which is expected to be high.9、Rule has worked as a portfolio manager for a large investment management firm for the past 10 years. Rule earned his CFA charter last year and has decided to open his own investment management firm. After leaving his current employer, Rule creates some marketing material for his new firm. He states in the material, “In earning the CFA charter, a highly regarded credential in the investment management industry, I further enhanced the portfolio management skills learned during my professional career. While completing the examination process in three consecutive years, I consistently received the highest possible scores on the topics of Ethics, Alternative Investments, and Portfolio Management.” Has Ruleviolated Standard VII(B)–Reference to CFA Institute, the CFA Designation, and the CFA Program in his marketing material?【单选题】A.Rule violated Standard VII(B) in stating that he completed the exams in three consecutive years.B.Rule violated Standard VII(B) in stating that he received the highest scores in the topics of Ethics, Alternative Investments, and Portfolio Management.C.Rule did not violate Standard VII(B).正确答案:B答案解析:Answer B is correct according to Standard VII(B)–Reference to CFA Institute, the CFA Designation, and the CFA Program. CFA Program candidates do not receive their actual scores on the exam. Topic and subtopic results are grouped into three broad categories, and the exam is graded only as “pass” or “fail.” Although a candidate may have achieved a topical score of “above 70%,” she or he cannot factually state that she or he received the highest possible score because that information is not reported. Thus, answer C is incorrect. Answer A is incorrect as long as the member or candidate actually completed the exams consecutively. Standard VII(B) does not prohibit the communication of factual information aboutcompleting the CFA Program in three consecutive years.10、If Hilliard adopts Colbaugh\\\\'s first recommendation regarding the use of additional analytical models, which of the following will she most likely incorporate into her analysis? An estimate of risk pertaining to:【单选题】A.Liquidity.B.Time horizon.C.Business cycle.正确答案:A。

cfa二级考纲摘要：一、CFA 二级考试简介1.CFA 二级考试的重要性2.CFA 二级考试的内容和难度3.CFA 二级考试的时间和地点二、CFA 二级考试大纲概述1.知识体系与考纲结构2.重点知识领域2.1 资产估值与投资工具2.2 企业金融与投资组合管理2.3 财富规划与合规三、CFA 二级考试备考策略1.制定学习计划与目标2.推荐学习资料与方法3.模拟考试与自我评估4.调整心态与应对考试压力四、CFA 二级考试通过后的发展前景1.CFA 三级考试与持证要求2.CFA 会员的职业发展机会3.CFA 在我国的认可度和需求正文：CFA（Chartered Financial Analyst）二级考试是CFA 认证考试中的第二阶段，对于金融从业者来说具有重要意义。

