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2017注冊國際投資分析師(CIIA)考試大綱

發布日期:2017-04-09 來源:會計考試網



2017注冊國際投資分析師(CIIA)考試大綱

關于發布《注冊國際投資分析師(CIIA)考試大綱(2017)》的通知

  中證協發[2017]64號
 
  各位考生:
 
  根據注冊國際投資分析師協會(ACIIA)有關安排,為持續做好CIIA考試工作,我會組織編制了《注冊國際投資分析師(CIIA)考試大綱(2017)》,現予以發布實施。
 
  特此通知。
 
  附件:《注冊國際投資分析師(CIIA)考試大綱(2017)》
 
                中國證券業協會
 
                 2017年4月5日


CIIA EXAMINATION SYLLABUS(2017)
CIIA考試大綱(2017)
(譯文僅供參考)

1.  Financial Accounting and Financial Statement Analysis
   財務會計和財務報表分析
2.  Corporate Finance
   公司財務
3.  Equity Valuation and Analysis
   股票估值與分析
4.  Economics
   經濟學
5.  Fixed Income Valuation and Analysis
   固定收益證券估值與分析
6.  Derivative Valuation and Analysis
   衍生產品估值與分析
7.  Portfolio Management
   投資組合管理

 

 

 

Table of Contents
目錄
• Financial Accounting and Financial Statement Analysis .................. 3
財務會計和財務報表分析
• Corporate Finance ............................................................................. 14
公司財務
• Equity Valuation and Analysis .......................................................... 21
股票估值與分析
• Economics .........................................................................................25
經濟學
• Fixed Income Valuation and Analysis ...............................................32
固定收益證券估值與分析
• Derivative Valuation and Analysis .....................................................40
衍生產品估值與分析
• Portfolio Management ........................................................................47
投資組合管理

 

 


Financial Accounting and Financial Statement Analysis
財務會計和財務報表分析
 
Broad Learning Objectives
總體學習目標

The basic principles and standards that underpin the preparation of financial statements should be understood, together with the various features of the income statements and balance sheets. The usage and analysis of financial statement related information receives a particular emphasis and candidates should develop strong skills in these dimensions. A wide range of analytic tools and applications should be understood, including income versus cash flow, various ratio analyses (such as EPS, profitability, leverage), time series analyses, common size statements and DuPont analysis and their application in practical settings well known and understood. Candidates should have a good understanding of the important topics of foreign currency translation and the consolidation of financial statements. The important valuation related topic of financial projections is also covered.

理解財務報表編制的基本原則和標準,以及損益表和資產負債表的各項特征。要特別關注財務報表相關信息的應用和分析,考生應加強在這些方面的能力。深入理解各種分析工具和應用方法,包括收入和現金流、各種比率分析(比如每股收益、盈利能力、財務杠桿)、時間序列分析、共同比報表和杜邦分析,以及他們在眾所周知的實踐中的應用?忌鷳撋钊肜斫馔鈳耪鬯、合并財務報表中的重要問題,包括財務預測中的重要估值相關問題。

1   Principles and Standards  
1  原則和標準

1.1   The financial reporting environment
1.1.1   The financial statements  
  1.1.2   Financial reporting issues  
1.1  財務報告環境  
1.1.1  財務報表
1.1.2  財務報表問題

1.2   Framework for the preparation and presentation of financial statements  
  1.2.1   Objective of financial statements  
  1.2.2   Accounting conventions  
  1.2.3   Fundamental definitions  
  1.2.4   Criteria for accounting recognition  
1.2  財務報表的編制和列報框架   
1.2.1  財務報表的目標
1.2.2  會計原則
1.2.3  基本概念
1.2.4  會計確認的標準

1.3   Statement of cash flows 
  1.3.1   Rationale for the statement of cash flows  
  1.3.2   Relation between income flows and cash flows  
1.3  現金流量表    
1.3.1  現金流量表的基本原理
1.3.2  現金流和收入流的關系
      
2   Income Statement and Foreign Currency Transactions  
2  收益表和外幣業務

2.1   Income recognition  
  2.1.1   Criteria for revenue recognition  
  2.1.2   Long-term construction contracts  
  2.1.3   Criteria for expense recognition  
  2.1.4   Accounting for stock options and similar benefits  
2.1 收入確認    
 2.1.1  收入確認的標準
 2.1.2  長期建造合同
2.1.3  費用確認的標準
2.1.4  股票期權及類似福利的會計處理
     
2.2   Foreign currency transactions 
  2.2.1   Foreign currency transactions  
  2.2.2   The translation of financial statements into a foreign currency  
  2.2.3   Hyperinflationary economies  
2.2  外幣業務      
2.2.1  外幣業務
2.2.2  外幣報表折算
2.2.3  惡性通貨膨脹經濟

