今天小編給大家分享幾道CFA一級(jí)中的題目，希望可以給大家在做CFA題目的過(guò)程中一些幫助！

第一題：

The potential divergence between the cash flow timing of a derivative instrument versus its underlying best describes:

A basis risk

B liquidity risk

C systemic risk

解析：

A Incorrect because basis risk is described as the potential divergence between the expected value of a derivative instrument versus an underlying or hedged transaction.

B Correct because liquidity risk is described as potential divergence between the cash flow timing of a derivative instrument versus an underlying or hedged transaction.

C Incorrect because systemic risk results from excessive risk taking and use of leverage in derivative markets that may contribute to market stress.

According to put-call-forward parity, the payoff on a synthetic protective put is equivalent to the payoff on a portfolio consisting of:

A a long call and a long risk-free bond.

B a long call, a short forward contract and a long risk-free bond.

C a long put, a short forward contract and a short risk-free bond.

解析：

A.Correct because recall our put–call parity discussion and assume that Investor A creates his protective put in a slightly different manner. Instead of buying the asset, he buys a forward contract and a risk-free bond in which the face value is the forward price. This strategy is a synthetic protective put. Because we showed that the fiduciary call is equivalent to the protective put, a fiduciary call has to be equivalent to a protective put with a forward contract. Therefore, the payoff on a synthetic protective put = the payoff on a fiduciary call, synthetic protective put = long risk-free bond + long forward contract + long put = long call + long risk-free bond.
B.Incorrect because recall our put–call parity discussion and assume that Investor A creates his protective put in a slightly different manner. Instead of buying the asset, he buys a forward contract and a risk-free bond in which the face value is the forward price. This strategy is a synthetic protective put. Because we showed that the fiduciary call is equivalent to the protective put, a fiduciary call has to be equivalent to a protective put with a forward contract. Therefore, the payoff on a synthetic protective put is not equal to the payoff on a portfolio consisting of a long call, a short forward contract and a long risk-free bond.
C.Incorrect because recall our put–call parity discussion and assume that Investor A creates his protective put in a slightly different manner. Instead of buying the asset, he buys a forward contract and a risk-free bond in which the face value is the forward price. This strategy is a synthetic protective put. Because we showed that the fiduciary call is equivalent to the protective put, a fiduciary call has to be equivalent to a protective put with a forward contract. Therefore, the payoff on a synthetic protective put is not equal to the payoff on a portfolio consisting of a long put, a short forward contract and a short risk-free bond.