CFA考试二级模拟试题精选0401-17(附详解)

CFA考试二级模拟试题精选0401-17(附详解）

1、【单选题】

A.correct given the assumptions and method described. B.too high given the assumptions and method described. C.too low given the assumptions and method described. 正确答案:C

答案解析:To calculate the daily VaR from an annual VaR, the mean and standard deviation must be adjusted using the 250 trading days described.

2、Based on the market price of the Tangoran government bond and the interest rates in Exhibit 1, what profitable arbitrage opportunity should Hake's algorithm most likely identify?【单选题】 A.Buying the strips and selling the bond

B.Buying the Year 1 and Year 2 strips and selling the Year 3 strip C.Buying the bond and selling the strips

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正确答案:A 答案解析:

3、If the volatility estimate is changed to 30% in the structural model shown in Exhibit 2, the calculated value of IMC Bond would most likely:【单选题】 A.Remain the same. B.Decrease. C.Increase 正确答案:B

答案解析:Under the option analogy of the structural model, risky debt can be viewed as a portfolio comprising a long position in risk-free debt and a short put option on the company's asset with a strike price equal to the face value of the risky debt. When the asset volatility increases, the value of the put option increases and the value of the portfolio with short exposure to the put option will decrease. Hence the computed value of risky debt will be lower.

4、The terminal year after tax non-operating cash flow (TNOCF) and the after-tax cash flow (ATOCF) in the terminal year (in BRL thousands) to be derived from the proposed distribution center are respectively closest to:【单选题】 A.TNOCF = 52,200; ATOCF = 18,400. B.TNOCF = 54,200; ATOCF = 14,400. C.TNOCF = 52,200; ATOCF = 14,400. 正确答案:C

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答案解析:The TNOCF and ATOCF for the distribution center in its terminal year (year 6) would be calculated as: Year 6: 5、【单选题】 A.beta. B.growth rate. C.equity risk premium. 正确答案:C

答案解析:C is correct. When the low/high measure of each variable is tested singly for sensitivity in predicting a range of intrinsic value while holding the other variables at the base case, the equity risk premium variable produces the largest stock price range, as shown in the following table.

6、Based on the case study illustration and the effect of changing the annual compensation rate, the annual unit credit for the average participant would decrease by an amount closest to:【单选题】 A.€4,349. B.€4,858. C.€5,446. 正确答案:B

答案解析:B is correct. The final year’s estimated earnings at the end of Year 1 for the average participant would decrease by approximately €35,747.71.

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7、Honoré describes three potential consequences of multicollinearity. Are all three consequences correct?【单选题】 A.Yes.

B.No, 1 is incorrect C.No, 2 is incorrect 正确答案:B

答案解析:B is correct. The is expected to increase, not decline, with a new independent variable. The other two potential consequences Honoré describes are correct.

8、Based upon Exhibit 1, capital deepening as a source of growth was most important for:【单选题】 A.Country A. B.Country B. C.Country C. 正确答案:A

答案解析:A is correct. The associate economist can measure the effect of pure capital deepening by measuring the difference of the growth rates of labor productivity and total factor productivity (TFP). The larger the difference, the more important capital deepening is as a source of economic growth. From 2000–2010, Country A’s labor productivity grew by 2.4% per year, of which 0.6% came from TFP growth and 1.8% from capital deepening (2.4% – 0.6% = 1.8%).

9、Relative to the gross margins the subsidiaries report in local currency, Romulus’s consolidated gross margin most likely:【单选题】

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A.will not be distorted by currency translations.

B.would be distorted if Augustus were using the same translation method as Julius.

C.will be distorted because of the translation and inventory accounting methods Augustus is using. 正确答案:C

答案解析:C is correct. Augustus is using the temporal method in conjunction with FIFO inventory accounting. If FIFO is used, ending inventory is assumed to be composed of the most recently acquired items, and thus inventory will be translated at relatively recent exchange rates. To the extent that the average weight used to translate sales differs from the historical rate used to translate inventories, the gross margin will be distorted when translated into US dollars. 10、Based on Exhibit 1 and the note to Adesivo’s financial statements, the trailing P/E for Adesivo using underlying EPS is closest to:【单选题】 A.17.7. B.18.2. C.18.4. 正确答案:C

答案解析:C is correct. The EPS figure that Silveira should use is diluted trailing EPS of R$0.81

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