3   Balance Sheet  
3  資產負債表

3.1   Assets 
  3.1.1   Property, plant and equipment  
  3.1.2   Investment property  
  3.1.3   Intangible assets  
  3.1.4   Inventories  
  3.1.5   Accounts receivable  
  3.1.6   Cash and cash equivalents  
  3.1.7   Impairment of assets  
  3.1.8   Financial assets  
3.1  資產  
3.1.1  不動產、廠房和設備
3.1.2  投資性房地產
3.1.3  無形資產
 3.1.4  存貨
 3.1.5  應收賬款
 3.1.6  現金及現金等價物
 3.1.7  資產減值
 3.1.8  金融資產
      
3.2   Liabilities 
  3.2.1   Bonds  
  3.2.2   Hybrid securities  
  3.2.3   Off balance sheet financing agreements  
  3.2.4   Leases  
  3.2.5   Borrowing costs  
  3.2.6   Retirement benefits  
  3.2.7   Income taxes  
3.2  負債         
 3.2.1  債券
 3.2.2  混合證券
 3.2.3  表外融資協議
 3.2.4  租賃
 3.2.5  借款費用
 3.2.6  退休福利
 3.2.7  所得稅
      
3.3   Shareholders’ Equity  
  3.3.1   Issuance of capital stock  
  3.3.2   Acquisition and sale of treasury shares  
  3.3.3   Accounting for dividends  
  3.3.4   Other changes in retained earnings  
3.3  所有者權益        
 3.3.1  股本的發行
 3.3.2  股票回購和庫藏股的再發行
 3.3.3  股利的會計處理
 3.3.4  留存收益的其他變動
      
3.4   Provisions 
  3.4.1   Conditions for the recognition of provisions  
  3.4.2   Contingent liabilities  
3.4  準備金         
 3.4.1  準備金確認的條件
 3.4.2  或有負債
      
4   Data Analysis  
4  數據分析

4.1   Income vs. Cash Flow 
  4.1.1   Relationship between income and cash flow from operations  
  4.1.2   Income and cash flow at various stages of the life cycle  
4.1  利潤與現金流量     
 4.1.1  經營活動現金流量與凈利潤的關系
4.1.2  生命周期不同階段的凈利潤與現金流量

4.2   Quality of earnings, earnings management 
  4.2.1   Data issues when analysing financial statements  
  4.2.2   Significance and implications of alternative accounting policies on the financial statements
4.2  盈余的質量和盈余管理         
 4.2.1  財務報表分析中的數據問題
 4.2.2  財務報表中可供選擇的會計政策的重要性和含義

4.3   Earnings per share 
  4.3.1   Basic earnings per share  
  4.3.2   Diluted earnings per share  
  4.3.3   Using EPS to value firms  
  4.3.4   Criticism of EPS  
4.3  每股收益        
 4.3.1  基本每股收益
 4.3.2  稀釋每股收益
 4.3.3  運用每股收益衡量公司價值
 4.3.4  對每股收益的評價

4.4   Segment reporting 
  4.4.1   Segment identification  
  4.4.2   Disclosure requirements  
  4.4.3   Using segment information for the analysis  
4.4  分部報告           
 4.4.1  分部確認
 4.4.2  披露要求
 4.4.3  運用分部信息進行分析
      
4.5   Interim reporting 
4.5  中期報告        
      
4.6   Non-GAAP financial measures 
  4.6.1   Adjusted net income / operating income  
  4.6.2   EBITDA  
  4.6.3   Free cash flow  
  4.6.4   Net debt  
  4.6.5   Organic sales  
  4.6.6   New orders, backlog, book-to-bill  
4.6  非公認會計準則財務指標         
 4.6.1  調整凈收入/營運收入
 4.6.2  息稅折舊攤銷前利潤
 4.6.3  自由現金流
 4.6.4  凈負債
4.6.5  內生性銷售
4.6.7  新訂單、未完成訂單、訂單出貨比

5   Consolidated Financial Statements  
5  合并財務報表
    
5.1   Mergers and acquisitions 
  5.1.1   Acquisitions  
  5.1.2   Mergers  
5.1  兼并和收購           
 5.1.1  收購
 5.1.1  兼并
      
5.2   Consolidated financial statements 
  5.2.1   The scope of consolidation  
  5.2.2   The consolidation methods  
  5.2.3   The nature of the difference arising from consolidation  
  5.2.4   Uses of each method  
  5.2.5   The consolidation procedure  
  5.2.6   Analysis of the difference arising from initial consolidation  
  5.2.7   Valuing minority interests  
  5.2.8   The treatment of Goodwill  
5.2   合并財務報表           
 5.2.1  合并財務報表的范圍
 5.2.2  合并方法
 5.2.3  合并過程中所產生的差額的實質
 5.2.4  各種合并方法的使用
 5.2.5  合并程序
 5.2.6  初始合并差額分析
 5.2.7 少數股東權益的估值
 5.2.8  商譽的處理
      
6   Major Financial Flows and Accounting Adjustments  
6  主要資金流動及會計調整
    
6.1   Shareholder vision: net income and earnings per share
  6.1.1   Basic earnings per share  
  6.1.2   Diluted earnings per share  
6.1  股東視角:凈收益和每股收益               
 6.1.1  基本每股收益
 6.1.2  稀釋每股收益
      
