CFA二级练习题精选及答案06015.docx
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CFA二级练习题精选及答案06015.docx
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CFA二级练习题精选及答案06015
CFA二级练习题精选及答案0601-5
1、InregardtocalculatingWadgett'sFCFF,thecommentthatis
mostappropriateistheonedealingwith:
【单选题】
A.workingcapitaladjustments.
B.treatmentofallnon-cashcharges.
C.treatmentofnetborrowing.
正确答案:
A
答案解析:
Aiscorrect.Cashflowfromoperations(CFO)alreadyreflectschangesinworkingcapitalitems,thereforePaschel'sfirstcommentiscorrect.EBITDAhasthenon-cashchargesofdepreciationandamortizationaddedback,soCovey'sstatementisincorrect,notallnon-cashchargeswillneedtobeaddedback.NetborrowingisaddedbackforFCFEnotFCFF,soPaschel'ssecondstatementisincorrect.Bisincorrect.DepreciationhasalreadybeenaddedbacktoEBITDA,thoughtheremaybeotheritemsthatstillneedtobeaddedback.Cisincorrect.AdjustingfornetborrowingisnotnecessaryforFCFF(justFCFE).
2、Honoredescribesthreepotentialconsequencesofmulticollinearity.Areallthreeconsequencescorrect?
【单选题】
A.Yes.
B.No,1isincorrect
C.No,2isincorrect
正确答案:
B
答案解析:
Biscorrect.TheR2isexpectedtoincrease,notdecline,withanewindependentvariable.TheothertwopotentialconsequencesHonoredescribesarecorrect.
3、IbarrawantstoknowthecreditspreadofbondB2overatheoreticalcomparable-maturitygovernmentbondwiththesamecouponrateasthisbond.Theforegoingcreditspreadisclosestto:
【单选题】
A.108bps.
B.101bps.
C.225bps.
正确答案:
A
答案解析:
Aiscorrect.Thecorporatebond'sfairvalueiscomputedinthesolutiontoQuestion8as?
1,101.24TheYTMcanbeobtainedbysolvingthefollowingequationforIRR:
Thesolutiontothisequationis3.26%.Valuationofafour-year,6%couponbondundernodefault(VND)iscomputedinthesolutiontoQuestion8as1,144.63.So,theYTMofatheoreticalcomparable-maturitygovernmentbondwiththesamecouponrateasthecorporatebondB2canbeobtainedbysolvingthefollowingequationforIRR:
Thesolutiontothisequationis2.18%.So,thecreditspreadthattheanalystwantstocompute
is3.26%-2.18%=1.08%,or108bps.Bisincorrect,becausethat
isthespreadoverthefour-yeargovernmentparbondthathasaYTMof2.25%inExhibit2:
3.26%—2.25%=1.01%,or101bps.
Althoughthisspreadiscommonlyusedinpractice,theanalystisinterestedinfindingthespreadoveratheoretical6%coupongovernmentbond.Cisincorrect,becausethatistheYTMofthecouponfour-yeargovernmentbondinExhibit2.
4、BasedonExhibit1,whichindependentvariablesinVarden'smodelaresignificantatthe0.05level?
【单选题】
A.ESGonly
B.10.957%.
C.Tenureonly
D.NeitherESGnortenure
正确答案:
C
答案解析:
Biscorrect.Thet-statisticfortenureis2.308,whichissignificantatthe0.027level.Thet-statisticforESGis1.201,withap-valueof0.238.Thisresultisnotsignificantatthe0.05level.
5、BasedonExhibit1andTyo'sexpectations,whichcountry'stermstructureiscurrentlybestfortradersseekingtoridetheyieldcurve?
【单选题】
A.CountryA
B.CountryB
C.CountryC
正确答案:
A
答案解析:
Aiscorrect.CountryA'syieldcurveisupwardsloping—aconditionforthestrategy—andmoresothanCountryB's.
6、TocorrecttheproblemHakeencounterswhenusingaMonte
Carlosimulation,hewouldmostlikely:
【单选题】
A.adjustthevolatilityassumption.
B.increasethenumberofsimulations.
C.addaconstanttoallinterestratesonallpaths.
