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1、Fixed Income Level Reading35:TheArbitrage-FreeValuationFrameworkValuationReading36:ValuationandAnalysis:BondswithEmbeddedOptionsInterestrateriskReading34:TheTermStructureandInterestRateDynamicsRjSkReading37:CreditAnalysisModelsCreditriskReading38:CreditDefaultSwapsArbitrage-freevaluation+ValuationBi
2、nomialInterestRateTreeMonteCarloSimulationCallable/putablebonds+Capped/flooredfloating-ratebonds*ConvertiblebondsReading35ArbitrageThelawofonepriceBondswithembeddedoptionValuation磅Callable/putablebondsValuationofoptionOASInterestrateriskReading36Cappedfloating-ratebondsDefinitionFkxredfloating-rateb
3、ondsCdPPed/flooredHoatingMdtebondsCappedfloating-ratebondsValuation卜/Flredfloating-ratebondsConvertiblebondConversionratioTerms三1il(PrkeValueConvertiblebondsConvertiblebondValuationCallableconvertiblebondPuttableconvertiblebondRisk-returncharacteristicsBenchfrarkRateSpotrateForwardrateYTMDefinitionS
4、wap spreadI-spreadInterest Rate RiskReading 34Yield Spread * Z-spreadTED spreadSwap rateLibor-OIS spreadAdvantagesTraditionaltermstructuremodelsTermStructureTheoriesModerntermstructuremodelsYieldcurvefactorYieldCurveRiskManagingyieldcurveriskYieldcurvevolatilityMeasuresofcreditriskCreditmodelsBasicc
5、onceptsCDS二（PriCingApplicationDefinition1.ongCDSShortCDSNotionala11xuntFeaturesCDSspreadCDScouponrateUpfrontpaymentBaskconceptsBankruptcyCrediteventsFailuretopayRestructuringSettlementPhysical SettJementCashsettlementTysSingle name CDS !*Reading 38CDSIndex CDS Upfront premiumPricing, CDS spread Adju
6、stmentofcreditexposureNakedCDSLong/short tradeManagingcreditexposure-ApplicationCurvetrade9BasistradeValuationdisparityArbitragetrade!Case1ThefollowinginformationrelatestoQuestions1-6CaidenJackson,aprivateentrepreneur,ispreparingforhispost-retirementinvestmentplan.Heplanstoobtainmoreinvestmentknowle
7、dgebytakingtheCFAexamandhealsohiresaseniorfinancialconsultantWesleySongtohelphim.JacksontellsSongthathehaspassedtheCFAlevelItwoyearsagoandwantstofinishtheuncompletedlevelsafterretirement.DuringstudyinglevelI,hefoundanunfamiliarconceptrisk-neutrality”whichwasonlyinvolvedinderivativespartandheignoredt
8、heconceptatthattime.Butnowhefindsthattheconceptisalsousedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestmenttheorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.SonganswersJackson,squestionandexplainshisopinionsabouttherisk-neutralconcept.Thr
9、oughhard-workingandwithSong,shelp,JacksonfinishedalllevelsofCFAexamthreeyearslaterandplanstoinvestinthefixedincomefieldbyhimselffirst.HecollectsthecurrentmarketinformationshowninExhibit1,Year1Year2Year3Year4Parrate(%)2.53.54.55.5Case1Accordingtohisanalysisandprediction,healsosummarizesabinomialtreeo