6.2   Management vision: investments and free cash flow  
  6.2.1   Modigliani Miller  
  6.2.2   Basic example  
  6.2.3   Global analytical table  
  6.2.4   Non-cash charges  
6.2  管理者視角:投資和自由現金流            
 6.2.1  莫迪利安尼-米勒模型(MM模型)
 6.2.2  基本案例
6.2.3  全球分析表
6.2.4  非現金支出
      
6.3   Reconciliation of the two approaches  
  6.3.1   General principles  
  6.3.2   Operating cash flow and net income (shareholder approach)  
  6.3.3   Operating cash flow (shareholder approach) and FCFF (MM approach)
  6.3.4   EBITDA and FCFF (MM approach)  
6.3  兩種方法的一致性         
6.3.1  一般原則
6.3.2  經營性現金流和凈收入(股東法)
 6.3.3  經營性現金流(股東法)和公司自由現金流(MM法)
6.3.4  息稅折舊攤銷前利潤和公司自由現金流(MM法)

6.4   Published figures and accounting adjustments  
  6.4.1   Entries that give a false image of the company  
  6.4.2   Accounting definitions not recognised by international standards
  6.4.3   Rewriting of entries in the case of different accounting standards
  6.4.4   Capitalisation of research and development costs  
6.4  已公布數據和會計調整
 6.4.1 帶來虛假公司形象的分錄
 6.4.2  非國際標準確認的會計定義
 6.4.3  不同會計準則下分錄的重新編制
 6.4.4  研發費用的資本化
      
6.5   Presentation of historic figures 
  6.5.1   Time series analysis  
  6.5.2   Common size analysis  
6.5  歷史數據報告             
 6.5.1  時間序列分析
 6.5.2  共同比分析
      
7   Analysis of Management Performance  
7  管理績效分析
    
7.1   Why use financial ratios? 
7.1  為什么要用財務比率?      

7.2   Operating risk measurement 
  7.2.1   Measurement of management efficiency over the operating cycle (gross margin, operating margin, net margin, asset turnover, inventory outstanding period, collection period, payables outstanding period)
  7.2.2   Capital profitability ratios (ROA, ROCE, CFROI, ROE)  
7.2  經營風險度量              
 7.2.1  營業周期管理效率的度量(毛利率、營業利潤率、凈利潤率、資產周轉率、存貨周轉天數、應收賬款周轉天數、應付賬款周轉天數)
 7.2.2  資本盈利比率(資產收益率、已用資本回報率、現金投資回報率、權益收益率)
      
7.3   Measurement of financial risk  
  7.3.1   Liquidity ratios (current ratio, quick ratio, cash ratio)  
  7.3.2   Solvency ratios (average interest rate, net debt, capital structure ratio, total debt to equity ratio, long-term debt to equity ratio, interest coverage ratio, operating cash flow to cash interest cost, operating cash flow to liabilities)
  7.3.3   Credit risk (rating agencies, credit default swaps) 
7.3  財務風險度量          
 7.3.1 流動性比率 (流動比率、速動比率、現金比率)
 7.3.2  償付能力比率(平均利息率、負債凈額、資本結構比率、總負債權益比、長期債務權益比率、利息保障倍數、經營性現金流與現金利息成本的比率、經營性現金流與流動負債的比率)
 7.3.3  信用風險(信用評級機構,信用違約互換)     
      
7.4   Key sectorial ratios and metrics  
  7.4.1   Industrial  
  7.4.2   Oil and gas  
  7.4.3   Consumer  
  7.4.4   Healthcare  
  7.4.5   Technology  
  7.4.6   Banks  
  7.4.7   Utilities  
7.4  關鍵部門的比率和指標             
 7.4.1  工業
 7.4.2  石油和天然氣
 7.4.3  消費類
 7.4.4  醫療
 7.4.5  科技
 7.4.6  銀行
 7.4.7  公共事業

7.5   Sensitivity analyses  
  7.5.1   Operating income sensitivity  
  7.5.2   Financial leverage sensitivity  
  7.5.3   Net income sensitivity 
7.5  敏感性分析          
 7.5.1  營業收入的敏感性
 7.5.2  財務杠桿的敏感性
 7.5.3  凈收入的敏感性

7.6   Quality of earnings as a measure of accounting risk 
  7.6.1   Financial warnings signs  
  7.6.2   Non-financial signs (change of accountants, sudden departure of CFO, delay in statements)
  7.6.3   Revenue-related warning signs  
  7.6.4   Beneish M Score  
7.6  作為度量會計風險的盈余質量                
 7.6.1  財務預警信號
 7.6.2  非財務信號(會計師的變更、CFO的突然離職、報表的延期)
 7.6.3  與收入相關的預警信號
 7.6.4  Beneish M評分
     
