试卷：2019年CFA二级 M3模考卷 上午卷

2019LevelIISampleExamAM（M3）

Themorningsessionofthe2019LevelIICharteredFinancialAnalyst®Sample

Examinationhas60questions.Tobestsimulatetheexamdayexperience,candidates

areadvisedtoallocateanaverageof18minutesperitemset(vignetteand6multiple

choicequestions)foratotalof180minutes(3hours)forthissessionoftheexam.

Questions

7–12

Topic

Minutes

15

QuantitativeMethods

FixedIncome

Derivatives

Total:

49–54

55–60

15

15

45

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1

2019LevelIISampleExamAM

QuantitativeMethods

TheBig-AlphaFundCaseScenario

TheBig-AlphaFundfocusesonglobalequity,fixedincome,andderivativemarket.

WilliamsWong,CFA,ananalystinBig-Alpha,isresponsibletotrackOrangeCompany.

OrangeCompanyisatechnologycompanyintheU.S.,whosesalesmostlycomefrom

China.WongisdevelopingaregressionmodeltopredictthestockreturnofOrange.

Basedonhisresearch,Wongselectsthefollowingindependentvariables:

Wongcollectsthedatafrom2009to2018forhisregressionmodel.Theregression

resultsarepresentedinExhibit1,andANOVAresultsinExhibit2.

Exhibit1Wong’sRegressionModel

Variable

Coefficient

0.0032

StandardError

0.0054

t-Statistic

0.5925

4.9342

5.9341

3.9869

P-value

0.093

<0.01

<0.01

<0.01

Intercept

1.0278

0.2083

2.3594

0.3976

0.4322

0.1084

Exhibit2Wong’sRegressionModelANOVA

ANOVA

Degreesof

Sumof

Squares(SS)

53.5045

MeanSumof

Freedom(df)

Squares(MSS)

17.8348

Regression

Residual

Total

3

116

119

45%

65.3944

0.5637

118.8989

2

Observations

120

BasedontheresultsshowninExhibit1andExhibit2,Wongwantstotestthe

hypothesisthatalltheregressioncoefficientsareequaltozero.Atthe0.05

significancelevel,thecriticalvalueoftheF-statistic(df=3,116)is2.683.

ElaineSung,Wong’scolleague,noticesthatthevarianceofresidualerrorshows

correlationwiththevaluesoftheindependentvariablesintheregression.She

worriesthatconditionalheteroskedasticitymightexist.SungaskWonghowtotest

thisviolationandwhatcanbetheeffectontheregressioniftheviolationexists.

Sungalsowonderswhetherthereexistsaseasonalityinthequarterlyrevenuesof

Orangecompany.Shedecidestousearegressionmodelwithdummyvariablesto

capturetheseasonalityandmakesthefollowingstatements:

Statement1:Fourdummyvariablesshouldbeadded,oneforeachquarter.

Statement2:Theinterceptcoefficientrepresentstheaveragevalueofthe

dependentvariablefortheomittedcategory.

Statement3:Theregressioncoefficientsrepresentthesensitivityofthe

dependentvariabletoachangeinthedummyvariable.

TheBig-AlphaFundpreparestoestablishanArtificialIntelligencedepartment,which

isresponsibleforanalyzingandtradingassetsusingmachinelearningtechnology.

Oneofitstradingstrategiesistoexecutealong-shortstrategybasedonthebond’s

defaultprobability.TwomembersintheAIteam,BobWeasleyandRogerLestrange,

describetheirideasrespectively.Bobwillbuildaclassificationtreebasedonseveral

riskfactors.Rogerwillbuildalargenumberofindependentclassificationtrees

simultaneouslyandusesthemajorityvotemethodineachdecisionprocess.

RobertLee,theleaderoftheAIteam,takesresponsibilityforbuildingarisk

monitoringsystemforBig-AlphaFund.Heplanstobuildtwodifferentmodelsto

monitorallportfoliossimultaneouslyandreducemodelrisk.

Model1:Usingallhistoricaldataandartificiallylabelsseveralriskfactorswhichwill

affectportfolios’performance

3

Model2:Usingallhistoricaldataandalldataunlabeled

7.Givenasignificancelevelof5%,basedonExhibit1and2,calculatetheF-statistic

valueanddeterminewhetherthethreeindependentvariables,asagroup,explain

thevariationintheOrangestock’sreturn.

Teststatisticsvalue

A.31.64

Explainornot

Yes

No

Yes

B.0.8181

C.17.85

8.AccordingtoExhibit1and2,usinga0.05significancelevel,whichofthefollowing

confidenceintervalsforcoefficientsismostcorrect?

A.

B.

:

:

(0.6842,

(1.5801,

1.3714)

3.1387)

C.

