CFA Level-2
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2、Yield Spread
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2023-12-20 14:52:45
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【00】CFA 二级复习建议
【01】Ethics and Professional Standards
【02】Quantitative Methods
(00)框架介绍
(01)Introduction to Linear Regression
(02)Multiple Regression
(03)Time-Series Analysis
(04)Machine Learning
(05)Big Data Project
(06)Scenario Analysis、Decision Trees、Simulations【2022 已去除】
【03】Economic Analysis
(00)框架介绍
(01)Currency exchange rates:Understanding Equilibrium value
(02)Economic Growth and Investment Decision
(03)Economics of Regulations
【04】Financial Statement Analysis
(00)框架介绍
(01)Intercoporate investments
(02)Employee Compensation:Post-Employment、Share-based
(03)Multinational Operations
(04)Analysis of Financial Institutions
(05)Evaluating Quality of Financial Reports
(06)Integration of Financial Statement Analysis Techniques
【05】Corporate Issuers
(00)框架介绍
(01)Capital Structure
(02-R)Dividends and Share Repurchases
(03-R)ESG considerations in Investment Analysis
(04)Mergers and Aquisitions
(05)Capital Budgeting
【06】Equity Analysis
(00)框架介绍
(01)Equity Valuation 基本概念(流程、应用)
(02)Return Concepts
(03)Industry and Company Analysis
(04-R)Discounted Dividend Valuation
(05)Free Cash Flow Valuation
(06)Market-Based Valuation:Price and Enterprise Value Multiples
(07)Residual Income Valuation
(08)Private Company Valuation
【07】Fixed Income Analysis
(00)框架介绍、一级回顾
(01)The Term Structure and Interest Rates Dynamics(yield curve)
1、Benchmark curve
2、Yield Spread
3、Traditional theories of the term structure of interest rates
4、Yield Curve Factor Models(Managing Yield Curve Risks)
5、Developing Interest Rate Views Using Macroeconomic Variables
6、例题
(02-R)The Arbitrage-Free Valuation Framework(普通债券利率二叉树估值)
(03)Valuation and Analysis of Bonds with Embedded Options(含权债券估值)
1、bond with embedded options
2、Valuation of callable and putable bonds
3、带 Cap/Floor 的 floating-rate bond(Floater)估值
4、Convertible bond
5、例题
(04)Credit Analysis Models(分析 credit risk)
1、Modeling credit risk
2、risky bonds 的估值
3-R、Credit scores and credit ratings
4、Credit analysis model
5、Credit spread analysis
6、例题
1、risky bond 估值
(1)基于同一个 r:Zero-Coupon Corporate Bond
(2)基于同一个 r:coupon-paying corporate bond
(3)基于不同 r(Arbitrage-Free valuation):普通 risky bond
(4)基于不同 r(Arbitrage-Free valuation):Risky Floater
2、Credit Transition Matrix:Impact of Credit Migration on Expected Return
3、Credit spread analysis:Evaluating changes in credit risk parameters
(05)Credit Default Swaps(CDS,信用违约互换)
【08】Derivative Investments
(00)框架介绍
(01)Pricing and Valuation of Forward Commitments
1、Forward
2、T-bond Futures (长期国债期货)
3、Swap(互换)
1、Plain vanilla swap(Interest Rate Swap,IRS)Contracts
2、Currency Swap Contracts
3、Equity Swap(股权互换)Contracts
4、Swaption Contracts
4、例题
(02)Valuation of Contingent Claims(Options)
1、Put-call parity for European options
2、Binomial Model(二叉树估值,Expectation Approach)
3、Black-Scholes-Merton Model
4、Option Greeks and Implied Volatility
5、No-arbitrage approach(Binomial Model)
6、Black Model(Option Valuation,期权定价)
7、例题
(03-U)Derivatives Strategies(仅 2019 有)
【09】Alternative Investment
(00)框架介绍
(01)Real Estate Investment
1、基本介绍
2-U、Private Real Estate
3、Publicly Traded Real Estate Securities
(02)Private Equity Investments
(03)Commodities and Commodity Derivatives
【10】Portfolio Management
(00)框架介绍
(01)ETF(Exchange-Traded Funds):Mechanics and Applications
1、ETF Mechanics
2-R、Understanding ETFs(ETF 成本)
3、ETFs in Portfolio Management
(02-待看视频)Multifactor Models
(03)Measuring and Managing Market Risk
(04)Backtesting and Simulation
(05)Economics and Investment markets
(06)Analysis of Active Portfolio Management
(07)Trading Costs and Electronic Markets
(08)例题
【11】指标、各章节重要公式
10、Portfolio Management
0、指标汇总、财报科目
1、Ethics and Professional Standards
2、Quantitative Methods
3、Economic Analysis
4、Financial Statement Analysis
5、Corporate Issuers
6、Equity Analysis
7、Fixed Income Analysis
8、Derivative Investments
9、Alternative Investment
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