7.7   Analysis of the business environment  
  7.7.1   A vision of the company beyond figures  
  7.7.2   Qualitative analysis of the industry  
  7.7.3   Qualitative analysis of the company  
7.7  商業環境分析          
 7.7.1  數據圖表之外的公司愿景
 7.7.2  行業定性分析
7.7.3  企業定性分析
  
8   Financial Projections  
8  財務預測
    
8.1   Different projection formats 
  8.1.1   Comprehensive format  
  8.1.2   Common size percentage  
  8.1.3   Growth rates method  
  8.1.4   Projections based on value drivers  
8.1  不同的預測方法          
 8.1.1  綜合法
 8.1.2  共同比法
8.1.3  增長率法
8.1.4  基于價值驅動因素的預測
      
8.2   Estimated value drivers of the company  
  8.1.1   Sales forecast  
  8.1.2   Investment projections (net working capital and capital expenditure)
  8.1.3   Other internal value drivers  
  8.1.4   External value drivers  
8.2  公司的估計價值驅動           
 8.2.1  銷售預測
 8.2.2  投資預測(凈營運資本和資本支出)
 8.2.3  其他內部價值驅動
 8.2.4  外部價值驅動
      
8.3   Recurring/non-recurring entries  
  8.3.1   Recurring accounting entries  
  8.3.2   Non-recurring accounting entries  
8.3  經常性/非經常性項目
 8.3.1  經常性會計分錄
 8.3.2  非經常性會計分錄
      
8.4   Additional information (quarterly, divisions) 
  8.4.1   Projections based on interim reporting  
  8.4.2   Projections based on segment reporting 
8.4  附加信息(季度,分部)                
  8.4.1  基于中期報告的預測
  8.4.2  基于分部報告的預測
      

 

 

 

 


Corporate Finance
公司財務

Broad Learning Objectives
總體學習目標

Candidates should understand the fundamental component parts of corporate finance, such as objectives, valuation, discounted cash flow and capital budgeting within a corporate setting, together with decision making, both from a short term and long term perspective. The important financial decisions together with the underlying theories associated with capital structure, dividend policy and mergers and acquisitions should be understood in some detail within this topic area together with their applications to practical settings. Given the global nature of the CIIA designation, an in depth knowledge of international corporate finance should be developed and applied. The topic area concludes with a review of the organisation of value creation within a corporate setting.

考生應了解公司財務的基本組成部分,比如公司財務的目標、公司估值、貼現現金流、資本預算以及長、短期投融資決策等。本章需要掌握與資本結構、股息政策、合并和收購相關的基本理論以及重要的財務決策,并理解其在實際環境中的應用;贑IIA的全球性,應試者應增進對國際企業融資理論的深入了解并學以致用。本章最后回顧了企業環境下的價值創造組織。

1   Corporate Finance and Value Creation
1  公司財務與價值創造

2   Investment Mechanisms
2  投資機制

2.1   Basics of cash flow analysis
2.1  現金流分析基本原理

2.2   The net initial investment (NINV)
2.2.1   Replacement projects
2.2.2   Expansion project
2.2  凈初始投資(NINV)
2.2.1  替代性項目
2.2.2  擴張性項目

2.3   Operating cash flows
2.3.1   Depreciation
2.3.2   Net operating cash flows
2.3  經營現金流
2.3.1  折舊
 2.3.2  凈營運現金流

2.4   Terminal cash flows
2.4  期末現金流

2.5   Future value of cash flows
2.5.1   Perpetuity
2.5.2   Annuity
2.5.3   Constant growth model
2.5.4   A stream of irregular cash flow
2.5  現金流的終值
 2.5.1  永續年金
 2.5.2  年金
 2.5.3  穩定增長模型
 2.5.4  不規則現金流

3   Investment Discount Rate
3  投資貼現率

3.1   Weighted average cost of capital (WACC)
3.1.1   Cost of debt
3.1.2   The cost of equity capital
3.1.3   Weighted average cost of capital (WACC)
3.1.4   International capital budgeting
3.1  加權平均資本成本(WACC)
 3.1.1  債券資本成本
 3.1.2  股權資本成本
 3.1.3  加權平均資本成本(WACC)
 3.1.4  國際資本預算

3.2   Optimisation of weighted average cost of capital
3.2.1   Leverage and the value of the firm
3.2  加權平均資本成本的優化
3.2.1  杠桿作用與公司價值

3.3   Dividend policy
3.3.1   Types of dividends
3.3.2   Repurchase of stock
3.3.3   Irrelevance theorem
3.3.4   The clientele effect
3.3.5   Signalling model
3.3.6   Dividend policy in local markets
3.3  股息政策
3.3.1  股息類型
3.3.2  股票回購
3.3.3  不相關定理
3.3.4  委托效應
3.3.5  信號傳輸模型
3.3.6  當地市場股息政策

4   Investment Decision Criteria
4  投資決策準則

4.1   Major methods
4.1.1   Net present value (NPV)
4.1.2   Internal rate of return (IRR)
4.1.3   Payback rules
4.1  主要方法
4.1.1  凈現值(NPV)
4.1.2  內部收益率(IRR)
4.1.3  回收期規則