:

(0.1525,

0.7119)

9.RegardingSung’sworryaboutconditionalheteroskedasticity,whichofthe

followingresponsesismostaccurate?

A.Breusch-Paganχ²testshouldbeused.Whenconditionalheteroskedasticity

occurs,thet-statisticsofthecoefficientisnotreliable.

B.Breusch-Paganχ²testshouldbeused.Whenconditionalheteroskedasticity

occurs,thecoefficientestimatesarenotreliable.

C.T-testshouldbeused.Whenconditionalheteroskedasticityoccurs,thecoefficient

estimatesarereliable.

10.WhichofthestatementsmadebySungismostcorrect?

A.Statement1.

B.Statement2.

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C.Statement3.

11.Whichofthefollowingstatementsismostlikelycorrect?

A.BobusestheCARTmethod,andRogerusestheRandomForestsmethod.

B.BobusestheRandomForestmethod,andRogerusestheNeuralNetwork.

C.BobusessimpleNeuralNetwork,andRogerusescomplexNeuralNetwork.

12.Whichofthefollowingstatementsismostaccurate?

A.Model1issupervisedlearning,whilemodel2isunsupervisedlearning.

B.Model1isunsupervisedlearning,whilemodel2issupervisedlearning.

C.Model1and2arehomogeneousfromamodelingperspective.

FIXEDINCOME

CentaurusCapitalCaseScenario

LukeGu,CFA,isaninternaltrainerofCentaurusCapitalwhichisspecializedin

fixed-incomeinvestment.ThisFriday,Guarrangesaone-dayworkshopforsenior

staffstoenhancetheirprofessionalskillsabouttheembeddedoption.

HighlandFeng,chiefInvestmentofficerofCentaurusCapital,statesthatanalysts

couldvalueenterprisesfromoptionperspective.Hemakesthefollowingstatements:

Statement1:Holdingacompany’sequityiseconomicallyequivalenttoowninga

5

Europeancalloptiononthecompany’sasset,whereasowningthecompany’sdebtis

economicallyequivalenttosellingaEuropeanputoptiononthecompany’sasset.

Statement2:Thestructuralmodelcouldbeusedtoestimateacompany’sdefault

probabilityandrecoveryratefromoptionperspective.However,severalassumptions

ofthemodelarenotrealistic.

AngelZhou,oneofthefirm’ssenioranalyst,thensharestheinformationofacallable

bondissuedbyAquarius,Inc.Itisa2-yearcallablebondwithanannualcouponrate

of6%andaparvalueof$100,whichiscallableat$101attheendofthefirstyear.

Basedonmarketinformation,Zhouconstructsabinomialinterestratetreeprovided

inExhibit1.

Exhibit1:BinomialInterestRateTree

Year0

Year1

8%

5%

4%

Inaddition,ZhoumentionsthatCentaurusCapitalalsohasalongpositionina5-year

putablebondissuedbyAquarius,Inc.Zhoustatesthattheoption-adjustedspreadof

theputablebondwillbeaffectedbyinterestratevolatility,andshebelievesthatthe

interestratewillbelessvolatileinthefollowingyears.

Inthefollowingsessionoftheworkshop,QueenieYang,chiefmacroeconomic

analyst,demonstratesherforecastsfortheyieldcurvebasedonaquantitativemodel.

Theyieldcurveiscurrentlydownwardsloping,however,Yangbelievesthatthereisa

highlikelihoodthatthecurvewillbecomeflatandwillfinallyslopeupward.Her

estimatedyieldsareillustratedinExhibit2.

Exhibit2:EstimatedYields

Yields

1-year

2-year

Today

5%

1yearfromnow

3yearsfromnow

5%

5%

4.9%

5.1%

5.5%

6

3-year

5-year

4.8%

4.6%

5.2%

5.4%

6%

7%

JohnNiu,chiefriskofficer,isresponsibleformanagingtheinterestrateriskforthe

investmentpositions.Niurealizesthatthereareseveralcriteriacouldbeusedto

measuretheinterestraterisk,includingkeyrateduration,level,steepness,curvature,

andeffectiveduration.Niuisconsideringwhetherallthesecriteriaareappropriatein

measuringinterestrateriskiftheforecastgivenbyYangturnsouttobetrue.

Attheendoftheworkshop,NiuasksZhoutocalculatetheone-sidedurationsofa

3-yearcallablebond.Thebondhasafacevalueof$100andiscurrentlytradedat

$98.6523.Usingthebinomialinterestratetree,Zhoufiguresoutthatwhentheyield

curverisesanddropsby50bps,thenewfullpricesforthecallablebondare

$97.6312and$99.2624respectively.Zhouthencalculatestheone-sidedurations

basedontheaboveinformation.

49.WhichofFeng’sstatement(s)regardingthestructuralmodeliscorrect?

