PAGEPAGE9科目集訓(xùn)營(yíng)11ThefollowinginformationrelatestoQuestionsCaidenJackson,aprivateentrepreneur,ispreparingforhispost-retirementinvestmentplan.HeplanstoobtainmoreinvestmentknowledgebytakingtheCFAexamandhealsohiresaseniorfinancialconsultantWesleySongtohelphim.JacksonlsSongthathehaspassedtheCFAlevelItwoyearsagoandwantstofinishthe pletedlevelsafterretirement.DuringstudyinglevelI,hefoundanunfamiliarconcept“risk-neutrality”whichwasonlyinvolvedinderivativespartandheignoredtheconceptatthattime.Butnowhefindsthattheconceptisalsousedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestmenttheorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.SonganswersJackson’squestionandexplainshisopinionsabouttherisk-neutralconcept.Throughhard-workingandwithSong’shelp,JacksonfinishedalllevelsofCFAexamthreeyearslaterandplanstoinvestinthefixed efieldbyhimself .HecollectsthecurrentmarketinformationshowninExhibit1.YearYearYearYearParSomedayslater,themarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%revertstothepricethatJacksoncalculated.ThisresultstrengthenshisconfidenceintheinvestmentFivedayslater,hepurchasesanannuallypaymentcallablebondat$99.2.TheinformationforbondaregivenCouponBond3$4perCallableat$102inoneyearandtwoyearsfromBecauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentseteproducts.Recently,hehasintenseinterestsincreditdefaultswaps(CDS).JacksonnoticesHi-TechcompanyintheITindustryissufferedfromuncertaintyintheleadershiptransition.JacksonfindsthattheHi-Techcompanybondsyields4%andmaturesinthreeyears.TherelevantCDSontheHi-Techcompanybondhasa1.75%creditspread.JacksonforecaststhatthenewleaderfortheHi-Techcompanyisgoingtoacquireacompanybyissuingadditionaldebt.Afterthe ysisoftheHi-Techcompany,Jacksonlearnscollateralizeddebtobligation(CDO)throughafinancialproseminar.JacksonseeksadvicefromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebondsandundertakingasaprotectionsellerinCDS.WhichoneofthefollowingtheoriesismostsuitableforJackson’sUnbiasedexpectationLocalexpectationPreferredhabitat要尋找一個(gè)不涉及這個(gè)風(fēng)險(xiǎn)中性概念的理論，unbiasedexpectation和localAccordingtotheExhibit1,thespotrateofyear4isclosestto考點(diǎn)：使用bootstrap方法從parrate推出spot解析：需要注意的是1年期的parrate就是1年期spotrate，也就是第一年的spotrate是0.025，2年期parrate是3.5%意味著一個(gè)兩年期的債券，每年支付3.5%票息價(jià)格為100。3年期parrate是4.5%意味著一個(gè)三年期的債券，每年AccordingtotheExhibits1and2,ifthepriceofa3-yearannuallystraightbondisatpar,intrinsicvalueofa3-yearbondisclosest次雖然二叉樹(shù)給了4期，但是解題只需要使用前3期。因此可以得到在三AccordingtoExhibits2and3,theoptioncostofthecallablebondisclosestto:考點(diǎn)：用二叉樹(shù)對(duì)callablebond估值BaseontheysisfortheHi-Techcompany,themostappropriatestrategyforJacksonisbuytheHi-TechcompanybondandbuyCDSonHi-TechcompanybondselltheHi-TechcompanybondandbuyCDSonHi-TechcompanybondselltheHi-TechcompanybondandsellCDSonHi-Techcompanybond考點(diǎn)：CDS交易策 因此新的勢(shì)必會(huì)造成已有 