正确答案:
C
答案解析:
UsingaMonteCarlosimulation,themodelwillproducebenchmarkbondvaluesequaltothemarketpricesonlybychance.Aconstantisaddedtoallinterestratesonallpathssuchthattheaveragepresentvalueforeachbenchmarkbondequalsitsmarketvalue.Aisincorrectbecauseadjustingthevolatilityassumptionwillgenerateanotherrandomvaluenotequaltothebenchmarkbondvalue.Thebenchmarkbondisoption-free,soitsvalueshouldnotbeaffectedbyinterestratevolatility.Bisincorrectbecauseincreasingthemodelbeyond2000pathswillnotleadtoadifferentaveragevalueforthebenchmarkbond.
7、Whichforwardratecannotbecomputedfromtheone-,two-,three-,andfour-yearspotrates?
Theratefora:
【单选题】
A.one-yearloanbeginningintwoyears.
B.two-yearloanbeginningintwoyears.
C.three-yearloanbeginningintwoyears.
正确答案:
C
答案解析:
Ciscorrect.Thereisnospotrateinformationtoprovideratesforaloanthatterminatesinfiveyears.Thatisf(2,3)iscalculatedasfollows:
Theequationaboveindicatesthatinordertocalculatetherateforathree-yearloanbeginningattheendoftwoyearsyouneedthefiveyearspotrater(5)andthetwo-yearspotrater
(2).Howeverr(5)isnotprovided.
8、Cannanhasbeenworkingfromhomeonweekendsandoccasionallysavescorrespondencewithclientsandcompletedworkonherhomecomputer.Becauseofworseningmarketconditions,Cannanisoneofseveralemployeesreleasedbyherfirm.WhileCannanislookingforanewjob,sheusesthefiles
shesavedathometorequestlettersofrecommendationfromformerclients.Shealsoprovidestoprospectiveclientssomeofthereportsasexamplesofherabilities.【单选题】
A.CannanviolatedtheCodeandStandardsbecauseshedidnotreceivepermissionfromherformeremployertokeeporusethefilesafterheremploymentended.
B.CannandidnotviolatetheCodeandStandardsbecausethefileswerecreatedandsavedonherowntimeandcomputer.
C.CannanviolatedtheCodeandStandardsbecausesheisprohibitedfromsavingfilesonherhomecomputer.
正确答案:
A
答案解析:
AnswerAiscorrect.AccordingtoStandardV(C)-RecordRetention,Cannanneededthepermissionofheremployertomaintainthefilesathomeafterheremploymentended.Withoutthatpermission,sheshouldhavedeletedthefiles.Allfilescreatedaspartofamember'sorcandidate'sprofessionalactivityarethepropertyofthefirm,eventhosecreatedoutsidenormalworkhours.Thus,answerBisincorrect.AnswerCisincorrectbecausetheCodeandStandardsdonotprohibitusingone'psersonalcomputertocompleteworkforone'semployer.
9、BasedonthedatainExhibit1,currentrealshort-term
interestrateswouldmostlikelybehighestin:
【单选题】
A.Country#1.
B.Country#2.
C.Country#3.
正确答案:
B
答案解析:
Biscorrect.Realshort-terminterestratesare
positivelyrelatedtobothrealGDPgrowthandthevolatilityofrealGDPgrowth.Country#1andCountry#2havethehighestrealGDPgrowth,asestimatedbythedifferencebetweennominalGDPgrowthandaverageinflation(6.5%-4.0%=2.5%
and5.0%-2.5%=2.5%,respectively),whileCountry#3hasthe
lowestrealGDPgrowth(3.5%-2.0%=1.5%).LookingatthevolatilityofrealGDPgrowth,Country#2hashighrealGDPgrowthvolatility,whereasCountry#1andCountry#3havelowrealGDPgrowthvolatility.Therefore,Country#2wouldmostlikelyhavethehighestrealshort-terminterestrates.
10、WhichapproachwouldanappraisermostlikelyuseforvaluingProperty#2?
【单选题】
A.Costapproach.
B.Incomeapproach.
C.Salescomparisonapproach.
正确答案:
B
答案解析:
Property#2isanolderofficebuildingwithuniquecharacteristicsthatcouldnotbeeasilyreproducedusingcurrentarchitecturaldesignsandmaterials.Therefore,thecostapproachwouldbelessappropriatethantheincomeapproachasabasisforappraisal.Thesalescomparisonapproachwouldalsobelesssuitableasthepropertyisrelativelyunique.
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