CFA考试二级模拟试题精选0401-17

1、A. CFA考试二级模拟试题精选0401-17（附详解）1、【单选题】correctgiventheassumptionsandmethoddescribed.B. toohighgiventheassumptionsandmethoddescribed.C. toolowgiventheassumptionsandmethoddescribed.正确答案:C答案解析:TocalculatethedailyVaRfromanannualVaR,themeanandstandarddeviationmustbeadjustedusingthe250tradingdaysdescribed.2、B

2、asedonthemarketpriceoftheTangorangovernmentbondandtheinterestratesinExhibit1,whatprofitablearbitrageopportunityshouldHake'salgorithmmostlikelyidentify?【单选题】BuyingthestripsandsellingthebondBuyingtheYear1andYear2stripsandsellingtheYear3stripBuyingthebondandsellingthestrips正确答案:A答案解析：A. 3、Ifthevola

3、tilityestimateischangedto30%inthestructuralmodelshowninExhibit2,thecalculatedvalueofIMCBondwouldmostlikely:【单选题】Remainthesame.B. Decrease.Increase正确答案:B答案解析:Undertheoptionanalogyofthestructuralmodel,riskydebtcanbeviewedasaportfoliocomprisingalongpositioninrisk-freedebtandashortputoptiononthecompany&

4、#39;sassetwithastrikepriceequaltothefacevalueoftheriskydebt.Whentheassetvolatilityincreases,thevalueoftheputoptionincreasesandthevalueoftheportfoliowithshortexposuretotheputoptionwilldecrease.Hencethecomputedvalueofriskydebtwillbelower.A. 4、Theterminalyearaftertaxnon-operatingcashflow(TNOCF)andtheaf

5、ter-taxcashflow(ATOCF)intheterminalyear(inBRLthousands)tobederivedfromtheproposeddistributioncenterarerespectivelyclosestto:【单选题】TNOCF=52,200;ATOCF=18,400.B. TNOCF=54,200;ATOCF=14,400.C. TNOCF=52,200;ATOCF=14,400.正确答案:C答案解析:TheTNOCFandATOCFforthedistributioncenterinitsterminalyear(year6)wouldbecalcu

6、latedas:Year6:A. 5、【单选题】beta.B. growthrate.C. equityriskpremium.正确答案:C答案解析:Ciscorrect.Whenthelow/highmeasureofeachvariableistestedsinglyforsensitivityinpredictingarangeofintrinsicvaluewhileholdingtheothervariablesatthebasecase,theequityriskpremiumvariableproducesthelargeststockpricerange,asshowninth

7、efollowingtable.A. 6、Basedonthecasestudyillustrationandtheeffectofchangingtheannualcompensationrate,theannualunitcreditfortheaverageparticipantwoulddecreasebyanamountclosestto:【单选题】?4,349.B. ?4,858.C. ?5,446.正确答案:B答案侣军析:Biscorrect.Thefinalyear'sestimatedearningsattheendofYear1fortheaveragepartic

8、ipantwoulddecreasebyapproximately?35,747.71.A. 7、Honoredescribesthreepotentialconsequencesofmulticollinearity.Areallthreeconsequencescorrect?【单选题】Yes.No,1isincorrectNo,2isincorrect正确答案：B答案解析:Biscorrect.Theisexpectedtoincrease,notdecline,withanewindependentvariable.TheothertwopotentialconsequencesHon

9、orcorrect.A. 8、BaseduponExhibit1,capitaldeepeningasasourceofgrowthwasmostimportantfor:【单选题】CountryA.B. CountryB.C. CountryC.正确答案:A答案解析:Aiscorrect.Theassociateeconomistcanmeasuretheeffectofpurecapitaldeepeningbymeasuringthedifferenceofthegrowthratesoflaborproductivityandtotalfactorproductivity(TFP).T

10、helargerthedifference,themoreimportantcapitaldeepeningisasasourceofeconomicgrowth.From2000-2010,CountryA'slaborproductivitygrewby2.4%peryear,ofwhich0.6%camefromTFPgrowthand1.8%fromcapitaldeepening(2.4%1.8%).9、Relativetothegrossmarginsthesubsidiariesreportinlocalcurrency,Romulus'sconsolidated

11、-grossmarginmostlikely:A. willnotbedistortedbycurrencytranslations.B. wouldbedistortedifAugustuswereusingthesametranslationmethodasJulius.C. willbedistortedbecauseofthetranslationandinventoryaccountingmethodsAugustusisusing.正确答案:C答案侣军析:Ciscorrect.AugustusisusingthetemporalmethodinconjunctionwithFIFO

12、inventoryaccounting.IfFIFOisused,endinginventoryisassumedtobecomposedofthemostrecentlyacquireditems,andthusinventorywillbetranslatedatrelativelyrecentexchangerates.Totheextentthattheaverageweightusedtotranslatesalesdiffersfromthehistoricalrateusedtotranslateinventories,thegrossmarginwillbedistortedwhentranslatedintoUSdollars.10、BasedonExhibit1andthenot