CFA Level 1 － Mock Exam 2 模拟真题－Q96-100 日志

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96、An investor purchases a stock at $60 and at the same time, sells a 3-month call on the stock. The short call has a strike price of $65 and a premium of $3.60. The risk-free rate is 4%. The breakeven underlying stock price at expiration is closest to:

Select exactly 1 answer(s) from the following:

A. $55.85.

B. $56.40.

C. $60.80.

D. $61.40.

 

97、If market interest rates rise, the price of a callable bond, compared to an otherwise identical option-free bond, will most likely:

Select exactly 1 answer(s) from the following:

A. increase by less than the option-free bond.

B. decrease by less than the option-free bond.

C. decrease by more than the option-free bond.

D. decrease by the same amount as the option-free bond.

 

98、A U.S. investor who purchases an option-free bond with a 7% coupon rate, maturing in 20 years, and issued by a U.S.-based company is most likely exposed to:

Select exactly 1 answer(s) from the following: 

A. sovereign risk and credit risk.

B. event risk and interest rate risk.

C. volatility risk and yield curve risk.

D. interest risk and exchange-rate risk.

 

99、All else equal, an increase in expected yield volatility is most likely to result in an increase in the price of a(n):

Select exactly 1 answer(s) from the following:

A. putable bond.

B. callable bond.

C. option-free bond selling at a discount to par.

D. option-free bond selling at a premium to par.

 

100、Compared with an otherwise identical amortizing security, a zero-coupon bond will most likely have:

Select exactly 1 answer(s) from the following:

A. less interest rate risk and more reinvestment risk.

B. less reinvestment risk and more interest rate risk.

C. the same reinvestment risk and less interest rate risk.

D. the same interest rate risk and more reinvestment risk.

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答案和详解如下：

96 Correct answer is B

“Risk Management Applications of Option Strategies,” Don M. Chance
2008 Modular Level I, Vol. 6, pp. 158-162
Study Session 17-75-b
determine the value at expiration, profit, maximum profit, maximum loss, breakeven underlying price at expiration, and general shape of the graph of a covered call strategy and a protective put strategy, and explain the risk management application of each strategy
A covered call breakeven price equals the price paid for the stock less the premium received for the call. Breakeven = (S - c) = (60 - 3.60) = $56.40

 

97 Correct answer is B

“Risks Associated With Investing in Bonds,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, p. 267
Study Session 15-63-c
explain how features of a bond (e.g., maturity, coupon, and embedded options) and the level of a bond’s yield affect the bond’s interest rate risk
A callable bond’s value is equal to an option-free bond less the value of the call option. As interest rates rise, the value of the call option decreases by a decreasing amount relative to the straight bond. The option-free bond also declines in value as interest rates rise, but this is offset by the decline in the value of the call option. Therefore, the price of a callable bond decreases by less than a comparable option-free bond.

 

98 Correct answer is B

“Risks Associated With Investing in Bonds,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, p. 264-285
Study Session 15-63-a
explain the risks associated with investing in bonds
The investor faces event risk in a corporate bond and interest rate risk in a long dated, fixed coupon rate bond.

 

99 Correct answer is A

“Risks Associated With Investing in Bonds,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, p. 284
Study Session 15-63-n
explain how yield volatility affects the price of a bond with an embedded option and how changes in volatility affect the value of a callable bond and a putable bond
An increase in expected yield volatility increases the price of the embedded put option. The price of a putable bond will increase because the price of the putable bond is equal to an option-free bond plus the put option.

 

100 Correct answer is B

“Risks Associated With Investing in Bonds,” Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 266-270, 276-277
Study Session 15-63-c, i
explain how features of a bond (e.g., maturity, coupon, and embedded options) and the level of a bond’s yield affect the bond’s interest rate risk;
identify the factors that affect the reinvestment risk of a security and explain why prepayable amortizing securities expose investors to greater reinvestment risk than nonamortizing securities
An amortizing security receives periodic payments of both interest and principal that must be reinvested; therefore, it is exposed to reinvestment risk. A zero-coupon bond has no reinvestment risk since no cash flows are received that must be reinvested before maturity. Because zero-coupon bonds do not have periodic cash flows, they have the highest interest rate risk for a given maturity and a given change in market yields.

 

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