IsSong’sstatementonCDONo,becauseheisincorrectwithregardtodefault-freeNo,becauseheisincorrectwithregardtoprotectionsellerin考點(diǎn)：合成作為protectionseller增加信用風(fēng)險(xiǎn)敞口，來(lái)達(dá)到合成CDO的目的，因此A正22ThefollowinginformationrelatestoQuestionsMichaelGrossisthejuniorstudentofpsychologyinDukeUniversity.Intheperiodofschool,heattemptedtoearnhistuitionbypokergameinLasVegasduringthesummervacation.InLasVegas,hefoundthatthepokerplayermustbecapableoffinishingthelogicalprocessquicklyinthelightofthesituationsongamblinggames.Buthecannotfinishthereasoningprocessattheshorttime.Histeachersuggeststhattheinvestment ystisprobablysuitableforhim.The ysthasenoughtimetocometotheconclusionbecauseofthesignificanceofinvestment’sresult.Therefore,Hewantstofindaninternjobinthe edepartmentofGaodunFinance.Evenifhehasanexcellentbackground,hestillneedstopasstheexaminationbyansweringthequestionsfromtheinterviewer.GloriaDavies,theofficialleaderofthefixed edepartment,isdesignatedtobetheinterviewer,butsheneedstodealswithherjob .JohnThomas,theseniorinterestrate yst,providesherwiththespotratecurveshowninExhibit1basedonthecollectedmarketinformation.DavieschecksthedataandasksThomastocalculatetheforwardratesbasedontheinformation.Becauseoftheperfectperformanceintheinterview,GrossisenrolledinGaodunFinanceasanintern.Oneday,Grossisconfusedaboutcredit ysisandconsultswithLesson.Grossasks”Isthereanycredit thatcanprovidetativeresultsonthedefaultprobabilityandexpectlossgivendefaultandthatcantakeintoconsiderationsofdifferentbusinessstages?”Afterthediscussionofcredit ysis,DaviesasksGrosstointroduceasset-backedsecurities(ABS)tothepotentialclientsofGaodunFinance.Duringtheseminar,Grosspresentsthatthecredit ysisprocessforABSisdifferentfromtraditionalbondsduetothetranchestructureofABS.Forexample,ifanyprincipalorinterestsrepay,allthetranchesoftheABSproductionclaimtheprincipalequallybutthehighesttranchereceivestheinterestsforemost.AccordingtotheExhibit1,thef(1,2)isclosestto:AccordingtotheExhibit2,thedifferencebetweenLesson’sforecastvalueforNode2-2andactualvalueforNode2-2isclosestWhichoneofthefollowingspreadsisthemostappropriateresponsetoQuestion1？B.Option-adjustedC.G-解析：根據(jù)定義G-spread是theyieldspreadinbasispointoveranactualorinterpolatedernmentbond.這個(gè)數(shù)值的差距反映了一切債券和國(guó)債不同的特性。Zspread同樣是反應(yīng)一切債券和國(guó)債差異的基差，主要的區(qū)別在于G-spread是收益率YTM做差，而Z-spread是加在spotratecurve上的一個(gè)數(shù)值。一個(gè)是YTM之差，另一個(gè)是通過(guò)試錯(cuò)法在Spotratecurve上得到的。這兩個(gè)數(shù)Whichofthefollowingbehaviorsofmanagingtheinterestrateofthefloating-ratebondisbeneficialtoTheissuercanaddtheinterestcaptoreducetheinterestrateriskofthefloating-rateTheissuercanaddtheinterestfloortoreducetheinterestrateriskofthefloating-rateTheissuercantransferthefloating-paymentintofixed-paymentbymakingtheinterestrate考點(diǎn)：利率封頂或封底對(duì)人的優(yōu)解析：選項(xiàng)A，人通過(guò)加利率封頂來(lái)保證自己支付的coupon不會(huì)超過(guò)cap支付的coupon不會(huì)低于floorrate，但實(shí)際上這個(gè)雖然也是降低利率風(fēng)險(xiǎn)，但 ForGross’squestionaboutcreditysis,themostappropriateanswergivenbyLessoncreditreducedIsGross’sstatementonABSNo,heisincorrectwithrespecttothecreditysisNo,heisincorrectwithrespecttorepaymentpriorityofprincipaland考點(diǎn)：資產(chǎn)化產(chǎn)品的信用分解析：由于資產(chǎn)化債券的信用分析過(guò)程不同于一般債券，因?yàn)锳BS存在分級(jí)結(jié)構(gòu)（tranchestructure）所謂違約損失首先由低級(jí)別的層級(jí)來(lái)承擔(dān)，這33ThefollowinginformationrelatestoQuestionsPhillipsJosephisaseniorcredit