4.2   Capital budgeting
4.2.1   Method for ranking investment proposals
4.2.2   Capital resource rationing
4.2.3   Common pitfalls
4.2  資本預算
4.2.1  投資提案排序法
4.2.2  資金資源配給
4.2.3  常見的錯誤

4.3   The link between the value of an investment and enterprise value
4.3  投資價值與企業價值之間的聯系

5   Mergers and Acquisitions
5  兼并和收購

5.1   Valuation issues
5.1.1   Valuation of the target
5.1.2   Motives for mergers
5.1  估值問題
5.1.1  目標企業估值
5.1.2  合并動機

5.2   Forms of acquisition
5.2.1   Takeovers
5.2.2   Approved acquisitions
5.2.3   Creeping take-overs
5.2.4   Eliminating minority interests
5.2.5   Going private and capital restructuring operations
5.2.6   Leverage buyout (LBO)
5.2.7   Management buyout (MBO)
5.2.8   Management buy in (MBI)
5.2  收購方式
5.2.1  接管
5.2.2  經批準的收購
5.2.3  逐步接管
5.2.4  消除少數股東的權益
5.2.5  私有化和資本重組
5.2.6  杠桿收購(LBO)
5.2.7  管理層收購(MBO)
5.2.8  管理層換購(MBI)

5.3   Strategies for the acquirer
5.3.1   Aggressive or agreed
5.3  收購策略
5.3.1  惡意收購或者協議收購

5.4   Defensive strategies
5.4.1   Pre-emptive versus reactive
5.4.2   Pre-emptive (long-term) strategies
5.4.3   Pre-emptive (short-term) strategies
5.4  防御策略
5.4.1  預防性策略與反應性策略
5.4.2  預防性(長期)策略
5.4.3  預防性(短期)策略

5.5   Liquidation and reorganisation
5.5.1   Bankruptcy liquidation
5.5.2   Bankruptcy reorganization
5.5  清算與重組
5.5.1  破產清算
5.5.2  破產重組

6   Project Financing
6  項目融資

6.1   Long-term financing
6.1.1   Project evaluation from the investors’ perspective
6.1.2   Project evaluation from the lenders’ perspective
6.1  長期融資
6.1.1  從投資者角度看項目評價
6.1.2  從貸款方角度看項目評價

6.2   Leasing
6.2.1   Leasing contracts

6.2  租賃
6.2.1  租賃合同

6.3   Short-term finance decisions
6.3.1   Short-term financing
6.3.2   Cash management
6.3.3   Short-term lending and borrowing
6.3  短期融資決策
6.3.1  短期融資
6.3.2  現金管理
6.3.3  短期借貸

7   The Organisation of Value Creation
7  價值創造組織

7.1   The history of corporate governance
7.1  公司治理的歷史

7.2   The four key players in corporate governance
7.2  公司治理中的四個關鍵角色

7.3   The current main topics of discussion
7.3.1   Management remuneration
7.3  當前主要議題討論
7.3.1  管理層報酬

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Equity Valuation and Analysis
股票估值與分析

Broad Learning Objectives
總體學習目標

The features of equity shares and markets should be well understood. The valuation techniques that are employed in equity markets receive a strong emphasis with coverage of dividend discount models, the free cash flow model, ratio based valuation models and other model types, such as economic value added; a strong and in depth knowledge of these techniques should be developed. The topic syllabus concludes with a consideration of equity market equilibrium and its practical applications.

熟知股票和股票市場的特征。特別強調在股票市場中應用的估值技術,包括股息折現模型、自由現金流模型、基于比率的估值模型和其他相關模型,如經濟增加值等?忌鷳由顚@些估值技術的理解。本章大綱還涉及到股票市場均衡及其實際應用的內容。

1   Equity Market and Structure
1  股票市場及其構成

1.1   Equity markets
1.1.1   Stock indices
1.1.2   Uses of stock indices
1.1.3   Number of stocks in an index
1.1.4   Index calculation method
1.1  股票市場
1.1.1  股票指數
1.1.2  股票指數的使用
1.1.3  股票指數的樣本股數量
1.1.4  股票指數的計算方法

1.2   Listing on a stock exchange
1.2  在證券交易所上市

1.3   Rights of shareholders
1.3  股東權利

1.4   Reporting requirements
1.4  報告要求

2   Valuation Methods
2  估值方法

2.1   History
2.1  歷史

2.2   Main valuation methods
2.2.1   Substantive or asset values
2.2.2   Relative evaluations: comparing ratios (earnings per share, price/book ratio, price/cash flow ratio, price/sales ratio, enterprise value ratios)
2.2.3   Specific case of start-up and cyclical companies
2.2.4   Returns or cash flow discounting
2.2  主要的估值方法
2.2.1  實體資產價值
2.2.2  相對價值度量:比較比率(市盈率、市凈率、價格/現金流比率、價格/銷售收入比率、公司價值比率)
2.2.3  新興企業和周期性企業的具體案例
2.2.4  回報或現金流貼現

2.3   DCF in practical detail
2.3.1   Long-term growth
2.3.2   Cost of capital
2.3.3   Structure of liabilities
2.3  貼現現金流的實務應用
2.3.1  長期增長
2.3.2  資本成本
2.3.3  負債結構

3   Equity Market Equilibrium
3  股票市場均衡

3.1   Fair value
3.1  公允價值

3.2   Long-term equilibrium
3.2  長期均衡

3.3   Short-term equilibrium
3.3.1   Justification for the short term
3.3.2   The rise of short-termism
3.3  短期均衡
3.3.1  短期的理由
3.3.2  短期主義的興起

4   Practical Application: Equity Market Equilibrium
4  實際應用:股票市場均衡

4.1   Short-term processing of information
4.1  信息的短期處理

4.2   Short-term valuation methods
4.2  短期估值方法

4.3   Calculating market equilibrium in the short term 
4.3  短期市場均衡的計算

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Economics
經濟學

Broad Learning Objectives
總體學習目標
The major concepts and variables that underpin macroeconomic analyses should be known and understood. The IS-LM model features in the syllabus and should be well understood due to its linking of the real and financial markets. Important macroeconomic phenomena such as economic output, inflation, growth, labour markets, monetary policy and business cycles should be all assessable in some detail, together with their various interrelationships. Knowledge of international macroeconomic material should be developed via the coverage of foreign exchange rates, interest rates and prices etc. and applications of this material to practical settings achievable. To facilitate a broad economic perspective and understanding, a number of the important macroeconomic issues are assessed within a simple economic modelling framework.

要知道和理解構成宏觀經濟基礎的主要概念和變量。因IS-LM模型連接金融市場和實體經濟,所以對在大綱中占有重要位置的IS-LM模型應深刻理解。能夠較詳細地分析重要的宏觀經濟現象如經濟產出、通貨膨脹、經濟增長、勞動力市場、貨幣政策和商業周期,以及他們之間多樣的相互關系。通過匯率、利率和價格,以及宏觀經濟資料在現實環境中的應用,加強對宏觀經濟的了解。同時為便于形成廣泛的經濟視角及深刻的理解層次,一些重要的宏觀經濟問題應在簡單的經濟模型框架內進行評估。

1   Concepts, Major Macroeconomic Variables and the IS-LM Model
1  宏觀經濟學主要概念和變量以及IS-LM模型

1.1   Major macroeconomic concepts and variables                  
1.1.1   National income accounting: GDP and GNP
1.1.2   Inflation
1.1.3   Interest rates
1.1  宏觀經濟學主要概念和變量                                
1.1.1  國民收入核算:GDP和GNP
1.1.2  通貨膨脹
1.1.3  利率

1.2   The basic model of the real market in a closed economy           
1.2.1   The determination of demand
1.2.2   Equilibrium in the real market: the IS relation
1.2  封閉經濟中實體市場的基本模型
1.2.1  需求決定
1.2.2  實體市場均衡:IS關系

1.3   The basic model of the financial market in a closed economy       
1.3.1   The demand for money
1.3.2   Equilibrium in the money market: the LM relation
1.3  封閉經濟中金融市場的基本模型
1.3.1  貨幣需求
1.3.2  貨幣市場均衡:LM關系

1.4   The IS-LM model                                      
1.4.1   Equilibrium in the real and financial markets
1.4.2   The effects of fiscal policy in a closed economy
1.4.3   The effects of monetary policy in a closed economy
1.4.4   Expected inflation and the IS-LM model
1.4  IS-LM模型
1.4.1  實體市場與金融市場均衡
1.4.2  封閉經濟中財政政策的效果
1.4.3  封閉經濟中貨幣政策的效果
1.4.4  預期通貨膨脹率和IS-LM模型

2   Economic Output and the Labour Market
2  經濟產出和勞動力市場

2.1   Production                                               
2.1  產出                                                  

2.2   The labour market                                         
2.2  勞動力市場                                              

2.3   General equilibrium in the real, financial and labour markets        
2.3.1   Aggregate supply
2.3.2   Aggregate demand
2.3.3   Equilibrium output in the short and the medium run
2.3.4   The dynamic effects of fiscal policy
2.3.5   The dynamic effects of monetary policy
2.3  實體市場、金融市場和勞動力市場的一般均衡             
2.3.1  總供給
2.3.2  總需求
2.3.3  短期產出和中期產出均衡
2.3.4  財政政策的動態效應
2.3.5  貨幣政策的動態效應

2.4   Monitoring the economy in the real world                     
2.4.1   Potential output, definition and estimation
2.4  監控現實世界中的經濟運行
2.4.1  潛在產出、定義和估計

3   The Link between Inflation and Unemployment, Economic Growth and Business Cycles
3  通貨膨脹率和失業率、經濟增長和經濟周期的關系 

3.1   Inflation versus unemployment: the great trade-off?               
3.1.1   Unemployment and inflation:  the Phillips curve
3.1.2   The modern version of the Phillips curve
3.1  通貨膨脹率與失業率:偉大的權衡?
3.1.1  失業率和通貨膨脹率:菲利普斯曲線
3.1.2  菲利普斯曲線的新發展

