CFA一级历年真题（五）

　　考前复习CFA历年考题，增加答题经验，提升考试通过率。下面华金教育为广大CFA考生汇总了10道CFA历年真题。

1.单选：A derivative is best described as a financial instrument that derives its performance by：

A．passing through the returns of the underlying.

B．replicating the performance of the underlying.

C．transforming the performance of the underlying.

答案：C

解析：衍生品是转换(transform)标的资产的收益情况(the performance of the underlying)，而不是复制(replicate)或传递(pass through) 。在进行衍生品交易之前，衍生品就已经将标的资产的收益率转换为自己的收益率，这是与共同基金(mutual fund)和ETF的直接差别。共同基金和ETF这种产品只是将标的资产的组合份额的收益率简单传递(pass through)到基金中，就是说你直接买基金里的组合和买基金会获得相同的收益率 。衍生品从标的资产价格变动获取回报，也说明衍生品的价值和某些特点都是来源于标的资产，这是衍生品定义中很重要的一个知识点。

原解析： A derivative is a financial instrument that transforms the performance of the underlying. The transformation of performance function of derivatives is what distinguishes it from mutual funds and exchange traded funds that pass through the returns of the underlying.

A is incorrect because derivatives, in contrast to mutual funds and exchange traded funds, do not simply pass through the returns of the underlying at payout. B is incorrect because a derivative transforms rather than replicates the performance of the underlying. 

关联页码：Derivative Markets and Instruments#LOS a#Section 2

关联考点：8-48-1

2.单选：Derivatives are similar to insurance in that both：

A．have an indefinite life span.

B．allow for the transfer of risk from one party to another.

C．allow for the transformation of the underlying risk itself.

答案：B

解析：保险合同(insurance)和衍生品(derivatives)都是有到期期限的(definite life span)，合同上会载明这个日期(expire on a specified date)，A是错误的。衍生品与保险合同都是将风险由一方转移到另一方。承担风险的一方购买保险就将损失的风险转移到保险公司，购买衍生品是将风险转移到对手方，B是正确的。标的资产风险本身(underlying risk itself)没有改变，承担风险的人发生改变，C是错误的。

原解析：Insurance is a financial contract that provides protection against loss. The party bearing the risk purchases an insurance policy, which transfers the risk to the other party, the insurer, for a specified period of time. The risk itself does not change, but the party bearing it does. Derivatives allow for this same type of risk transfer. A is incorrect because derivatives, like insurance, have a definite, as opposed to indefinite, life span and expire on a specified date. C is incorrect because both derivatives and insurance allow for the transfer of risk from one party (the purchaser of the insurance policy or of a derivative) to another party (the insurer or a derivative seller), for a specified period of time. The risk itself does not change, but the party bearing it does.

关联页码：

关联考点：8-48-1

3.单选：Which of the following statements regarding commodity derivatives is correct?

A．The primary commodity derivatives are futures.

B．Commodities are subject to a set of well-defined risk factors.

C．Commodity traders and financial traders today are distinct groups within the financial world.

答案：A

解析：基本的大宗商品衍生品是商品期货合同，历史决定了商品期货的领先地位。第一个期货交易所——芝加哥期货交易所(Chicago Board of Trade)成立于1848年，在1972年货币期货问世之前，只有大宗商品期货。大宗商品市场极其庞大(extremely large)，面临着几乎难以想象的一系列风险(almost unimaginable array of risks)，B是错误的。自金融期货问世以来，大宗商品交易员和金融交易员已变得相对同质化(relatively homogeneous)，C是错误的。

原解析：The primary commodity derivatives are futures, but forwards, swaps, and options are also used. B is incorrect because the commodity market is extremely large and subject to an almost unimaginable array of risks. C is incorrect because commodity and financial traders have become relatively homogeneous since the creation of financial futures. Historically, commodity traders and financial traders were quite different groups, and there used to be a tendency to think of the commodity world as somewhat separate from the financial world.

