CFA二级练习题精选及答案0601-5

1、CFA二级练习题精选及答案 0601-51、In regard to calculating Wadgetts 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 refle

2、cts changes in working capital items, therefore Paschels first comment is correct. EBITDA has the non -cash charges of depreciation and amortization added back, so Coveys statement is incorrect, not all non -cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, soPa

3、schels 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、Honor e describes three potential consequences

4、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 :B7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 Honor e describes are correct.3、Ibarra wants

5、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 bonds fair value is computed in the solution t

6、o 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 comparable -maturity

7、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 computeis3.26%- 2.18% = 1.08%, or 108 bps.B is incorrect, because that is the spread ov

8、er the four -year government par bond that hasa 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 co

9、upon 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 a

10、t 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.

11、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 thanCountry B s.6、To correct the problem Hake encounters when using a MonteCarlo simulation, he would most likely: 【单选题】A. adjust the volatility assumption.B. increase the number of

12、 simulations.C. add a constant to all interest rates on all paths.正确答案:C答案解析produce:Using a Monte Carlo simulation, the model will benchmark bond values equal to the market prices only by chance. A constant is added to all interest rates on all paths such that the average present value for each benc

13、hmark 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 increasin

14、g 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. t

15、hree-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

16、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

17、, Cannan is one of several employees released by herfirm. While Cannan is looking for a new job, she uses the files 8she saved at home to request letters of recommendation fromformer clients. She also provides to prospective clients some ofthe reports as examples of her abilities. 【单选题】A.Cannan viol

18、ated the Code and Standards because she did notreceive permission from her former employer to keep or usethe files after her employment ended.B.Cannan did not violate the Code and Standards because thefiles were created and saved on her own time and computer.C.Cannan violated the Code and Standards

19、becauseshe isprohibited from saving files on her home computer.正确答案 :A答案解析 :Answer A is correct. According to StandardV(C)-Record Retention, Cannan needed the permissionof heremployer to maintain the files at home after her employmentended. Without that permission, she should have deleted the9files.

20、 All files created as part of a member sor candidate sprofessional 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 psersonal computer to complete work for o

21、nes 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 arepositively related to both real GDP growth and the volatility of real

22、 GDP growth. Country #1 and Country #2 have the highest4.0% = 2.5%real GDP growth, as estimated by the difference between nominal GDP growth and average inflation (6.5%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 g