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2020 年12 月CFA 三级写作题
DERIVATIVES AND CURRENCY MANAGEMENT
今年由于疫情的缘故,CFA 考试被迫延期。虽然给了大家更多的复习时间,但也不可掉
以轻心。近年来,CFA 考试的难度在逐步提高,并且在三级中更偏向实务与理论结合的考察。
相比2019 年考纲,2020 年考纲发生了较多的变化。其中关于经济学的部分,更名为资本市
场预期,并进行了重大改变;衍生产品与资产配置中的外汇管理合并在一起,并进行了较大
的改写;另类投资的内容完全重新改写;交易与业绩评估合并在一起,并重新编写。而一向
是考试重点的私人财富管理和机构组合管理也发生了较大变化,其中私人财富管理的第一个
Reading 重新编写,而机构组合管理也进行了重新编写,这些变化需引起考生重视。为了全
面应对考试,我们全面推出了的各种学习平台,如金程网校、手机APP、金程CFA 答疑等活
动,请各位充分利用。如有学术问题,请登录至金程网校提问。祝大家好运,顺利通过CFA
三级考试,加油!
1-11
Derivatives and Currency Management
Case 1: CEO
The CEO of a corporation owns 100 million shares of his company’s stock, which is currently
priced at €30 a share. Given the huge exposure of his personal wealth to this one company, he
has decided to sell 10% of his position and invest the funds in a floating interest rate instrument.
A derivatives dealer suggests that he do so using an equity swap.
Explain how to structure such a swap.
Solution:
The swap is structured such that the executive pays the return on 10 million shares of the
company’s stock, which is 10% of his holdings, and he receives the return based on a floating
interest rate, such as the market reference rate, on a notional principal of €300 million (=
€30/share × 10 million shares).
2-11
Case 2: Bank trust fund
A $30 million investment account of a bank trust fund is allocated one-third to stocks and
two-thirds to bonds. The portfolio manager wants to change the overall allocation to 50% stock
and 50% bonds and the allocation within the stock fund from 70% domestic stock and 30%
foreign stock to 60% domestic and 40% f
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