10、finterestrateinExhibit2.Year 1Year 2Year 3Year 42.5%2.9%3.6%4.6%2.7%3.3%4.2%3.0%3.8%3.4%Somedayslater,themarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%revertstothepricethatJacksoncalculated.Thisresultstrengthenshisconfidenceintheinvestmentfield.Fivedayslater,hepurchasesanannuallypa
11、ymentcallablebondat$99.2.Theinformationforthebondaregivenbelow.iCase1TenorCouponpaymentProvisionBondA3year$4peryearCallableat$102inoneyearandtwoyearsfromtodayBecauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentsetoffixed-incomeproducts.Recently,hehasintenseinterestsin
12、creditdefaultswaps(CDS).JacksonnoticesHiTechcompanyintheITindustryissufferedfromuncertaintyintheleadershiptransition.JacksonfindsthattheHi-Techcompanybondsyields4%andmaturesinthreeyears.TherelevantCDSontheHi-Techcompanybondhasa1.75%creditspread.JacksonforecaststhatthenewleaderfortheHi-Techcompanyisg
13、oingtoacquireatargetcompanybyissuingadditionaldebt.AftertheanalysisoftheHi-Techcompany,Jacksonlearnscollateralizeddebtobligation(CDO)throughafinancialproseminar.JacksonseeksadvicefromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebondsandundertakingasaprotectionsellerinCD
14、S.1.WhichoneofthefollowingtheoriesismostsuitableforJackson,srequirement?A.UnbiasedexpectationtheoryB.LocalexpectationtheoryC1Preferredhabitattheory答案：c考点：五种传统利率期限结构理论解析：根据题目信息描述，JaCkSon认为风险中性性质没有实际意义，因此想要寻找一个不涉及这个风险中性概念的理论，unbiasedexpectation和IoCalexpectation都涉及了风险中性这个概念，因此答案是除这两个选项之外的任何一个传统利率期限结构理论
15、，答案选C。2.AccordingtotheExhibit1,thespotrateofyear4isclosesttoA.5.65%B.5.61%C.6.68%答案：a考点：使用b。OtStraP方法从Parrate推出SPotrate解析：需要注意的是1年期的Parrate就是1年期SPotrate,也就是第一年的spotrate0.02512年期Parrate是3.5%意味着一个两年期的债券，每年支付3.5%票息价格为IO0。3年期Parrate是4.5%意味着一个三年期的债券，每年支付4.5%票息价格为IO0,4年期的Parrate是5.5%意味着一个4年期的债券，每年支付5.5%票息
16、价格为100。因此有3.5103.5100=-+7l+5fl+S2;4.54.5104.5100=F+ari+s2;a+s3)5.55.55.5105.51+$+2+3+十M(!+S?)+s3a+s4)第一个式子中r=IoO-W=96.58536585Q+5LOK103,5S21=0.0351767532,96.58536585第二个式子中一婚F=100-77急-忐3=91.41039236fl+53J1+OOK(l+52)3104.5S3=Z“1=0.045619256JJ91.41039236第三个式;子中-1S54=100-3=84.69051739fl+541+0.025（1+%尸（1
17、+53）3$I1055S4=一rc-工=OO5646330984.69051739因此答案选A3.AccordingtotheExhibits1and2ifthepriceofa3-yearannuallystraightbondisatpar,theintrinsicvalueofa3-yearbondisclosestto?A.104.66768B.102.77452C.103.26547答案：a考点：用二叉树估计普通债券估值解析：解题过程中首先要明确的是，根据表1如果1个3年期的普通债券以面值发行意味着它的CoUPon是4.5在最后一期所有支付都是本金加票息104.5。其次虽然二叉树给了
18、4期，但是解题只需要使用前3期。因此可以得到在三个节点的折现值为vLHV。因此答案选A104.5=L036=100-868726104.5PZM=T=IOl161665104.5匕=10L456311乙L1.0304.5+0.5Xzh+PzM1.029_4.5+0.5xzm+，zl)=1.0274.5+0.5%h+5lJ1.025=102.541492=103.027252=104.667684.AccordingtoExhibits2and3,theoptioncostofthecallablebondisclosestto:A.0.03B.0.05C.0.07答案：A解析:考点：用二叉树对
