CFA考試《CFA二級》歷年真題精選及詳細解析1007-15

1、CFA考試CFA二級歷年真題精選及詳細解析 1007-151、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with:【單選題】A. working capital adjustments.B. treatment of all non-cash charges*Clreatment of net borrowing*正確答案:A 答案解析:A is correct. Cash flow from operations (CFO) alre

2、adyreflects changes inworki ngcapital items, thereforePaschelWW's first comment is correct* EBITDA has the non-cash charges of depreciation and amortization added back, soCoveyWW's stateme nt is in correct, not all non cash charges will need to be added back. Net borrowing is added back for

3、FCFE not FCFF, so Paschel's second statement is incorrect.B is in correct. Dep reciati on has already bee n added back to EBITDA, though there may be other items that still need to be added back.C is in correct. Adjusti ng for net borrowing is not n ecessary for FCFF (just FCFE).2、Honors describ

4、es three potential consequences of multicolli nearity. Are all three con sequences correct?【單選題】A. Yes.B. No, 1 is incorrectC. No, 2 is incorrect正確答案:B 答案解析:B is correct. The R2 is expected to increase, not deciine, with a new independent variable. The other two potential consequences Honors describ

5、es are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical com parable-maturity governme nt bond with the same coup on rate as this bond. The foregoing credit spread is closest to:【單選題】A. 108 bps.B. lOl bps.C. 225 bps.正確答案:A 答案解析:A is correct. The corporate bond's fair

6、 value is computed in the solution to Question 8 as l,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% coup on bond un der no default (VND) is com pu ted in the solution to Question 8 as 1,144.63< So, th

7、e YTM of a theoretical comp arable-maturity gover nment 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 sp read that the an alyst wants to com puts is3.26% - 2.18% = 1.08%' or

8、 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 comm only used in pr actice, the an alyst is interested in finding the spread over a theoretical 6% coupon govern

9、 me nt 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?【單選題】A. ESG onlyB. 10.957%.C. Tenure only .Neither ESG nor tenure正確答案:c 答案解析:B is correct

10、. The t-statistic for tenure is 2308, 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 0.05leveL 5、Based on Exhibit 1 and Tyo's expectations, which country's term structure is currently best for traders s

11、eeking to ride the yield curve?【單選題】A. Co untry AB. Country BC. Country C正確答案:A 答案解析:A is correct. Country A's yield curve is upward slopinga condition for the strategyand more so thanCountry B"s 6、To correct the problem Hake encounters when using a MonteCarlo simulation, he would most like

12、ly:【單選題】A. adjust the volatility assumption.Bjncrease the number of simulations.C. add a constant to all interest rates on all paths.正確答案:c 答案解析:Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market prices only by chanee. A constant is added to all interest

13、 rates on all paths such that the average present value for each benchmark bond equals its market value<A is in correct because adjusti ng 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

14、 be affected by interest rate volatility.B is incorrect because in creasing the model bey ond 2000 p aths will not lead to a differs nt 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:【單選題】A. one-year

15、loan beginning in two years.B. two-year loan beginning in two years.C>three-year loan beginning in two years*正確答案: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

16、 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 occasi on ally saves corres pondence with die nts and c

17、om pleted work on her home computer. Because of worsening market conditions, Cannan is one of several empioyees 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 dients. She also provides to prospactive

18、dients some of the reports as exam pies of her abilities*【單選題】A. Cannan violated the Code and Standards because she did not receive permission from her former empioyer to keep or use the files after her empioyment ended.B. Cannan did not violate the Code and Standards because the files were created

19、and saved on her own time and computerC. Cannan violated the Code and Standards because she is prohibited from saving files on her home computer正確答案:A 答案解析:Answer A is correct. According to Standard V(C)-Record Retention, Cannan needed the permission of her empio yer to main tain the files at home a

20、fter her employment ended. Without that permission, she should have deleted the files> All files created as p art of a member's or can didate's professional activity are the property of the firm, even those created outside normal work hours* Thus, an swer B is in correct*Answer C is incor

21、rect because the Code and Standards do not prohibit using one's personal computer to complete work for one's empio yer.9、Based on the data in Exhibit 1, current real short-term interest rates would most likely be highest in:【單選題】A.Co untry #1.B. Co untry #2C. Co untry #3.正確答案:B 答案解析：B is cor

22、rect. 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