2025年CFA三級《固定收益》真題及答案考試時間：______分鐘總分：______分姓名：______第一部分1.Aninvestmentmanagerisconstructingafixed-incomeportfolioforaclientwithalowrisktolerance.Themanagerisconsideringaddingacorporatebondtotheportfolio.Whichofthefollowingcharacteristicsofthebondismostlikelytobepreferredbythemanagertominimizecreditriskexposure?a)Highcreditratingandalongmaturity.b)Lowcreditratingandashortmaturity.c)Highcreditratingandashortmaturity.d)Lowcreditratingandalongmaturity.2.Theyieldcurveforacountryisflat.Assumingtheexpectationstheoryofthetermstructureofinterestratesholds,whatdoesthissuggestaboutthemarket'sexpectationsoffutureshort-terminterestrates?a)Themarketexpectsshort-terminterestratestoincreaseinthefuture.b)Themarketexpectsshort-terminterestratestodecreaseinthefuture.c)Themarketexpectsshort-terminterestratestoremainunchangedinthefuture.d)Themarketexpectstheyieldcurvetoinvertinthefuture.3.Aportfoliomanagerusesdurationtohedgetheinterestrateriskofabondportfolio.Whichofthefollowingstatementsismostaccurateregardingtheuseofdurationforhedging?a)Aportfoliowithahigherdurationismoreeffectivelyhedgedagainstinterestrateincreases.b)Aportfoliowithalowerdurationismoreeffectivelyhedgedagainstinterestratedecreases.c)Theeffectivenessofhedgingusingdurationisindependentoftheexpectedchangeininterestrates.d)Durationhedgingismosteffectivewhenthebondportfolio'sdurationmatchesthedurationofthehedginginstrument.4.Abondhasafacevalueof$1,000,acouponrateof5%,andmaturesin10years.Theyieldtomaturity(YTM)is6%.WhatistheapproximatepriceofthebondusingtheMacauleydurationof7.36years?a)$927.40b)$1,075.20c)$955.00d)$1,044.805.Whichofthefollowingstatementsbestdescribestherelationshipbetweenconvexityandbondpricesensitivitytochangesininterestrates?a)Convexityincreases,bondpricesensitivitydecreases.b)Convexitydecreases,bondpricesensitivityincreases.c)Convexityandbondpricesensitivityhaveaninverserelationship.d)Convexityandbondpricesensitivityhaveadirectrelationship.6.AninvestorpurchasesacorporatebondwithacreditratingofBBB-.Thebond'syieldtomaturityis6%.Subsequently,thecreditratingofthebondisdowngradedtoBB+.Assumingallotherfactorsremainconstant,whatisthemostlikelyimpactonthebond'syieldtomaturity?a)Theyieldtomaturitywillincrease.b)Theyieldtomaturitywilldecrease.c)Theyieldtomaturitywillremainunchanged.d)Theimpactontheyieldtomaturitycannotbedeterminedwithoutadditionalinformation.7.Aportfoliomanagerisevaluatingtwobondsforinclusioninafixed-incomeportfolio.BondAhasahigherdurationbutaloweryieldtomaturitythanBondB.Whichofthefollowingstatementsismostlikelytrue?a)BondAoffersahigherpotentialreturnforagivenlevelofinterestraterisk.b)BondBoffersahigherpotentialreturnforagivenlevelofinterestraterisk.c)TheinterestrateriskofBondAandBondBisidentical.d)ThecreditriskofBondAishigherthanthecreditriskofBondB.8.Whatistheprimarypurposeofabondimmunizationstrategy?a)Tomaximizethetotalreturnofthebondportfolio.b)Tominimizethecreditriskexposureofthebondportfolio.c)Toensurethatthebondportfolio'svalueremainsunchangedwheninterestrateschange.d)Tomatchthecashflowsofthebondportfoliotothemanager'sliabilitycashflows.9.Afixed-incomeinvestmentmanagerisconstructingaportfoliousingTreasurystrips.WhichofthefollowingstatementsismostaccurateregardingTreasurystrips?a)Treasurystripsarezero-couponbondsthatpayinterestsemi-annually.b)Treasurystripsarecoupon-bearingbondsthatpayinterestannually.c)Treasurystripsarezero-couponbondsthatpaythefacevalueatmaturity.d)Treasurystripsareatypeofmortgage-backedsecurity.10.Aninvestorisconsideringpurchasingacorporatebondwithacreditspreadof200basispointsoverthecorrespondingTreasuryyield.Whatdoesthecreditspreadrepresent?a)Theexpectedreturnonthebond.b)Theyieldtomaturityofthebond.c)Theadditionalreturntheinvestorrequiresfortakingonthecreditriskofthebond.d)Theprobabilityofdefaultofthebond.11.Aportfoliomanagerisusingabondfuturescontracttohedgetheinterestrateriskofalongbondposition.Whichofthefollowingstatementsismostlikelytrue?a)Theportfoliomanagerwillbenefitfromadecreaseininterestratesifthehedgeisperfectlyeffective.b)Theportfoliomanagerwillbenefitfromanincreaseininterestratesifthehedgeisperfectlyeffective.c)Theeffectivenessofthehedgeissolelydependentonthebasisriskbetweenthebondpositionandthefuturescontract.d)Thehedgewillbeperfectlyeffectiveifthedurationofthebondpositionmatchesthedurationofthefuturescontract.12.WhatistheprimarydifferencebetweenaTreasurybondandamunicipalbond?a)Thematuritydate.b)Thecouponrate.c)Theissuer.d)Thecreditrating.13.Aninvestorisconsideringpurchasingafloating-ratenote(FRN).WhichofthefollowingstatementsismostaccurateregardingFRNs?a)ThecouponrateofanFRNisfixedanddoesnotchangethroughoutthelifeofthebond.b)TheprincipalamountofanFRNmaybeadjustedperiodicallybasedonmarketconditions.c)FRNsaretypicallyissuedbymunicipalitiesandareexemptfromfederalincometax.d)FRNshaveahighercreditriskthanfixed-ratebonds.14.Acreditdefaultswap(CDS)isafinancialderivativethatprovidesprotectionagainstthedefaultofareferenceentity.WhichofthefollowingstatementsismostaccurateregardingCDS?a)ThebuyerofaCDSpaysapremiumandreceivesprotectionagainstthedefaultofthereferenceentity.b)ThesellerofaCDSpaysapremiumandreceivesprotectionagainstthedefaultofthereferenceentity.c)TheCDSpremiumisbasedsolelyonthecreditratingofthereferenceentity.d)TheCDSistypicallyusedforspeculativepurposesratherthanhedging.15.Whichofthefollowingfactorswouldmostlikelyincreasetheliquidityofafixed-incomesecurity?a)Alowcreditrating.b)Ashortmaturity.c)Alargenumberofholders.d)Acomplexstructure.第二部分16.Aportfoliomanagerisconstructingafixed-incomeportfolioforaclientwhohasahighrisktoleranceandisinterestedinpotentialcapitalappreciation.Themanagerisconsideringaddingahigh-yieldcorporatebondtotheportfolio.Whichofthefollowingstatementsismostlikelytrueregardingthehigh-yieldbond?a)Thehigh-yieldbondislesssensitivetochangesininterestratesthanainvestment-gradebond.b)Thehigh-yieldbondhasalowercreditriskthananinvestment-gradebond.c)Thehigh-yieldbondoffersaloweryieldtomaturitythananinvestment-gradebond.d)Thehigh-yieldbondislesslikelytoexperienceadefaultthananinvestment-gradebond.17.Thespotratefora1-yearzero-couponbondis3%.Thespotratefora2-yearzero-couponbondis4%.Whatistheforwardrateforthe1-yearperiodstartinginoneyear,accordingtothepureexpectationstheory?a)5.00%b)4.67%c)7.02%d)6.80%18.Abondhasafacevalueof$1,000,acouponrateof7%,andmaturesin5years.Theyieldtomaturity(YTM)is8%.Thebond'smodifieddurationis4.12years.IftheYTMincreasesby100basispoints,whatistheapproximatepercentagechangeinthebond'sprice?a)-4.12%b)-4.27%c)-8.24%d)-8.54%19.AportfoliomanagerisevaluatingthecreditriskofabondportfoliousingtheCreditMetricsmodel.Whichofthefollowinginputsisrequiredbythemodel?a)Theexpectedreturnonthebondportfolio.b)Thedurationofeachbondintheportfolio.c)Theprobabilityofdefaultforeachbondintheportfolio.d)Theyieldtomaturityforeachbondintheportfolio.20.Aninvestorisconsideringpurchasingabondthatpaysquarterlycoupons.Thebondhasafacevalueof$1,000,acouponrateof6%,andmaturesin10years.Theyieldtomaturityis5%.WhatistheapproximatepriceofthebondusingtheapproximationformulathatmultipliestheMacauleydurationbytheyieldtomaturityandsubtracts1?a)$1,035.00b)$1,000.00c)$965.00d)$1,080.0021.Afixed-incomeinvestmentmanagerisconstructingaportfoliousingTreasuryfuturescontracts.Themanagerisusingashortpositionina10-yearTreasuryfuturescontracttohedgetheinterestrateriskofalongbondportfolio.Thedurationofthebondportfoliois7.5years,andthedurationofthefuturescontractis7.0years.Whichofthefollowingstatementsismostlikelytrue?a)Thehedgewillbepartiallyeffective,andtheportfoliomanagerwillexperienceagainifinterestratesdecrease.b)Thehedgewillbepartiallyeffective,andtheportfoliomanagerwillexperiencealossifinterestratesincrease.c)Thehedgewillbeperfectlyeffective,andtheportfoliomanager'sprofitorlosswillbeentirelydependentonthechangeininterestrates.d)Thehedgewillbeineffective,andtheportfoliomanager'spositionwillbefullyexposedtointerestraterisk.22.Whatistheprimarypurposeofabondyieldcurve?a)Toprovideameasureofthebond'screditrisk.b)Toindicatetheexpectedreturnonabond.c)Toshowtherelationshipbetweentheyieldtomaturityandthetimetomaturityforbondswithsimilarcreditquality.d)Totrackthehistoricalpricefluctuationsofabond.23.Aninvestorisconsideringpurchasingafloating-ratenote(FRN)withacouponratethatisbasedontheLondonInterbankOfferedRate(LIBOR)plusaspread.WhichofthefollowingstatementsismostaccurateregardingtheFRN?a)ThecouponrateoftheFRNwillremainfixedthroughoutthelifeofthebond.b)ThecouponrateoftheFRNwillbeadjustedperiodicallybasedonchangesinLIBOR.c)TheFRNwillalwaysofferahigheryieldtomaturitythanafixed-ratebondwiththesamematurity.d)TheFRNwillbelesssensitivetochangesininterestratesthanafixed-ratebondwiththesamematurity.24.Acreditdefaultswap(CDS)buyerpaysapremiumtotheCDSseller.WhatdoestheCDSsellerreceiveinreturnforthepremium?a)ApromisetopaytheCDSbuyerafixedamountifthereferenceentitydefaults.b)ApromisetopaytheCDSbuyeravariableamountbasedonthechangeininterestrates.c)Theunderlyingbondofthereferenceentity.d)Ashareofthereferenceentity'sprofits.25.Aportfoliomanagerisconstructingafixed-incomeportfoliousingacombinationofgovernmentbondsandcorporatebonds.Whichofthefollowingstatementsismostlikelytrueregardingthediversificationbenefitsofaddingcorporatebondstoaportfolioofgovernmentbonds?a)Thediversificationbenefitswillbeminimalbecausegovernmentbondsandcorporatebondsarehighlycorrelated.b)Thediversificationbenefitswillbesignificantbecausegovernmentbondsandcorporatebondsareuncorrelated.c)Thediversificationbenefitswilldependonthecreditqualityofthecorporatebonds.d)Thediversificationbenefitswillbegreatestwhenthecorporatebondshaveahighyieldtomaturity.26.Abondhasayieldtomaturityof5%.Thebond'sdurationis6years.Iftheyieldtomaturityincreasesto6%,whatistheapproximatepercentagechangeinthebond'sprice?a)-6.00%b)-5.00%c)-9.00%d)-10.00%27.Aportfoliomanagerisusingabondoptiontohedgetheinterestrateriskofabondportfolio.Whichofthefollowingstatementsismostaccurateregardingtheuseofbondoptionsforhedging?a)Theuseofbondoptionsprovidesperfectprotectionagainstchangesininterestrates.b)Thecostofhedgingusingbondoptionsistypicallylowerthanthecostofhedgingusingbondfutures.c)Theeffectivenessofthehedgeusingbondoptionsdependsonthevolatilityofthebondprice.d)Theuseofbondoptionsdoesnotrequiretheportfoliomanagertohaveanyunderstandingofoptionspricing.28.Whichofthefollowingstatementsbestdescribestheconceptofimmunizationinfixed-incomeportfoliomanagement?a)Theprocessofmaximizingtheyieldtomaturityofthebondportfolio.b)Theprocessofmatchingthedurationofthebondportfoliotothedurationofthemanager'sliabilities.c)Theprocessofminimizingthecreditriskexposureofthebondportfolio.d)Theprocessofinvestingonlyinhigh-yieldbondstoachievethehighestpossiblereturn.29.Aninvestorisconsideringpurchasingabondthatpayssemi-annualcoupons.Thebondhasafacevalueof$1,000,acouponrateof8%,andmaturesin7years.Theyieldtomaturityis7%.WhatistheapproximatepriceofthebondusingtheapproximationformulathatmultipliestheMacauleydurationbytheyieldtomaturityandsubtracts1?a)$1,050.00b)$1,000.00c)$950.00d)$1,080.0030.Afixed-incomeinvestmentmanagerisconstructingaportfoliousingzero-couponbonds.Whichofthefollowingstatementsismostaccurateregardingzero-couponbonds?a)Zero-couponbondspayperiodiccouponsthroughoutthelifeofthebond.b)Zero-couponbondsaremoresensitivetochangesininterestratesthancoupon-payingbonds.c)Zero-couponbondsofferahigheryieldtomaturitythancoupon-payingbondswiththesamematurity.d)Zero-couponbondsaretypicallyusedforspeculationratherthanhedging.第三部分31.AcreditratingagencyhasassignedaratingofBBB-toacorporatebond.Whatdoesthisratingsuggestaboutthecreditworthinessofthebondissuer?a)Theissuerhasaveryhighcreditratingandisconsideredtobeinexcellentfinancialhealth.b)Theissuerhasamoderatecreditratingandisconsideredtohaveareasonableabilitytomeetitsfinancialobligations.c)Theissuerhasalowcreditratingandisconsideredtohaveasignificantriskofdefault.d)Theissuerhasaverylowcreditratingandisconsideredtobeindefault.32.Theyieldcurveforacountryisinverted.Whatdoesthissuggestaboutthemarket'sexpectationsoffutureshort-terminterestrates?a)Themarketexpectsshort-terminterestratestoincreaseinthefuture.b)Themarketexpectsshort-terminterestratestodecreaseinthefuture.c)Themarketexpectsshort-terminterestratestoremainunchangedinthefuture.d)Themarketexpectstheyieldcurvetoflatteninthefuture.33.Abondhasafacevalueof$1,000,acouponrateof6%,andmaturesin3years.Theyieldtomaturity(YTM)is7%.Thebond'smodifieddurationis2.74years.IftheYTMincreasesby50basispoints,whatistheapproximatepercentagechangeinthebond'sprice?a)-2.74%b)-2.87%c)-5.48%d)-5.74%34.Aportfoliomanagerisusingabondfuturescontracttohedgetheinterestrateriskofashortbondposition.Themanagerisusingalongpositionina5-yearTreasuryfuturescontracttohedgetheriskofabondportfoliowithadurationof4.5years.Whichofthefollowingstatementsismostlikelytrue?a)Thehedgewillbeperfectlyeffective,andtheportfoliomanager'sprofitorlosswillbeentirelydependentonthechangeininterestrates.b)Thehedgewillbepartiallyeffective,andtheportfoliomanagerwillexperienceagainifinterestratesdecrease.c)Thehedgewillbepartiallyeffective,andtheportfoliomanagerwillexperiencealossifinterestratesincrease.d)Thehedgewillbeineffective,andtheportfoliomanager'spositionwillbefullyexposedtointerestraterisk.35.Afixed-incomeinvestmentmanagerisconstructingaportfoliousingmunicipalbonds.Whichofthefollowingstatementsismostaccurateregardingmunicipalbonds?a)Municipalbondsaretypicallyissuedbycorporationsandareexemptfromfederalincometax.b)Municipalbondsaretypicallyissuedbymunicipalitiesandareexemptfromstateandlocalincometaxes.c)Municipalbondshaveahighercreditriskthancorporatebondswiththesamematurity.d)Municipalbondsarenotsubjecttocreditrisk.36.Aninvestorisconsideringpurchasingafloating-ratenote(FRN)withacouponratethatisbasedontheSOFRrateplusaspread.WhichofthefollowingstatementsismostaccurateregardingtheFRN?a)ThecouponrateoftheFRNwillremainfixedthroughoutthelifeofthebond.b)ThecouponrateoftheFRNwillbeadjustedperiodicallybasedonchangesinSOFR.c)TheFRNwillalwaysofferahigheryieldtomaturitythanafixed-ratebondwiththesamematurity.d)TheFRNwillbelesssensitivetochangesininterestratesthanafixed-ratebondwiththesamematurity.37.Acreditdefaultswap(CDS)buyerpaysapremiumtotheCDSseller.TheCDSselleragreestopaytheCDSbuyer$1millionifthereferenceentitydefaults.WhatisthenotionalamountoftheCDS?a)$1millionb)$10millionc)$100milliond)Thenotionalamountcannotbedeterminedfromtheinformationprovided.38.Aportfoliomanagerisconstructingafixed-incomeportfoliousingacombinationofgovernmentbondsandcorporatebonds.Whichofthefollowingstatementsismostlikelytrueregardingthediversificationbenefitsofaddingcorporatebondstoaportfolioofgovernmentbonds?a)Thediversificationbenefitswillbeminimalbecausegovernmentbondsandcorporatebondsarehighlycorrelated.b)Thediversificationbenefitswillbesignificantbecausegovernmentbondsandcorporatebondsareuncorrelated.c)Thediversificationbenefitswilldependonthecreditqualityofthecorporatebonds.d)Thediversificationbenefitswillbegreatestwhenthecorporatebondshaveahighyieldtomaturity.39.Abondhasayieldtomaturityof4%.Thebond'sdurationis5years.Iftheyieldtomaturityincreasesto5%,whatistheapproximatepercentagechangeinthebond'sprice?a)-5.00%b)-4.00%c)-9.00%d)-10.00%40.Afixed-incomeinvestmentmanagerisconstructingaportfoliousingzero-couponbonds.Whichofthefollowingstatementsismostaccurateregardingzero-couponbonds?a)Zero-couponbondspayperiodiccouponsthroughoutthelifeofthebond.b)Zero-couponbondsaremoresensitivetochangesininterestratesthancoupon-payingbonds.c)Zero-couponbondsofferahigheryieldtomaturitythancoupon-payingbondswiththesamematurity.d)Zero-couponbondsaretypicallyusedforspeculationratherthanhedging.41.AcreditratingagencyhasassignedaratingofAAAtoacorporatebond.Whatdoesthisratingsuggestaboutthecreditworthinessofthebondissuer?a)Theissuerhasaveryhighcreditratingandisconsideredtobeinexcellentfinancialhealth.b)Theissuerhasamoderatecreditratingandisconsideredtohaveareasonableabilitytomeetitsfinancialobligations.c)Theissuerhasalowcreditratingandisconsideredtohaveasignificantriskofdefault.d)Theissuerhasaverylowcreditratingandisconsideredtobeindefault.42.Thespotratefora1-yearzero-couponbondis2%.Thespotratefora3-yearzero-couponbondis3%.Whatistheforwardrateforthe2-yearperiodstartingin1year,accordingtothepureexpectationstheory?a)3.02%b)2.67%c)4.07%d)3.80%43.Abondhasafacevalueof$1,000,acouponrateof9%,andmaturesin6years.Theyieldtomaturity(YTM)is8%.Thebond'smodifieddurationis4.85years.IftheYTMincreasesby75basispoints,whatistheapproximatepercentagechangeinthebond'sprice?a)-4.85%b)-5.00%c)-9.00%d)-10.00%44.Aportfoliomanagerisusingabondoptiontohedgetheinterestrateriskofabondportfolio.Whichofthefollowingstatementsismostaccurateregardingtheuseofbondoptionsforhedging?a)Theuseofbondoptionsprovidesperfectprotectionagainstchangesininterestrates.b)Thecostofhedgingusingbondoptionsistypicallylowerthanthecostofhedgingusingbondfutures.c)Theeffectivenessofthehedgeusingbondoptionsdependsonthevolatilityofthebondprice.d)Theuseofbondoptionsdoesnotrequiretheportfoliomanagertohaveanyunderstandingofoptionspricing.45.Afixed-incomeinvestmentmanagerisconstructingaportfoliousingTreasurystrips.WhichofthefollowingstatementsismostaccurateregardingTreasurystrips?a)Treasurystripsarezero-couponbondsthatpayinterestsemi-annually.b)Treasurystripsarecoupon-bearingbondsthatpayinterestannually.c)Treasurystripsarezero-couponbondsthatpaythefacevalueatmaturity.d)Treasurystripsareatypeofmortgage-backedsecurity.試卷答案1.c)Highcreditratingandashortmaturity.*解析思路：低風險偏好投資者傾向于選擇信用評級高（信用風險低）且期限短（利率風險低）的債券。2.c)Themarketexpectsshort-terminterestratestoremainunchangedinthefuture.*解析思路：預期理論認為，平坦的收益率曲線意味著市場預期未來短期利率將保持不變。3.a)Aportfoliowithahigherdurationismoreeffectivelyhedgedagainstinterestrateincreases.*解析思路：久期衡量了債券價格對利率變化的敏感度。久期越高，債券價格對利率上升的敏感度越高，因此使用更高久期的債券進行免疫策略可以更有效地對沖利率上升的風險。4.a)$927.40*解析思路：使用Macauley久期和YTM進行債券價格近似計算：價格≈現(xiàn)金流/(1+YTM)^年數(shù)。更精確的計算應使用債券定價公式，但題目要求使用久期近似，結(jié)果應接近$927.40。5.d)Convexityandbondpricesensitivityhaveadirectrelationship.*解析思路：凸性衡量了債券價格-收益率曲線的彎曲程度。凸性越大，債券價格對利率變化的敏感度（即久期）在收益率上升時越小，在收益率下降時越大。因此，凸性與債券價格敏感度存在正向關系。6.a)Theyieldtomaturitywillincrease.*解析思路：信用評級下調(diào)意味著債券的信用風險增加，投資者要求更高的回報來補償額外的風險，從而導致債券收益率（YTM）上升。7.c)TheinterestrateriskofBondAandBondBisidentical.*解析思路：久期是衡量利率風險的主要指標。題目中兩支債券的久期相同，因此它們的利率風險相同。YTM和信用風險是不同的考慮因素。8.d)Toensurethatthebondportfolio'svalueremainsunchangedwheninterestrateschange.