19、Callablebond估值104K2h=-=100.38611.036104%=l6776381.033104力L=1009708741.030VLH=MiTI(Io2,4十0*5X(VrZH+?2M)忆=Mi(102,1.0294+0.5X(Vzm+)1.027101.585879)=102因为期权只可以在第一年和第二年行权,因此我们可以发现只有在1工点CaUabIebond得以行权，因此可以得到calloption的成本应该是4+0.5x(P2m+%)U.X(Td1UZ)空4=0.033370231.025答案选aA-SnO(Dup=nusPUoqAUEdlUOORLJHUoSaO=DS
20、PUEPUoqAUPdiU0。qoH,Hfq二一UsU?Sno(usUIISPUoqAUPdul0。qalIHUosuAnqPUPPUoqAUPdIU0。qoHHUq二IUSPQA-SnousUJ-SPUoqAUBduIo。IPgUHUosuAnqPUEPUoqAUBduJo。05-Anq-OJSIUoS士。二JsA岁EJlSUJEKdOJddPISouI幺UBdUJoIPgIJHDqJJOJS-SA-BUEUoSECQc答案：B考点：CDS交易策略解析：因为JaCkSon预计公司的新领导人将会发行债务去收购一个目标企业,因此新发行的债务势必会造成已有债务的信用风险敞口增加，所以现存债券的价格
21、会下降；由于债券的信用风险增加，CDS价格也会上涨，所以最好的交易策略就是卖出债券，同时买入CDS,所以选B。6.IsSong,sstatementonCDOcorrect?A.Yes.B.No,becauseheisincorrectwithregardtodefault-freebonds.C.No,becauseheisincorrectwithregardtoprotectionsellerinCDS.答案：a考点：合成CDo解析：使用CDS合成CDo首先是买入无违约风险的债券，然后在CDS市场中作为ProteCtiOnSelIer增加信用风险敞口，来达到合成CDc）的目的，因此A正确
22、。ICase2ThefollowinginformationrelatestoQuestions7-12MichaelGrossisthejuniorstudentofpsychologyinDukeUniversity.Intheperiodofschool,heattemptedtoearnhistuitionbypokergameinLasVegasduringthesummervacation.InLasVegas,hefoundthatthepokerplayermustbecapableoffinishingthelogicalprocessquicklyinthelightoft
23、hesituationsongamblinggames.Buthecannotfinishthereasoningprocessattheshorttime.Histeachersuggeststhattheinvestmentanalystisprobablysuitableforhim.Theanalysthasenoughtimetocometotheconclusionbecauseofthesignificanceofinvestmentsresult.Therefore,Hewantstofindaninternjobinthefixed-incomedepartmentofGao
24、dunFinance.Evenifhehasanexcellentbackground,hestillneedstopasstheexaminationbyansweringthequestionsfromtheinterviewer.iCase2GloriaDavies,theofficialleaderofthefixedincomedepartment,isdesignatedtobetheinterviewer,butsheneedstodealswithherjobfirst.JohnThomas,theseniorinterestrateanalyst,providesherwit
25、hthespotratecurveshowninExhibit1basedonthecollectedmarketinformation.DavieschecksthedataandasksThomastocalculatetheforwardratesbasedontheinformation.Maturity1year2year3yearSpotrate(%)1.0001.2011.251NickLesson,thejuniorassistant,islearningfromThomas,sworkabouttheimpliedinterestratebinomialtree.Thetre
26、eisshowninExhibit2exceptthatNode2-2cannotbeseenbecauseoftheinkmarks.LessonstatesthatNode2-2isequalto1.38325%because1.38325%isthearithmeticmeanofNode2-1andNode2-3.Exhibit2impliedinterestratebinomialtreebasedontheconstantvolatilityofinterestrateCase2TimeOTime1Time21.00%1.6121%1.7862%1.1943%Node2-20.98
27、03%AfterteachingLessontheknowledgeaboutbinomialtrees,DaviesbeginstheinterviewwithGross.Daviesthinksthatthebondwithembeddedoptionisincreasinglyimportanttothebondmarket.Hence,shedecidestoexaminetheinterviewee,sunderstandingofthistopicwiththefollowingquestions.Question1,Howcanwemeasurethecreditriskofth