本文将为您详细介绍CFA 二级考试的考纲、备考策略及通过后的发展前景。

一、CFA 二级考试简介CFA 二级考试是CFA 认证考试中的第二阶段，要求考生掌握较高级别的金融知识和技能。

CFA 二级考试的难度较高，需要考生具备一定的金融基础。

考试分为上、下午两个部分，分别在每年的5 月和11 月进行。

考生可选择在全球范围内的考点参加考试。

二、CFA 二级考试大纲概述CFA 二级考试大纲分为知识体系与考纲结构、重点知识领域两部分。

知识体系涵盖伦理与职业标准、资产估值与投资工具、企业金融与投资组合管理、财富规划与合规等多个领域。

其中，重点知识领域包括：1.资产估值与投资工具：包括股票、债券、衍生品等金融工具的估值方法及投资策略。

2.企业金融与投资组合管理：涉及公司金融、投资组合管理、风险管理等方面的知识。

3.财富规划与合规：涵盖个人财富规划、合规与监管等方面的内容。

三、CFA 二级考试备考策略1.制定学习计划与目标：考生需结合自身情况，合理制定学习计划，明确学习目标和进度。

2.推荐学习资料与方法：充分利用官方教材、培训机构课程、网络资源等多种学习资料，采用适合自己的学习方法，提高学习效果。

CFA考试《CFA二级》历年真题精选及详细解析1107-731、At 31 December 2010, Zimt’s total assets balance would be:【单选题】A.highest if Zimt is deemed to have control of Oxbow.B.highest if Zimt is deemed to have significant influence over Oxbow.C.unaffected by the accounting method used for the investment in Oxbow.正确答案:A答案解析:A is correct. When a company is deemed to have control of another entity, it records all of the other entity’s assets on its own consolidated balance sheet.2、Yu’s determination regarding Transaction 2 should be based on the currency of the:【单选题】A.loan.B.bank.C.borrower.正确答案:C答案解析:C is correct. The currency of Ngcorp as the borrowingforeign subsidiary, relative to that of Ambleu, determines Ambleu’s choice of translation method for Transaction 2. Because Ngcorp’s functional currency is the Bindiar franc and Ambleu’s presentation currency is the Norvoltian krone, the current rate method rather than the temporal method should be used. Regardless of the currency in which the loan is denominated, the loan is first recorded in Ngcorp’s financial statements. Then, Ngcorp’s financial statements, which include the bank loan, are translated into Ambleu’s consolidated financial statements.3、In 2011, Strawberry Mines\\\\\\\\' share of the dividends received from AdOre was most likely reported as a(n):【单选题】A.Addition to net income.B.Addition to other comprehensive income.C.Deduction from its investment in AdOre.正确答案:C答案解析:In 2011, Strawberry Mines owned 32% of AdOre\\\\\\\\'s stock and had significant influence; therefore, it should have used the equity method. It will not report any dividends received from AdOre as income but would have deducted the dividends received from the carrying value of the investment in AdOre.4、【单选题】A.$48 million.B.$69 million.C.$110 million.正确答案:C答案解析:Amount reported under IFRS:5、If Global Oilfield\\\\\\\\'s retirement plan is a defined contribution arrangement, which of the following statements would be the most correct?【单选题】A.Pension expense and the cash funding amount would be the same.B.The potential gains or losses from the assets contributed to the plan are borne by the firm.C.The firm would report the difference in the benefit obligation and the plan assets on the balance sheet.正确答案:A答案解析:In a defined contribution plan, pension expense is equal to the amount contributed by the firm. The plan participants bear the shortfall risk. There is no pension obligation in a defined contribution plan.。

CFA备考之CFA二级习题精选及解析CFA备考之CFA二级习题精选及解析CaseRhine Claus Petersen, a pension fund equity analyst, is preparing an analysis of Rhine AG for the upcoming quarterly fund meeting. Rhine is a Germany-based manufacturer that operates three distinct divisions: children’s products (infant car seats, strollers, cribs, etc.), recreational products (bicycles, bicycle trailers, etc.), and home furnishings (contemporary furniture). All three divisions sell through retail outlets around the world.The company has been pursuing an aggressive growth strategy, achieved through both foreign acquisitions and organic growth. Petersen is interested in determining how well Rhine is allocating its resources between the three divisions and the effects of the foreign acquisitions on overall performance. Exhibit 1 summarizes selected divisional and corporate data for 2013 and 2012.Petersen’s preferred method to determine which division is becoming less significant over time is to review the relationship between capital expenditures and total assets by operating division. He plans to base his conclusion on the assumption that 2013’s investme nt behavior is representative of future investment patterns.Petersen knows t hat revenues in the children’s products division have suffered because of declining birth rates in Europe and North America, but he believes that if Rhine can maintain the operating margin for this division then overall company profitability should not be affected.Corinna Berg, another analyst with the fund, reminds Petersen that during 2013, the U.S. dollar weakened against theeuro by 4% and that 50% of the sales in the recreational products division are sold in the United States.Petersen recalls that some of the recent global expansion was aimed at establishing operations in Ireland because its statutory corporate tax rate is lower than the German rate of 29.8%. If Petersen assumes that other tax credits were the same in 2013 as 2012, he can analyze cha nges in Rh ine’s effective tax rate to determine whether the geographic mix of the company’s profits has changed in 2013.Petersen finally examines the company’s liquidity ratios, which are shown in Exhibit 2. Even though the company’s current and quick ratio have improved, his interpretation of the changes in the company’s cash conversion cycle is that the company’s liquidity position has deteriorated.Worried that the balance sheet–based and cash flow–based accruals ratios (not shown) raise some concerns about the possible use of accruals to manage earnings, Petersen asks Berg for advice on what further type of analysis he should do as a follow-up on this issue.1. Using Petersen's preferred method and 2013 divisional data, the best conclusion Peterson can make about which division will potentially become less significant in the future is that it。

