2020年CFA考试《CFA二级》考试共题，分为。小编每天为您准备了5道每日一练题目（附答案解析），一步一步陪你备考，每一次练习的成功，都会淋漓尽致的反映在分数上。一起加油前行。

1、Which of the following statements regarding the methodologies for estimating effective duration and convexity is most accurate?【单选题】

A.Davenport's description is a more accurate depiction of the appropriate methodology than Evermore's.

B.The two methodologies will result in the same effective duration and convexity estimates only if the same rate volatility assumption is used in each.

C.

正确答案:A

答案解析:Davenport has correctly outlined the appropriate methodology for using a binomial model to estimate effective duration and effective convexity. Evermore fails to adjust for the OAS and, instead, simply adds 100 basis points to every rate on the tree rather than shifting the yield curve upward and then recreating the entire tree using the same rate volatility assumption from the first step. Even if both use the same rate volatility assumption and the OAS is equal to zero, the two methodologies will generate significantly different duration and convexity estimates.

2、Based on Exhibit 4, Bern’s firm value under Scenario 1 is closest to:【单选题】

A.€100,951.3 million.

B.€105,441.9 million.

C.€105,491.9 million.

正确答案:C

答案解析:C is correct. Based on Scenario 1, where Bern receives regulatory approval for its new drugs, the growth rate in FCFF for Bern will be constant at 4.5%. Therefore, a constant growth valuation model can be used to calculate firm value.

3、Is B?hm most likely correct regarding Comment C that it is acceptable to use either NPV or IRR and Comment D about the immediate impact on EPS?【单选题】

A.No for both comments.

B.Yes for both comments.

C.No for Comment C and Yes for Comment D.

正确答案:C

答案解析:C is correct. Even if they are the same size, a short-term project with a high IRR can have a lower NPV than a longer-term project. The immediate impact on EPS does not capture the full effect of the cash flows over the project’s entire life.

4、Based on the regression output in Exhibit 1, the first-differenced series used to run Regression 2 is consistent with:【单选题】

A.a random walk.

B.covariance stationarity.

C.a random walk with drift.

正确答案:B

答案解析:B is correct. The critical t-statistic at a 5% confidence level is 1.98. As a result, neither the intercept nor the coefficient on the first lag of the first-differenced exchange rate in Regression 2 differs significantly from zero. Also, the residual autocorrelations do not differ significantly from zero. As a result, Regression 2 can be reduced to y is covariance stationary.

5、Which of the following statements regarding the VaR of the Index Plus Fund is correct?【单选题】

A.The expected maximum loss for the portfolio is $6.5 million.

B.Five percent of the time, the portfolio can be expected to experience a loss of at 

C.

正确答案:B

答案解析:B is correct. VaR measures the frequency of losses of a given minimum magnitude. Here the VaR indicates that on 5% of trading days, the portfolio will experience a loss of at least $6.5 million. (Although C may appear to say the same thing as B, it actually implies that the portfolio will experience a loss on 95% of trading days.) The correct interpretation is that returns will be equal to or greater than -$6.5 million on 95% of trading days; those returns include gains as well as losses.