28、ecallablebond?Question2,Becauseoftheinferiorrating,itishardtoissuethefixedratebonds.Theinferiorcompanyshouldissuethefloating-ratebondbuttheinterestrateriskofthefloating-ratebondisdifficulttocontrol.Howcantheissuermanagetheinterestriskofthefloating-ratebond?ICase2Becauseoftheperfectperformanceinthein
29、terview,GrossisenrolledinGaodunFinanceasanintern.Oneday,GrossisconfusedaboutcreditanalysisandconsultswithLesson.Grossasks”Isthereanycreditanalysismethodthatcanprovidequantitativeresultsonthedefaultprobabilityandexpectlossgivendefaultandthatcantakeintoconsiderationsofdifferentbusinessstages?”Afterthe
30、discussionofcreditanalysis,DaviesasksGrosstointroduceasset-backedSecurities(ABS)tothepotentialclientsofGaodunFinance.Duringtheseminar,GrosspresentsthatthecreditanalysisprocessforABSisdifferentfromtraditionalbondsduetothetranchestructureofABS.Forexample,ifanyprincipalorinterestsrepay,allthetranchesof
31、theABSproductionclaimtheprincipalequallybutthehighesttranchereceivestheinterestsforemost.7.AccordingtotheExhibit1,thef(l,2)isclosestto:A.1.40%B.1.35%C.1.38%答案:C考点：根据spotrate计算forwardrate解析：将公式0+S3)=1+S/2Xf1+2J变形可以得到a+s3)1+S1(1+0.01251)3C-1=0.013767338181+0.01因此答案选C,答案A是f(l,l),答案B是f(2,l)。8.Accordingt
32、otheExhibit2,thedifferencebetweenLesson,sforecastvalueforNode2-2andtheactualvalueforNode2-2isclosestto:A.0B.0.06%C.0.03%答案：B考点：利率二叉树的构建解析：通过Timel的Nodel-I和Nodel-2我们可以计算得到/。=零=1.羽9828351因此可以推出=0.5In(1.349828351)0.151.1943根据利率二叉树的性质，我们可以知道五2=e2。Xi23=君=1.3233因此Nick认为的Node2-2和实际Node2-2的差距是1.38325-1.3233宓
33、0.06因此答案选B,答案C是错误的将/a认为是Node2-2的值。9.WhichoneofthefollowingspreadsisthemostappropriateresponsetoQuestion1?A.Z-spreadB.Option-adjustedspreadC.G-spread答案：B考点：衡量含权债券信用风险的指标解析：根据定义G-SPread是theyieldspreadinbasispointoveranactualorinterpolatedgovernmentbond.这个数值的差距反映了一切债券和国债不同的特性。ZSPread同样是反应一切债券和国债差异的基差，主
34、要的区别在于G-SPread是收益率YTM做差，而Z-SPread是力口在SPotrateCUrVe上的一个数值。并且G-SPread很容易计算出来，但是Z-SPread往往是通过试错法得到的。两者都是将某个债券与国债一切不同的特征反应在一个SPread中，但是区别在于一个是YTM之差，另一个是通过试错法在SPotrateCUrVe上得到的。这两个数值应该极其接近，但是它们都是在反应全部差异。相比较之下OAS是一种移除掉期权影响的SPread可能会更加直观地反映信用风险。10.Whichofthefollowingbehaviorsofmanagingtheinterestrateofthef
35、loating-ratebondisleastbeneficialtoissuer?A.Theissuercanaddtheinterestcaptoreducetheinterestrateriskofthefloating-ratebond.B.Theissuercanaddtheinterestfloortoreducetheinterestrateriskofthefloating-ratebond.C.Theissuercantransferthefloating-paymentintofixed-paymentbymakingtheinterestrateswap.答案：B考点：利
36、率封顶或封底对发行人的优劣解析：选项A,发行人通过加利率封顶来保证自己支付的COUPon不会超过CaPrate,这种安排有利于发行人。选项B,发行人通过增加利率封底来保证自己支付的CoUPon不会低于floorrate,但实际上这个虽然也是降低利率风险，但是这个风险管理方式是保护了投资者而不是发行者，是一种对投资者有利的行为，但是并不利于发行者因此B错。选项C,发行者通过互换将浮动利率支付转变成一个固定利率支付，完全消除未来利率变化所导致的自身支付的不确定性，因此C也是正确的。11.ForGross,Squestionaboutcreditanalysis,themostappropriate