*解析思路：免疫策略的主要目標是通過匹配債券組合的久期和現(xiàn)金流，使債券組合的值在利率變化時保持穩(wěn)定，從而實現(xiàn)特定的投資目標，通常是與負債相匹配。9.c)Treasurystripsarezero-couponbondsthatpaythefacevalueatmaturity.*解析思路：零息國債（Treasurystrips）是零息債券，在到期時支付面值，沒有中間的利息支付。10.c)Theadditionalreturntheinvestorrequiresfortakingonthecreditriskofthebond.*解析思路：信用利差是高收益?zhèn)ɑ蛉魏涡庞蔑L險較高的債券）的收益率與具有相同期限的政府債券（無信用風險）收益率之間的差額。它代表了投資者因承擔信用風險而要求的額外回報。11.a)Theportfoliomanagerwillbenefitfromadecreaseininterestratesifthehedgeisperfectlyeffective.*解析思路：當利率下降時，債券價格上漲。如果使用期貨進行完美對沖，期貨多頭頭寸將獲利，這可以抵消債券空頭頭寸因利率下降而造成的損失。12.c)Theissuer.*解析思路：國債由政府發(fā)行，而市政債券由地方政府發(fā)行。這是兩者最根本的區(qū)別。13.b)ThecouponrateofanFRNisadjustedperiodicallybasedonmarketconditions.*解析思路：浮動利率票據(jù)（FRN）的票面利率不是固定的，而是根據(jù)一個基準利率（如LIBOR、SOFR）加上一個利差定期調(diào)整。14.a)ThebuyerofaCDSpaysapremiumandreceivesprotectionagainstthedefaultofthereferenceentity.*解析思路：信用違約互換（CDS）的買方支付保費，以獲得在參考實體發(fā)生違約時獲得賠償?shù)臋嗬?5.b)Ashortmaturity.*解析思路：期限越短的債券，其價格對利率變化的敏感度越低，流動性通常越好。其他因素（如信用質(zhì)量、發(fā)行量）也會影響流動性，但期限是重要因素之一。16.a)Thehigh-yieldbondislesssensitivetochangesininterestratesthanainvestment-gradebond.*解析思路：通常情況下，高收益?zhèn)ǜ唢L險）的久期比投資級債券短，因此對利率變化的敏感度較低（利率風險較低）。注意，高收益?zhèn)男庞蔑L險更高。17.c)7.02%*解析思路：根據(jù)純預期理論，2年期的零息票債券收益率（4%）可以表示為1年期零息票債券收益率（3%）和1年后1年期預期收益率（f）的組合：(1+f)2=1.04=>1+f=1.02=>f=2%。所以1年后開始的1年期遠期利率為2%。18.b)-4.27%*解析思路：使用修正久期計算價格變動百分比：百分比變動≈-修正久期×收益率變動=-4.12×(0.01)=-4.12%。更精確的計算應考慮凸性，但題目只要求使用修正久期近似，結(jié)果應接近-4.27%（使用更精確的近似公式：百分比變動≈-修正久期×收益率變動+1/2×凸性×(收益率變動)2）。19.c)Theprobabilityofdefaultforeachbondintheportfolio.*解析思路：CreditMetrics模型是一種基于蒙特卡洛模擬的信用風險管理方法，它需要估計組合中每個債券的違約概率（PD）作為關鍵輸入。20.a)$1,035.00*解析思路：使用久期近似公式：價格≈現(xiàn)金流現(xiàn)值+修正久期×YTM。這里現(xiàn)金流現(xiàn)值約為$970.87（6%coupon,5years,5%YTM），久期約為4.37，4.37×5%=0.2185。$970.87+$970.87×0.2185%≈$1,035.00。21.b)Thehedgewillbepartiallyeffective,andtheportfoliomanagerwillexperiencealossifinterestratesincrease.*解析思路：由于債券組合的久期（7.5）大于期貨合約的久期（7.0），當利率上升時，債券組合的價格下跌幅度大于期貨頭寸的盈利幅度，因此對沖效果部分，利率上升會導致凈損失。22.c)Toshowtherelationshipbetweentheyieldtomaturityandthetimetomaturityforbondswithsimilarcreditquality.*解析思路：收益率曲線展示了具有相同信用質(zhì)量的債券，其到期收益率（YTM）與其到期時間（期限）之間的關系。23.b)ThecouponrateoftheFRNwillbeadjustedperiodicallybasedonchangesinLIBOR.*解析思路：FRN的票面利率與基準利率（如LIBOR）掛鉤，并定期（如每季度）根據(jù)基準利率的變化進行調(diào)整。24.a)ApromisetopaytheCDSbuyerafixedamountifthereferenceentitydefaults.*解析思路：CDS賣方向CDS買方承諾，在參考實體發(fā)生違約時，將按照合約條款支付一筆固定金額（通常是名義金額減去回收率）。25.c)Thediversificationbenefitswilldependonthecreditqualityofthecorporatebonds.*解析思路：將公司債券添加到政府債券組合中的多元化收益取決于公司債券的信用質(zhì)量。只有當公司債券與政府債券的相關性較低（尤其是在信用質(zhì)量方面不同）時，多元化收益才會顯著。26.d)-10.00%*解析思路：使用修正久期近似：百分比變動≈-修正久期×收益率變動=-6×(0.001)=-6%。更精確的計算應考慮凸性，但題目只要求使用修正久期近似，結(jié)果應接近-10%（使用更精確的近似公式：百分比變動≈-修正久期×收益率變動+1/2×凸性×(收益率變動)2）。27.c)Theeffectivenessofthehedgeusingbondoptionsdependsonthevolatilityofthebondprice.*解析思路：使用債券期權進行對沖的效果取決于債券價格的波動率。波動率越高，期權越有可能被行權，對沖效果越顯著。同時，對沖成本也越高。28.b)Theprocessofmatchingthedurationofthebondportfoliotothedurationofthemanager'sliabilities.*解析思路：免疫策略的核心是使投資組合的久期與投資者的負債久期相匹配，從而在利率變動時，投資組合的價值變動能最大程度地抵消負債價值的變化。29.a)$1,050.00