CFA二级知识精讲-集训营直播-固收-习题.docx
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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
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