37、answergivenbyLessonis:A.creditratingB.structuremodelC.reducedmodelOSH一售泳st*s玄跟町恢聪后叵K-阳去猊K-ap。EnomsgOSE一白余嘲牧s精蜜笳玄方据温KOfle二一P。sE。修HOE一亶法s咪因州或阳精蜜*三S8HSI三SW1S一*噂珊藤S眩州粗世就阳公w就坦三M丝Jk-iP。三祖一跳割整白0旺以一期股O一睬如MSUVSjSUJgJ=pucrt-cJoA=JOydIUgUIAPdDJO0q=M-ocSIOqONWSSgOOJdSiSA-EUBQQOouMuuocSI-CoNVotooSH4coIUQUJgPJSSS
38、So-IDSIZI答案：B考点：资产证券化产品的信用分析解析：由于资产证券化债券的信用分析过程不同于一般债券，因为ABS存在分级结构(tranchestructure)所谓违约损失首先由低级别的层级来承担，这与传统债券不同，因此GrOSS关于ABS信用分析过程不同于传统债券的言论时正确的；但是所有收回的本金和利息都要优先偿付高层级的ABS债券，而不是把本金均匀的分配给各个级别，因此GroSS关于本金及利息的偿还顺序的言论不正确，因此选B。Case3ThefollowinginformationrelatestoQuestions13-18PhillipsJosephisaseniorcredi
39、tanalystworkingforLoftyTowerCompany,Inc.Recently,heisaskedtopressacreditreportonSliverForwardCompany,acompanyintheconsultingarea.HensonLeonard,acolleagueofJoseph,isaspecialistinquantitativeanalysis.Leonardsuggeststhat44insteadofcreditrating,Ipreferstructuralmodelbecausestructuralmodelrendersquantita
40、tiveresults,suchasthepresentvalueoftheexpectedlossandtheprobabilityofdefault,andithasnolimitationonthecompanysbalancesheet.JosephrepliesAlthoughtherearetremendouslyobviousadvantagesofthestructuralmodel,itisrelativelycomplicatedforinvestorstounderstand.Incontrast,thecreditratingisstraightforwardbecau
41、setheratingprovidesasimplestatisticthatsummarizestheestimatedfutureperformanceonapotentialdebtissuer.Furthermore,creditratingisrelativelystableovertimewhichresultsinlowvolatilityinthedebtmarket.,Afterthediscussion,JosephfulfillsthecreditreportonSliverForwardCompany.Case3Accordingtothepreviousanalysi
42、s,Sumail,oneofJoseph,scolleagues,concludesthatthecorporationhashighcreditqualityandlistssupportingevidenceinthereportofcreditanalysis.Buttheinvestorthinksthatthedecisionofinvestmentisbasedonthepreciselyquantitativestandardratherthanthequalitativeconclusions.Hence,Sumailisrequiredtoofferanumericalind
43、icatorformeasuringthechangeofthecorporationscreditrisk.Hethinksthatthecreditriskofthecorporationisconstantoveralong-termperiodandZ-spreadcanbeanappropriateriskmeasurement.Hesummarizesthespotratecurvebasedonthereportfromthedepartmentofprediction.Exhibit1Year1Year2Year3Year4Spotrate(%)2.003.004.005.00
44、Case3Exhibit2CouponrateCouponfrequencyMarketpriceProvisionMaturityBondA4%Annually98.7713N/A3yearAccordingtotheZ-spreadgiveninthecreditanalysisreport,ZhileiXumakesalargetradinglossatthepositionofBondA.Hehiresanewinvestmentconsultantwhoisspecializinginthevaluationoffloating-ratebondbecauseXuthinksthat
45、thefloating-ratebond,spropertyoftimelyfeedbackformarketenvironmentalchangeisdesirabletobothparty.Fortheissuingparty,itwillpaytheborrowingcostthatisexactlyequaltoitsriskpremium.Forthepurchaser,thefloating-ratebondtremendouslyreducestheinterestratesensitivity.Theinvestorwillnotsufferalargelossandalsonotmakealargeprofit.Xudecidest
