2025年CFA二級(jí)固定收益真題集考試時(shí)間：______分鐘總分：______分姓名：______一、選擇題1.Accordingtotheexpectationshypothesisofthetermstructureofinterestrates,iftheyieldcurveisupwardsloping,itsuggeststhatmarketparticipantsexpect_______inshort-terminterestratesoverthenextfewmonths.A.AnincreaseB.AdecreaseC.NochangeD.Itisimpossibletodetermine2.Abondwithaparvalueof$1,000paysasemi-annualcouponof6%.Iftheyieldtomaturityis5%,thebond'sintrinsicvalueisapproximately:A.$990.00B.$1,000.00C.$1,010.00D.$1,020.003.WhichofthefollowingstatementsaboutdurationisTRUE?A.Abondwithahigherdurationhaslowerinterestraterisk.B.Durationmeasuresthesensitivityofabond'spricetochangesintheyieldtomaturity.C.Durationisthesameasconvexity.D.Durationisonlyrelevantforzero-couponbonds.4.Aportfoliomanagerwantstohedgetheinterestrateriskofaportfolioofbonds.Whichofthefollowingmethodsisconsideredagoodhedge?A.Investinginbondswiththesamematurityastheportfolio.B.Investinginbondswithadifferentcouponratethantheportfolio.C.Investinginbondswithalongerdurationthantheportfolio.D.Investinginbondswithashorterdurationthantheportfolio.5.Creditspreadisthedifferencebetweentheyieldona_______andtheyieldona_______.A.Corporatebond;governmentbondB.Governmentbond;corporatebondC.Zero-couponbond;couponbondD.Convertiblebond;non-convertiblebond6.Whichofthefollowingfactorswouldlikelyincreasetheliquiditypremiumofabond?A.HighercreditratingB.LargermarketsizeC.MorefrequenttradingD.Longermaturity7.Abondisexpectedtodefaultwithaprobabilityof2%.Iftherecoveryrateintheeventofdefaultis30%,thebond'screditspread,assumingarisk-freerateof2%,isapproximately:A.100basispointsB.150basispointsC.200basispointsD.250basispoints8.Abondportfoliomanagerusesafactormodeltoanalyzetheperformanceoftheportfolio.WhichofthefollowingfactorsisNOTtypicallyincludedinabondfactormodel?A.InterestrateB.CreditC.SizeD.Liquidity9.Abondinvestorisconsideringtwobonds.Bothbondshavethesamematurityandcreditrating.BondAhasahigherdurationthanBondB.Iftheinvestorexpectsinterestratestorise,whichbondwouldbemorelikelytoexperiencealargerpricedecline?A.BondAB.BondBC.Bothbondswouldexperiencethesamepricedecline.D.Itisimpossibletodetermine.10.Theprocessofbuyingandsellingbondstoadjusttheportfolio'sdurationtoatargetlevelisknownas:A.ConvexityadjustmentB.DurationmatchingC.ConvexityhedgingD.Rebalancing二、計(jì)算題1.A5-yearbondwithaparvalueof$1,000paysasemi-annualcouponof4%.Thebond'syieldtomaturityis6%.Calculatethebond'smodifieddurationandconvexity.2.Abondportfoliohasatotalvalueof$10million.Theportfolio'sdurationis4.5years.Themarketexpectsinterestratestodecreaseby1%.Estimatethechangeintheportfolio'svalueduetotheinterestratechange.3.Abondinvestorpurchasesa$1millionportfolioofcorporatebonds.Theportfolio'screditspreadis100basispoints.Therisk-freerateis2%.Theinvestorusesacreditriskmodeltoestimatethattheprobabilityofdefaultfortheportfoliois1%andtherecoveryrateis40%.Calculatetheexpectedcreditloss(ECL)fortheportfolio.4.Abondportfoliomanagerwantstoconstructaportfoliowithadurationof3years.Themanagerhastwobondsavailable:BondXwithadurationof2yearsandaweightof60%intheportfolio,andBondYwithadurationof5years.WhatshouldbetheweightofBondYintheportfolio?5.Abondhasayieldtomaturityof5%andadurationof4years.Thebond'sconvexityis35.Ifinterestratesincreaseby1%,whatistheapproximatenewyieldtomaturityofthebond?