A.Statement1only

B.Statement2only

C.BothStatement1andStatement2

50.ThevalueofthecallablebondissuedbyAquarius,Incisclosestto:

A.$100.5467

B.$100.0705

C.$100.9863

51.IfAngelZhou’sinterestratevolatilityforecastturnsouttobetrue,the

option-adjustedspreadfortheputablebondismostlikelyto:

A.increase.

B.remainthesame.

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C.decrease.

52.IfQueenieYang’sforecastaboutyieldcurveisunbiased,thevalueofaputable

bondismostlikelyto:

A.decrease.

B.remainthesame.

C.increase.

53.SupposeYang’sforecastcomestrue,whichofthefollowingcriteriaisleast

appropriateinmeasuringinterestraterisk?

A.Keyrateduration.

B.Effectiveduration.

C.Level,steepness,curvature.

54.BasedonZhou’sestimatedpriceforthe3-yearcallablebond,theone-side

up-durationandtheone-sidedown-durationareclosestto:

A.2.07;1.24.

B.1.24;2.07.

C.0.62;1.04.

8

Derivatives

GarciaAdrianCaseScenario

GarciaAdrianisasenioranalystinH&QInternationalCompanywhichis

headquarteredinWashington,USA.Thecompanynowisexploringoverseasmarkets

andconsideringinvestinginChina.However,theriskmanagementdepartmentis

constantlyconcernedaboutthecompany’sexposurestothemovementofthe

exchangerate.Thecompanyhasstartedaproject(1milliondollarsnotionalprincipal)

inChinaandGarciaisrequiredtohedgethecurrencyriskbyusingcurrencyswaps.

HegetsthepresentvaluefactorsdatainExhibit1andtriestopricetheone-year

fixed-for-fixedcurrencyswap(semiannuallyreset).Thecurrentexchangerateis6.8

CNY/USD.

Exhibit1ChineseandUSpresentvaluefactorsdata

Maturity

180-day

360-day

CNYPresentvaluefactors

USDPresentvaluefactors

0.9852

0.9690

0.9975

0.9940

90dayslater,theriskmanagementdepartmentrequiresGarciatohandinananalysis

reportabouttheswapvalue.Thenewpresentvaluefactorsinbothcountriesandthe

updatedexchangerateareshowninExhibit2.

Exhibit2ChineseandUSpresentvaluefactorsdatain90days;

90days

CNY:USD=6.6:1in

Maturity

90-day

CNYPresentvaluefactors

USDPresentvaluefactors

0.9918

0.9744

0.9986

0.9944

270-day

Adam,acolleagueofGarcia,suggeststhatH&Qcouldalsousefloating-for-floating

currencyswapandmakesthefollowingstatementsaboutthefloating-for-floating

currencyswap:

Statement1:H&QwillbenefitfromtheriseofCNY/USDandtheriseofUSinterest

ratesinthefuture;

Statement2:H&QwillbenefitfromthedeclineofCNY/USDandtheriseofUS

9

interestratesinthefuture;

Statement3:H&QwillbenefitfromtheriseofCNY/USDandthedeclineofUS

interestratesinthefuture.

Garciaisalsoresponsibleforanalyzingthecompany’sriskmanagementstrategies

includingusinginterestrateswapsandforwardrateagreements.Todayhecollects

someLibordataandcalculatethepresentvaluefactors.Alltheinformationisshown

inExhibit3.

Exhibit3CurrentLibordataandPresentvaluefactors

Maturity

Libor

2.8%

3.2%

3.5%

4%

Presentvaluefactors

0.9930

Threemonths

Sixmonths

0.9843

Ninemonths

Twelvemonths

0.9744

0.9615

NowH&Qentersintoaone-yearinterestrateswapwhichresetquarterlyasa

receive-fixedpartyandthenotionalprincipalis1milliondollars.Garciaalsomakes

predictionsaboutLiboraftertwomonthsandafterthreemonthsinExhibit4and5.

Exhibit4Liborpredictionaftertwomonths(t=60)

Presentvaluefactors

0.9975

30-dayLibor

120-Libor

210-Libor

300-Libor

3%

3.5%

4%

0.9885

0.9772

4.5%

0.9639

Exhibit5Liborpredictionafteronequarter(t=90)

Presentvaluefactors

90-dayLibor

180-dayLibor

270-dayLibor

3.8%

0.9906

0.9790

0.9653

4.3%

4.8%

Inthemeantime,Garciaisanalyzinga2x4quarterly-pay(2and4referstoQuarter)

payerswaptionH&Qenteredthreemonthsago(10millionnotionalprincipal)with

theswaprateof4.25%.Nowtheswaptionwillmatureinthreemonthsandgivesthe

holdertherighttoenterintoasix-monthswapatexpiration.Garciabelievesthatthe

10

marketswaprateis4.5%afterthreemonths.Garciarecentl