关联页码：

关联考点：8-48-1

4.单选：A beneficial  opportunity created by the derivatives market is the ability to：

A．adjust risk exposures to desired levels.

B．generate returns proportional to movements in the underlying.

C．simultaneously take long positions in multiple highly liquid fixed income securities.

答案：A

解析：衍生品的存在使市场参与者更为有效的进行风险管理(risk management)。市场参与者会将他们正在承受的风险水平，调整到他们愿意承受的范围内(adjust risk exposures to desired levels)，这就是风险管理，A是正确的。衍生品交易可以加高杠杆(high degree of leverage)，因此投资衍生品的自有资金(own capital)很少，标的资产价格很小的变化就会导致衍生品价格发生很大变化，不是成比例(proportional)变化，B是错误的。衍生品是要创造出单独(alone)投资标的资产无法实现的策略，同时多头几种流动性很好的债券，这单独在债券市场就能实现，没有创造出获利机会(beneficial  opportunity)，所以C也是错误的。

原解析：Derivatives allow market participants to practice more effective risk management, a process by which an organization, or individual, defines the level of risk it wishes to take, measures the level of risk it is taking, and adjusts the latter to equal the former. B is incorrect because derivatives are characterized by a relatively high degree of leverage, meaning that participants in derivatives transactions usually have to invest only a small amount, as opposed to a large amount, of their own capital relative to the value of the underlying. This allows participants to generate returns that are disproportional, as opposed to proportional, to movements in the underlying. C is incorrect because derivatives are not needed to copy strategies that can be implemented with the underlying on a standalone basis. Rather, derivatives can be used to create strategies that cannot be implemented with the underlying alone. Simultaneously taking long positions in multiple highly liquid fixed-income securities is a strategy that can be implemented with the underlying securities on a stand-alone basis.

关联页码：

关联考点：8-48-1

5.单选：In contrast to contingent claims, forward commitments provide the:

A．right to buy or sell the underlying asset in the future.

B．obligation to buy or sell the underlying asset in the future.

C．promise to provide credit protection in the event of default.

答案：B  

解析：合同双方到期有义务(obligation)按照合同去买卖标的资产，这是远期合同(forward)，远期合同属于远期承诺(forward commitments)，B是正确的。或有求偿权(contingent claim)是给出买方权利(right)来决定是否买卖，A是说未来有权买卖标的资产，这种产品是期权(option)，期权是或有求偿权的一种；C是卖方对买方承诺第三方违约时提供信用保护，就是代替违约方还钱，这种产品是信用违约互换(credit default swap)，也是或有求偿权。

原解析：Forward commitments represent an obligation to buy or sell the underlying asset at an agreed upon price at a future date. A is incorrect because the right to buy or sell the underlying asset is a characteristic of contingent claims, not forward commitments. C is incorrect because a credit default swap provides a promise to provide credit protection to the credit protection buyer in the event of a credit event such as a default or credit downgrade and is classified as a contingent claim.

关联考点：8-48-2

6.单选：Which of the following derivatives is classified as a contingent claim?

A．Futures contracts.

B．Interest rate swaps.

C．Credit default swaps.

答案：C 

解析：远期承诺(forward commitments)锁定了交易价格，远期合同(forwards)、期货(Futures contracts)和利率互换(Interest rate swaps)是属于远期承诺，未来以固定价格进行交割，或者以固定利率交换浮动利率。或有求偿权(contingent claim)是给出买方权利去以预先确定的价格买卖标的资产。信用违约互换(Credit default swaps)属于或有求偿权，当第三方违约发生损失时，买方有权利让卖方对违约赔偿，相当于保险。

原解析：A credit default swap (CDS) is a derivative in which the credit protection seller provides protection to the credit protection buyer against the credit risk of a separate party. CDS are classified as a contingent claim.A is incorrect because futures contracts are classified as forward commitments. B is incorrect because interest rate swaps are classified as forward commitments.

关联考点：8-48-2

7.单选：A characteristic of forward commitments is that they:

A．provide linear payoffs.

B．do not depend on the outcome or payoff of an underlying asset.