三、簡(jiǎn)答題1.Explainthedifferencebetweentheexpectationshypothesisandtheliquiditypreferencetheoryofthetermstructureofinterestrates.2.Describethestepsabondportfoliomanagerwouldtaketohedgetheinterestrateriskofabondportfolio.3.Whatarethemainfactorsthataffecttheliquidityofabond?Howdothesefactorsinfluencethebond'sprice?4.Explaintheconceptofcreditenhancement.Howarecredit-enhancedstructuresusedtoimprovethecreditqualityofabond?5.Discusstheroleofbondindicesinfixedincomeportfoliomanagement.Whatarethekeycharacteristicsofagoodbondindex?四、論述題1.Aclienthasafixedincomeportfoliowithahighduration.Theclientisconcernedaboutpotentialinterestrateincreases.Asaportfoliomanager,howwouldyouassesstheclient'srisktoleranceandinvestmentobjectives?Whatstrategieswouldyourecommendtomanagetheportfolio'sinterestraterisk?2.Thecreditratingofabondissuerhasbeendowngraded.Discussthepotentialimpactofthisratingchangeonthebond'sprice,yield,andcreditspread.Whatfactorswouldyouconsiderwhendecidingwhethertoholdorsellthebond?3.Compareandcontrastthecharacteristicsofinvestment-gradebondsandhigh-yieldbonds.Whatarethekeyrisksandreturnconsiderationsforinvestorsineachtypeofbond?4.Explaintheconceptofayieldcurve.Whatinformationcanbederivedfromtheshapeofayieldcurve?Howcanayieldcurvebeusedforinvestmentandriskmanagementpurposes?5.Discusstheroleofregulatorycapitalrequirementsinthefixedincomemarket.Howdotheserequirementsimpactthebehavioroffinancialinstitutionsandthepricingoffixedincomesecurities?試卷答案一、選擇題1.A解析：根據(jù)預(yù)期理論，如果收益率曲線向上傾斜，市場(chǎng)參與者預(yù)期未來(lái)短期利率將上升。2.B解析：使用債券估值公式計(jì)算，PV=30PVIFA(5%,10)+1000PVIF(5%,10)=990.00。3.B解析：久期衡量債券價(jià)格對(duì)收益率變化的敏感性。選項(xiàng)A錯(cuò)誤，久期越高，利率風(fēng)險(xiǎn)越大。選項(xiàng)C錯(cuò)誤，久期和凸性是不同的概念。選項(xiàng)D錯(cuò)誤，久期適用于各種債券。4.D解析：為了對(duì)沖利率風(fēng)險(xiǎn)，應(yīng)投資于久期比組合更短的債券，以減少組合的久期。5.A解析：信用利差是公司債券收益率與無(wú)風(fēng)險(xiǎn)債券收益率之間的差額。6.B解析：流動(dòng)性溢價(jià)與市場(chǎng)大小成反比，市場(chǎng)越大，流動(dòng)性越好，流動(dòng)性溢價(jià)越低。選項(xiàng)A、C、D都會(huì)增加流動(dòng)性溢價(jià)。7.B解析：EAD=1%*(1-30%)=0.7%，CreditSpread=0.7%/(1-0.7%)-2%=148.94basispoints，約等于150basispoints。8.C解析：債券因子模型通常包括利率因子、信用因子和流動(dòng)性因子，不包括規(guī)模因子。9.A解析：根據(jù)久期效應(yīng)，久期越長(zhǎng)，利率變化對(duì)價(jià)格的影響越大。10.B解析：將組合的久期調(diào)整到目標(biāo)水平的過(guò)程稱(chēng)為久期匹配。二、計(jì)算題1.ModifiedDuration≈4.11,Convexity≈43.5解析：使用標(biāo)準(zhǔn)的久期和凸度公式進(jìn)行計(jì)算。2.-$450,000解析：使用久期公式估計(jì)價(jià)格變化：-$10,000,000*4.5*(-1%)=$450,000（價(jià)值增加），由于利率下降，價(jià)值實(shí)際下降，所以是-$450,000。3.$40,000解析：ECL=1,000,000*1%*(1-40%)=$40,000。4.40%解析：設(shè)BondY的權(quán)重為w，則2*0.6+5*w=3，解得w=0.4。5.5.16%解析：使用債券價(jià)格公式和久期、凸度進(jìn)行近似計(jì)算：NewPrice≈OldPrice*[1-4*1%+0.5*35*(1%)^2]，計(jì)算得到新的收益率。三