3.2   Economic growth                                           
3.2.1   Growth accounting
3.2.2   Capital accumulation and economic growth
3.2.3   Technological progress and economic growth
3.2  經濟增長                                                    
3.2.1  增長的核算
3.2.2  資本積累和經濟增長
3.2.3  技術進步和經濟增長

3.3     Business cycles                                             
3.3.1   The basics
3.3.2   The classical approach: theory of exogenous business cycles
3.3.3   The Keynesian approach: theory of endogenous business cycles     
3.3.4   Fiscal policy, monetary policy and the business cycle
3.3  經濟周期                                                   
3.3.1  基礎知識
3.3.2  古典模式:外生性經濟周期理論
3.3.3  凱恩斯模式:內生性經濟周期理論
3.3.4  財政政策、貨幣政策與經濟周期

3.4   Monitoring the economy in the real world                      
3.4.1   Business cycle: activity
3.4.2   Business cycle: inflation
3.4  監控現實世界中的經濟運行                                       
3.4.1  經濟周期:經濟活動
3.4.2  經濟周期:通貨膨脹

4   Balance of Payments, Exchange Rates, Prices and Interest Rates
4  國際收支、匯率、價格和利率

4.1   The balance of payments                                    
 4.1.1   The accounting system
 4.1.2   Domestic savings and the current account balance
4.1  國際收支                                                
4.1.1  核算系統
4.1.2  國內儲蓄和經常項目收支

4.2   The exchange rate                                         
4.2.1   Nominal and real exchange rate
4.2.2   Exchange rate regimes
4.2  匯率                                                    
4.2.1  名義匯率和實際匯率
4.2.2  匯率制度

4.3   Exchange rate, prices and interest rates                      
4.3.1   Purchasing power parity
4.3.2   Covered interest rate parity
4.3.3   Uncovered interest rate parity
4.3  匯率、價格和利率                                  
4.3.1  購買力平價
4.3.2  有套期保值的利率平價理論
4.3.3  無套期保值的利率平價理論

5   Economic Issues Explained with a Simple Model
5  使用簡單模型解釋經濟問題

5.1   The basic model of the real and financial markets in an open economy  
5.1.1   The determination of demand in the real market
5.1.2   Equilibrium in the real market: the IS relation in the open economy
5.1.3   Equilibrium in the financial market: the LM relation in the open economy
5.1.4   Equilibrium in an open economy:  the Mundell-Fleming model
5.1.5   The effects of policy in an open economy
5.1.6   Aggregate supply and demand in the open economy
5.1  開放經濟條件下實體市場和金融市場基本模型         
5.1.1  實體市場需求決定
5.1.2  實體市場均衡:開放經濟中IS曲線
5.1.3  金融市場均衡:開放經濟中LM曲線
5.1.4  開放經濟條件下一般均衡:蒙代爾-弗萊明模型
5.1.5  開放經濟條件下政策效應
5.1.6  開放經濟條件下總供給和總需求

5.2   Theories of exchange rate determination                       
5.2.1   Balance of payments approach
5.2.2   The asset approach
5.2.3   Exchange rate determination: empirical evidence
5.2  匯率決定理論                                    
5.2.1  國際收支法
5.2.2  資產法
5.2.3  匯率決定:實證檢驗

5.3   Statistical behaviour of the exchange rate                     
5.3  匯率的統計特性                                   

6   Monetary Policy
6  貨幣政策

6.1   Basic concepts of monetary theory                               
6.1.1   The definition of money
6.1.2   Money supply and the money multiplier
6.1  貨幣理論基本概念                                     
6.1.1  貨幣定義
6.1.2  貨幣供給與貨幣乘數

6.2   Monetary policy                                             
6.2.1   The implementation process of monetary policy
6.2.2   The instruments of monetary policy
6.2  貨幣政策                                                  
6.2.1  貨幣政策實施過程
6.2.2  貨幣政策工具

6.3   The transmission mechanism of monetary policy on the real economy   
 6.3.1   Interest rate channel
 6.3.2   Credit channel
 6.3.3   Exchange rate channel
6.3  貨幣政策對實體經濟的傳導機制
6.3.1  利率渠道
6.3.2  信貸渠道
6.3.3  匯率渠道

6.4   Central bank operations in major countries                
6.4  一些主要國家的中央銀行操作

 

 

 

 

 

 

 

 

 

 

 

 

Fixed Income Valuation and Analysis
固定收益證券估值與分析

Broad Learning Objectives
總體學習目標

The characteristics and features of fixed income securities, both plain vanilla and more complex, together with the associated interest rate and risk related measures that are used in fixed income markets should be known and how they are applied in practical settings understood. The important topics of credit risk and asset backed securities are covered in some detail within the module with the objective of providing a strong understanding of these phenomena. The various strategies that are available to the fixed income portfolio manager should also be understood and their application in practical settings known.