ystworkingforLoftyTowerCompany,Inc.Recently,heisaskedtopressacreditreportonSliverForwardCompany,acompanyintheconsultingarea.HensonLeonard,acolleagueofJoseph,isaspecialistintative ysis.Leonardsuggeststhat“insteadofcreditrating,Ipreferstructuralmodelbecausestructuralmodelrenderstativeresults,suchasthepresentvalueoftheexpectedlossandtheprobabilityofdefault,andithasnolimitationonthecompany’sbalancesheet.”Josephreplies”Althoughtherearetremendouslyobviousadvantagesofthestructuralmodel,itisrelativelycomplicatedforinvestorstounderstand.Incontrast,thecreditratingisstraightforwardbecausetheratingprovidesasimplestatisticthatsummarizestheestimatedfutureperformanceonapotentialdebtissuer.Furthermore,creditratingisrelativelystableovertimewhichresultsinlowvolatilityinthedebtmarket.”Afterthediscussion,JosephfulfillsthecreditreportonSliverForwardCompany.Accordingtotheprevious ysis,Sumail,oneofJoseph’scolleagues,concludesthatthecorporationhashighcreditqualityandlistssupportingevidenceinthereportofcredit ysis.Buttheinvestorthinksthatthedecisionofinvestmentisbasedonthepreciselytativestandardratherthanthequalitativeconclusions.Hence,Sumailisrequiredtoofferanumericalindicatorformeasuringthechangeofthecorporation’screditrisk.Hethinksthatthecreditriskofthecorporationisconstantoveralong-termperiodandZ-spreadcanbeanappropriateriskmeasurement.HesummarizesthespotratecurvebasedonthereportfromthedepartmentofAccordingtotheZ-spreadgiveninthecredit ysisreport,ZhileiXumakesalargetradinglossatthepositionofBondA.Hehiresanewinvestmentconsultantwhoisspecializinginthevaluationoffloating-ratebondbecauseXuthinksthatthefloating-ratebond’spropertyoftimelyfeedbackformarketenvironmentalchangeisdesirabletobothparty.Fortheissuingparty,itwillpaytheborrowingcostthatisexactlyequaltoitsriskpremium.Forthepurchaser,thefloating-ratebondtremendouslyreducestheinterestratesensitivity.Theinvestorwillnotsufferalargelossandalsonotmakealargeprofit.Xudecidestoinvestinthefloating-ratebondwithinterestratecapissuedbyEvilgeniusandherequiresaconsultanttoofferafairvalueofthecappedfloating-ratebond.Hisconsultantcollectsinformationasfollow.Basedonthepredictionoftheinterestratebinominaltree,Xuexpressesthattheprotectionofdownsiderateisnecessarybecausehehasapredictablefixedcashoutflowoverthenextthreeyears.Hehopesthatthecouponpaymentfromthefloating-ratebondisneverbelow6%.Theconsultantstatesthat ystgivestheexpectationofhigherTIIBORrelativetothecurrentexpectationIsLeonard’sstatementonthestructuralmodelNo,heisincorrectregardtotativeNo,heisincorrectregardtothelimitationonthecompany’sbalance考點(diǎn)：structuralmodel解析：structuralmodel中需要假設(shè)公司的資產(chǎn)負(fù)債表中只有一筆負(fù)債，且該是償還的Z-bond，因此structuralmodel是對(duì)公司資產(chǎn)負(fù)債表有要求的，因此選CIsJoseph’sstatementonthecreditratingNo,heisincorrectbecausecreditratingisbasedonthepastperformanceofapotentialNo,heisincorrectbeca