C．provide one party the right to engage in future transactions on terms agreed on in advance.

答案：A

解析：远期承诺(forward commitments)提供线性回报(linear payoffs)，线性回报的意思是标的资产价格上涨时衍生品盈利，反之亦然。标的资产价格上涨的越多，衍生品盈利也越多，反之亦然。远期承诺的回报基于标的资产的回报，B是错误的。C描述的是提供一方权利到期按预先价格交易，这是期权，期权是或有求偿权(contingent claim) ，所以C是错误的。

原解析：because forward commitments provide linear payoffs. B is incorrect because forward commitments depend on the outcome or payoff of an underlying asset. C is incorrect because forward commitments obligate parties to make (not provide the right to engage) a final payment contingent on the performance of the underlying.

关联页码：

关联考点：8-48-2

8.单选：The buyer of an option has a contingent claim in the sense that the option creates:

A．a right.

B．an obligation.

C．a linear payoff with respect to gains and losses of the underlying.

答案：A

解析：期权的买方有一个或有求偿权 (contingent claim)，买方有权利(right)来决定是否买卖，而非义务(obligation)，所以A是正确的。期权衍生品的收益基于标的资产的收益，期权买方到期有执行的权利也有放弃的权利。这样的权利导致期权的回报不像远期承诺一样是线性回报(linear payoff)，线性回报的意思是标的资产价格上涨时衍生品盈利，标的资产价格下跌时衍生品亏损。价格不利的时候，期权可以放弃执行，只对买方有一个有限的损失期权费，所以C是错误的。

原解析： A contingent claim, a derivative in which the outcome or payoff depends on the outcome or payoff of an underlying asset, has come to be associated with a right, but not an obligation, to make a final payment contingent on the performance of the underlying. B is incorrect because an option, as a contingent claim, grants the right but not the obligation to buy or sell the underlying at a later date. C is incorrect because the holder of an option has a choice of whether to exercise the option. This choice creates a payoff that transforms the underlying payoff in a more pronounced manner than does a forward, futures, or swap, which provide linear payoffs. Options are different in that they limit losses in one direction. 

关联页码：

关联考点：8-48-2

9.单选：Which of the following derivatives provide payoffs that are non-linearly related to the payoffs of the underlying?

A．Options.

B．Forwards.

C．Interest-rate swaps.

答案：A  

解析：远期承诺(forward commitments)的产品和标的资产收益线性相关。线性相关的意思是标的资产价格上涨时衍生品盈利，标的资产价格下跌时衍生品亏损。远期合同(forwards和利率互换(interest-rate swaps)是远期承诺，跟标的资产的收益也是线性相关的。或有求偿权(contingent claim) 的产品和标的资产收益不是线性相关，期权(options)是或有求偿权，如果标的资产价格不利，期权持有者选择放弃权利，将自己的损失限定。

原解析：Options are classified as a contingent claim which provides payoffs that are non-linearly related to the performance of the underlying. B is incorrect because forwards are classified as a forward commitment, which provides payoffs that are linearly related to the performance of the underlying. C is incorrect because interest-rate swaps are classified as a forward commitment, which provides payoffs that are linearly related to the performance of the underlying.

关联考点：8-48-2

10.单选：The price of a forward contract:

A．is the amount paid at initiation.

B．is the amount paid at expiration.

C．fluctuates over the term of the contract.

答案：B

解析：远期合同的价格在合同开始(at initiation)就已经约定，到期(at expiration)以固定的合同价格来买卖标的资产，所以初始双方都没有为合同进行支付，A是错误的，到期才会付钱买卖，B是正确的。支付发生在到期日，远期合同的价值ST – F0(T)会在合同期波动，因为ST是一个波动的价格，但是远期价格F0(T)是不会变化的，所以C是错误的。

原解析：The forward price is agreed upon at the start of the contract and is the fixed price at which the underlying will be purchased (or sold) at expiration. Payment is made at expiration. The value of the forward contract may change over time, but the forward price does not change.

关联考点：8-48-3