CFA一级百题预测_衍生（打印版）.docx

CFA一级百题预测1.ETHICSANDPROFESSIONALSTANDARDS2.QUANTITATIVEMETHODS3.ECONOMICS4.FINANCIALREPORTINGANDANALYSIS5.CORPORATEFINANCE6.EQUITY7.Fixedincome8.DERIVATIVES9.ALTERNATIVEINVESTMENT10.PORTFOLIOMANAGEMENT8.Derivatives8.1.DerivativesMarketandInstruments8.1.1.重要知识点8.1.1.1.衍生品的定义：Aderivativeisafinancialinstrument(contract)thatderivesitsperformancefromtheperformanceofanunderlyingasset.8.11.2.衍生品分类方法A根据合约特点分类forwardcommitment&contingentclaim■Forwardcommitment:isanagreementbetweentwopartiesinwhichoneparty,thebuyer,agreestobuyfromtheotherparty,theseller,anunderlyingassetatafuturedateatapriceestablishedatthestart÷forward,futuresandswapcontracts■Contingentclaim:isderivativeinwhichthepayoffsoccurifaspecificeventhappens-÷optioncontracts♦Creditdefaultswaps(CDS)isessentiallyaninsurancecontractforthereference,thereferenceobligationisthefixedincomesecurityonwhichtheswapiswritten-usuallyabondbutpotentiallyalsoaloan.♦Theprotectionbuyerpaysthesellerapremium.ThedefaultswappremiumisalsoreferredtoastheCDSspread.♦Protectionbuyerreceivesapaymentfromtheprotectionsellerifdefaultoccursonthereferenceentity.>根据交易场所分类：exchange-traded&over-the-countertraded■Exchange-traded:在一个固定的交易所交易。

多空双方不直接见面，与清算所交易C(A—Clearinghouse—>B)■OTCtraded:没有固定交易场所，多空双方直接交易A->B)Exchange-tradedOver-the-counterStandardized—>LiquidCustomized/SpecificneedsBackedbyaclearinghouseTradewithcounterparty(defaultrisk)TradeintheaphysicalexchangeNottradeinorganizedmarketsRegulatedUnregulated♦Marketmakers:buyatoneprice(thebid)zsellatahigherprice(theask).8.1.2.基础题Q-l.Whichofthefollowingderivativesisleastlikelytobeclassifiedasacontingentclaim?A.AfuturescontractB.AcalloptioncontractC. AcreditdefaultswapQ-2.Whichofthefollowingstatementsistrueaboutcontingentclaims?A.EitherpartycandefaulttotheotherB.ThepayoffsarelinearlyrelatedtotheperformanceoftheunderlyingC.ThemostthelongcanloseistheamountpaidforthecontingentclaimQ-3.Incontrasttoover-the-counteroptions,futurescontractsmostlikely:A.arenotexposedtodefaultrisk.B.representarightratherthanacommitment.C.areprivate,customizedtransactionsQ-4.WhichofthefollowingisleastIikelytobeanexampleofaderivative?A.Anexchange-tradedfundB.AcontracttosellAlphabetlnc∕ssharesatafixedpriceC. AcontracttobuyAustraliandollarsatapredeterminedexchangerate8.2.Advantages&DisadvantagesofDerivatives8.2.1.重要知识点8・2・1・1・Advantages&disadvantagesofderivativesAAdvantage■Pricediscovery■Riskmanagement:hedgeandspeculation■Loweringtransactioncosts■Lowcapitalrequirement■Greaterliquidity■ Easeofgoingshort■Enhancemarketefficiency>Disadvantage■T∞riskyandHighleverage■Complexinstruments■Sometimeslikenedtogambling8.2.2.基础题Q-5.Whichofthefollowingisnotanadvantageofderivativemarkets?A.TheyarelessvolatilethanspotmarketsB.TheyfacilitatetheallocationofriskinthemarketC.TheyincurlowertransactioncoststhanspotmarketsQ-6.Whichofthefollowingisleastlikelyoneofthemainbenefitsofderivativemarkets?Derivativemarkets:A.exhibitlowervolatilitycomparedwiththespotmarket.B.enablecompaniestomoreeasilypracticeriskmanagement.C.revealpricesandvolatilityoftheunderlyingassets.83.ForwardContract8.3.1.重要知识点8.3.1.1.ClassificationofforwardcontractACommodityforwardcontractAFinancialforwardcontract8・3・1・2・CharacteristicsforwardcontractsAEachpartyareexposedtodefaultrisk(orcounterpartyrisk)AZero-sumgame8.3.2.基础题Q-7.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?A. Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontractB. EnteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortpartyC.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadetotheshortpartyQ-8.Twocounterpartiessignaforwardcontractonastock,theunderlyingstockpricegoesupafterward,whichcounterparty/counterpartysufferfromcreditdefaultrisk?A.ThelongpositiononlyB.TheshortpositiononlyC.Bothlongandshortposition8.4.ForwardRateAgreements(FRA)8.4.1.重要知识点8.4.1.1.概念ADefinition:viewedasaforwardcontractforthelongtogetaloanfromtheshortataspecificfuturedateatafixedrateinthecontract.AAforwardrateagreement(FRA)isaforwardcontractonaninterestrate(LIBOR).AQuotation:A60-dayFRAon90-dayLIBOR(2×5FRA)means：Settlementorexpirationis60daysfromnowandthepaymentatsettlementisbasedon90-dayLIBOR60daysfromnow.8.4.1.2.LIBORandEuriborALIBOR■USDinterestrates.■Quotedasanannualizedratesbasedona360-dayayear■ Add-onrate■ SingleinterestAEuriborisasimilarrateforborrowingandlendinginEuros.8.4.1.3.SeHlementASettleincash,butnoactualloanismadeatthesettlementdate.》Payoff■Ifthereferencerateattheexpirationdateisabovethespecifiedcontractrate,thelongwillreceivecashpaymentfromtheshort;■Ifthereferencerateattheexpirationdateisbelowthecontractrate,theshortwillreceivecashpaymentfromthelong8.4.1.4.SyntheticFRA:1.ong27O-dιyEunxioIUrS。