CFA考试《CFA二级》历年真题精选及详细解析1007-161、Pereira should forecast that the ROE for Globales is likely to decline:【单选题】A.more slowly than that of the industry competitor.B.at the same rate as the industry competitor.C.more rapidly than that of the industry competitor.正确答案:A答案解析:A is correct. Based on the principle of mean reversion, the high ROE for both firms should revert towards the mean. Globales has a higher cash flow component to its return than the peer firm, however, so its high return on common equity should persist longer than that of the peer firm. The peer firm has a higher accruals component, so it is likely to revert more quickly.2、How many of Yeung\\\\\'s constraints would be accurately regarded as a constraint in an investment policy statement?【单选题】A.One.B.Two.C.Three.正确答案:B答案解析:What Yeung has identified as Constraint 1 is properly classified as a return objective and not a constraint. Investment constraints are factors that restrict investment choices. Constraint 2 is unexampled of time horizon constraint. Constraint 3 is an example of liquidity constraint.3、Based on Exhibit 4, Singh and Ho should conclude that under Scenario 2, shares of Bern are:【单选题】A.undervalued.B.fairly valued.C.overvalued.正确答案:A答案解析:A is correct.The total market value of the firm is the sum of the debt, preferred stock, and common stock market values: 15,400 + 4,000 + 18,100 = 37,500 million.WACC = [wd × rd(1 – tax rate)] + (wp × rp) + (we × re).= [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11).= 7.70%.Under the assumption that Bern has a low growth rate because it did not receive regulatory approval for its new drugs, the value of Bern can be analyzedusing a two-stage valuation model.Year01234g1.50%1.50%1.50%0.75%FCFFn (€ millions)3,2263,274.393,323.513,373.363,398.66Present Value Factor0.9285290.8621670.800547Present Value (€ millions)3,040.372,865.422,700.53The terminal value at the end of Year 3 is TV3 = FCFF4/(WACC – g4).TV3 = 3,398.66/(0.0770 – 0.0075) = €48,921.38 million.The total value of operating assets = (3,040.37 + 2,865.42 + 2,700.53) + 48,921.38/(1 + 0.0770)3.= 8,606.32 + 39,163.88= €47,770.20 million.4、What is the value of the coefficient of determination?【单选题】A.0.8261.B.0.7436.C.0.8623.正确答案:B答案解析:B is correct. The coefficient of determination is the same as R-squared.5、A benefit of performing Task 1 is that it:【单选题】A.enables the model to price bonds with embedded options.B.identifies benchmark bonds that have been mispriced by the market.C.allows investors to realize arbitrage profits through stripping and reconstitution.正确答案:A答案解析:A is correct. Calibrating a binomial interest rate tree to match a specific term structure is important because we can use the known valuation of a benchmark bond from the spot rate pricing to verify the accuracy of the rates shown in the binomial interest rate tree. Once its accuracy is confirmed, the interest rate tree can then be used to value bonds with embedded options. While discounting with spot rates will produce arbitrage-free valuations for option-free bonds, this spot rate method will not work for bonds with embedded options where expected future cash flows are interest-rate dependent (as rate changes impact the likelihood of options being exercised). The interest rate tree allows for the alternative paths that a bond with embedded options might take.B is incorrect because calibration does not identify mispriced benchmark bonds. In fact, benchmark bonds are employed to prove the accuracy of the binomial interest rate tree, as they are assumed to be correctly priced by the market.C is incorrect because the calibration of the binomial interest rate tree is designed to produce an arbitrage-freevaluation approach and such an approach does not allow a market participant to realize arbitrage profits though stripping and reconstitution.。

cfa二级资料【最新版】目录1.CFA 二级考试简介2.CFA 二级考试的主要内容3.如何准备 CFA 二级考试4.CFA 二级考试资料推荐正文【CFA 二级考试简介】CFA（Chartered Financial Analyst）二级考试是 CFA 认证考试的三个级别中的第二个级别。

该考试旨在测试候选人在投资工具、公司金融、经济分析和投资组合管理等方面的知识。

通过 CFA 二级考试，候选人将获得深入了解资产估值和投资策略的能力，这将有助于他们在金融行业取得更高的成就。

【CFA 二级考试的主要内容】CFA 二级考试主要分为以下几个部分：1.资产估值：包括固定收益证券、股票、衍生品和另类投资等方面的估值方法。

2.投资策略：涉及资产配置、股票筛选、债券分析和风险管理等内容。

3.公司金融：包括资本预算、财务报表分析、企业治理和兼并收购等方面的知识。

4.经济分析：主要研究宏观经济指标、货币政策和财政政策等对投资的影响。

5.投资组合管理：涉及投资组合构建、监控和调整等方面的技能。

【如何准备 CFA 二级考试】准备 CFA 二级考试需要投入大量的时间和精力。

以下是一些建议：1.制定学习计划：根据自己的基础和时间安排，合理分配学习时间，确保每个部分都得到充分的复习。

2.学习官方教材：CFA 协会提供的官方教材是考试的主要依据，建议认真阅读并理解其中的概念和方法。

3.做模拟题和真题：通过模拟题和真题的练习，熟悉考试题型，检验自己的学习成果，并及时调整学习策略。

4.参加培训课程：如有条件，可以选择参加 CFA 培训课程，以提高学习效率和通过率。

2010年03月试卷二注册国际投资分析师[CIIA]·考试真题与参考答案试卷二科目1、固定收益分析与估值2、衍生产品分析和估值3、组合管理问题1：固定收益证券估值与分析 (56分) ——————————————————————————————————假设你在一家国际性银行的财务部门工作，该银行在业界非常著名，如果必要它能够发行政府担保的证券。

