CFA考試一級(jí)章節(jié)練習(xí)題精選0331-5(附詳解)

1、CFA考試一級(jí)章節(jié)練習(xí)題精選 0331-5 （附詳解）1、 An analyst does research about option-free bond price change due to both durationand convexity impacts.The duration of an option-free bond is 9.92,【單選題】andthe convexity measure for that bond is 63.8.lf interest rates increase by 200 basis po ints, the bond's p ercen

2、tage p rice change is closest to:A. -22.39%B. -18.56%C. -17.29%正確答案:C(2% )2答案解析:-9.92X 2% +63.8 X = -17.29%。1、 An analyst does research about various bond yields.An analyst stated that computingboth a bond's current yield and a bond's yield to refunding assumesthatall interim cash flows from

3、 the bond are reinvested at that bond's yield to maturity.Is the analyst correct with resp ect to interim cash flows and compu tingabond's:【單選題】Current yield?Yield to refunding?A.NoNoB,NoYesC.YesCurrent yield?NoYield to refunding?A.NoNoB.NoYesC,YesNoA.B.3Current yield?Yield to refunding?5A-N

4、oNoYesc.C.YesNo正確答案:A答案解析：當(dāng)前收益率（Current yield ）不考慮已經(jīng)產(chǎn)生的現(xiàn)金流的再投資，而再融資收益率（Yieldto refunding）將被作為之前獲得的現(xiàn)金流再投資的收益率，而不是將持有到期收益率（YTM）作為再投資的收益率。再融資收益率是在到期之前通過(guò)重新融資把之前的債券提前償還而產(chǎn)生的收益率1、An analyst does research about the basic theories of the term structure.Accordingto liquidity preference theory, the term struct

5、ure of interest rates isleastlikely determined by:【單選題】A.ex pectations about future interest rates.B.a yield p remium for interest rate risk.C.p reference for p articular maturity range.正確答案:C答案解析:根據(jù)流動(dòng)性偏好理論，其利率期限結(jié)構(gòu)是由未來(lái)利率的預(yù)期加上持有長(zhǎng)期債券的利率風(fēng)險(xiǎn)的補(bǔ)償所組成的。投資者擁有其偏好的期限是屬于市場(chǎng)分割理論的特征。1、 A long-term bond investor wit

6、h an investment horizon of 8 years invests in option-free, fixed-ratebonds with a Macaulay duration of 10.5. The investor most likely currently has a: 【單選題】A. positive duration gap and is currently exposed to the risk of lower interest rates.B. negative duration gap and is currently exposed to the r

7、isk of higher interest rates.C.positive duration gap and is currently exposed to the risk of higher interest rates.正確答案 :C答案解析 :The duration gap is the bond's Macaulay duration minus the investment horizon, which is positive inthis case. A positive duration gap implies that the investor is curre

8、ntly exposed to the risk of higherinterest rates.CFA Level I "Understanding Fixed-Income Risk and Return", James F. Adams and Donald J. SmithSection 4.2 1、 When are credit spreads most likely to narrow? During: 【單選題】A.economic expansions.B.economic contractions.C. a period of flight to qua

9、lity.正確答案 :A6答案解析 : “ Understanding Yield Spreads,” Frank J. Fabozzi, CFA2013 Modular Level I, Vol. 5, Reading 55, Section 4.3Study Session 15-55-fDescribe credit spreads and relationships between credit spreads and economic conditions.A is correct. Credit spreads narrow during economic expansions and widen during economic contractions. During an economic expansion, corporate revenues and cash flows rise,