银行管理层期望你针对当前金融市场动荡和混乱的现状提出建议。

根据互换中间利率(Mid-Swap rate)计算的当前收益率曲线如下（日期计算方式：30/360；一个基点＝0.01%）。

表1a)首先，请你提供一些初步答案和简单计算。

a1) 你将如何定义上述收益率曲线？(2分)a2)计算上表中一年期到三年期的隐含即期利率（零息利率）和折现因子。

(9分)a3)根据“纯期望假说”，从第一年到第三年的预计年收益率是多少？(6分) a4) 请画图描绘当收益率不变时4年期平价债券从今天开始直至到期日的价格变化（不必计算债券价格，仅判断债券价格是高于、低于或者恰好等于票面价值）。

(6分)b) 你发现银行需要一笔3年期限的融资，因此你建议发行总量为30亿欧元的三年期债券。

你所在银行发行非政府担保证券的相应利差为互换中间利率＋195个基点。

另外，你也可以建议管理层发行政府担保债券，利差为互换中间利率＋30个基点。

为了得到政府担保，银行需要支付给担保人（政府）i)每年50个基点作为办理费用和 ii) 每年100个基点作为担保成本。

b1) 请以基点为单位计算获得政府担保的融资优势（或者劣势）。

(5分)b2) 请使用a2)中算出的折现因子，计算计划中的30亿欧元债券发行时b1)中提到的融资优势（或者劣势）的现值。

如果你没能算出这些折现因子，请把表1中的收益率当作即期利率来计算折现因子；如果你没有得到b1)的答案，请假设融资优势为10个基点。

(5分)b3) 从你所在银行的角度简要描述当前环境下使用政府信用担保的优点和缺点。

1 . You are the risk manacier of a pension fund. You are asked to evaluate how the correlation amonq hedqe funds and between hedcie funds and other asset classes, respectivelv, has evolved over time. Which of the followinq statements are correct?a. In recent vears, correlations between hedqe fund strateqies have increased, while correlations of hedcie funds with broad market indices have decreased.b . In recent vears, correlations between hedqe fund strateqies have increased, and correlations of hedqe funds with broad market indices have also increased.c . In recent vears, correlations between hedcie fund strateqies have decreased, and correlations of hedqe funds with broad market indices have also decreased.d. In recent vears, correlations between hedqe fund strateciies have decreased, while correlations of hedqe funds with broad market indices have increased.2 . Which of the followinq is not a drawback of the Basel II Foundation Internal Ratinqs Based (IRB) approach?a. Probabilities of default (PDs) and losses ciiven default (LGDs) are assumed to be uncorrelatedb. Asset correlations decrease with increasinq PDs.C . The portfolio of the financial institution is assumed to be infiniteIV q ra n ular.d. The approach uses a sinqle risk factor portfolio model instead of a multiple risk factor model,3 . The Basel II risk weiqht function for the Internal Ratinqs Based Approach (IRB) is based on the Asvmptotic Sinqle Risk Factor (ASRF) model, under which the svstem-wide risks that affect all obliqors are modeled with onlv one svstematic risk factor. The maior reason for usinq the ASRF is:a．The model should not depend on the qranularitv of the portfolio.b．The model should be portfolio invariant so that the capital reauired for anv ciiven loan depends onlv on the risk of that loan and does not depend on the portfolio it is added to.c. The model should not be portfolio invariant and the capital reauired for anv qiven loan should not depend on the risk of other loans.d. The model corresponds to the one-vear Value at Risk at a gg.g% confidence level.4 . FASB 140, "Accountinq for Transfers and Servicinci of Financial Assets and Extinquishment of Liabilities," sets out standards for ciualified SPEs (QSPEs).Which of the followinq is not a reciuirement under FASB 140 that an SPE must satisfv in order to receive the QSPE desiqnation?a.The SPE must be demonstrablv different from the oriqinator and anv affiliates of the oriciinatorb.The SPE cannot use derivatives.c.Sale and disposition of assets in the QSPE must be defined in the deal documents and mav never bediscretionarvd.Sale and disposition of passive financial assets and passive derivatives in the QSPE must be defined in thedeal documents and mav never be discretionarv.5 . You are asked to mark to market a book of plain vanilla stock options. The trader is short deep out-of-monev options and lonq at-the-monev options. There is a pronounced smile for these options. The trader's bonus increases as the value of his book increases. Which approach should vou use to mark the book?e the implied volatilitv of at-the-monev options because the estimation of the volatilitv is more reliable.e the averaqe of the implied volatilities for the traded options for which vou have data because all optionsshould have the same implied volatilitv with Black-Scholes and vou don't know which one is the riqht one.c.For each option, use the implied volatilitv of the most similar option traded on the market.e the historical volatilitv because doinq so corrects for the pricina mistakes in the option market.。