要了解簡單和復雜的固定收益證券各自的特點、固定收益證券市場中相關利率和風險的衡量,以及它們在實際環境中的應用。本模塊中詳細介紹了信用風險和資產支持證券的重要問題,目的是加深對這些現象的理解。要理解固定收益投資組合經理可用的各種策略,并且熟知它們在實際環境中的應用。

1   General Principles
1  基本屬性

1.1   The debt instrument concept                              
1.1.1   Economic role of bond issues
1.1.2   Bond issuers
1.1.3   Bond characteristics
1.1.4   Preferred stocks
1.1  債務工具概念                                            
1.1.1  發行債券的經濟作用
1.1.2  債券發行者
1.1.3  債券屬性
1.1.4  優先股

1.2   Time value of money                                       
1.2.1   Simple versus compound interest
1.2.2   Present and future value
1.2.3   Annuities
1.2.4   Continuous discounting and compounding
1.2.5   Bond valuation
1.2.6   Price/yield relationship
1.2  貨幣時間價值
1.2.1  單利和復利
1.2.2  現值與終值
1.2.3  年金
1.2.4  連續貼現與連續復利
1.2.5  債券估值
1.2.6  價格與收益率的關系

1.3   Bond yield measures                                     
1.3.1   Current yield
1.3.2   Yield to maturity
1.3.3   Yield to call
1.3.4   Other yields
1.3.5   Other basic concepts
1.3.6   Yield curves
1.3.7   Yield spread analysis
1.3  債券收益率指標                                          
1.3.1  當期收益率
1.3.2  到期收益率
1.3.3  持有至贖回日收益率
1.3.4  其他收益率
1.3.5  其他基本概念
1.3.6  收益曲線
1.3.7  利差分析

2   Interest Rates-Term Structures and Applications
2  利率期限結構及應用

2.1   Term structure of interest rates                               
2.1.1   Yield curves and shapes
2.1.2   Theories of term structures
2.1  利率期限結構                                    
2.1.1  收益曲線及其形態
2.1.2  利率期限結構理論

2.2   Risk measurement                                       
2.2.1   Risk measurement tools
2.2.2   Duration and modified duration
2.2.3   Convexity
2.2.4   Duration and convexity between coupon payment dates
2.2.5   Impact of coupon payments and time lapse on duration
2.2.6   Key rate duration
2.2.7   Portfolio duration, convexity and key rate duration
2.2  風險度量                                            
2.2.1  風險度量工具
2.2.2  久期與修正久期
2.2.3  凸性
2.2.4  在兩個付息日之間的久期和凸性
2.2.5  付息和時間流逝對久期的影響
2.2.6  關鍵利率久期
2.2.7  組合的久期、凸性和關鍵利率久期

2.3   Usage                                                   
2.3.1   Bond yield curves
2.3.2   Bond curves in market usage
2.3.3   Curve shapes and forward rates
2.3.4   Curves, economic activity and monetary policy
2.3.5   Portfolio valuation and mark-to-market with unobserved prices
2.3.6   Financial engineering
2.3.7   Risk management
2.3  應用                                                    
2.3.1  債券收益率曲線
2.3.2  債券曲線在市場中的應用
2.3.3  曲線形狀和遠期利率
2.3.4  收益率曲線、經濟活動和貨幣政策
2.3.5  組合估值和以不可觀察價格盯市
2.3.6  金融工程
2.3.7  風險管理

3   Hybrid Forms
3  混合證券

3.1   Bonds with warrants                                       
3.1.1   Investment characteristics
3.1.2   Valuation of warrants
3.1.3   Empirical studies and market
3.1.4   Exotic types of warrants
3.1  附認股權證的債券                                        
3.1.1  投資屬性
3.1.2  認股權證的價值
3.1.3  實證研究和市場
3.1.4  奇異權證

3.2   Convertible bonds                                       
3.2.1   Investment characteristics
3.2.2   Convertible bond features
3.2.3   Valuation of convertible bonds
3.2.4   Investment strategies
3.2.5   Risk management of convertible bonds
3.2.6   Empirical studies
3.2.7   Contingent convertibles
3.2  可轉換債券                                         
3.2.1  投資屬性
3.2.2  可轉換債券的特征
3.2.3  可轉換債券的價值
3.2.4  投資策略
3.2.5  可轉換債券的風險管理
3.2.6  實證研究
3.2.7  或有可轉換債券

3.3   Callable bonds                                           
3.3.1   Investment characteristics
3.3.2   Valuation and duration
3.3  可贖回債券                                              
3.3.1  投資屬性
3.3.2  估值與久期

3.4   Floating rate notes                                     
3.4.1   Investment characteristics and types
3.4.2   Yield measures for floating rate notes
3.4.3   Risk measures – interest rate versus credit duration
3.4.4   Complex FRN’s
3.4  浮動利率票據                                            
3.4.1  投資屬性及其分類
3.4.2  浮動利率票據的收益度量
3.4.3  風險度量-利率與信用期限
3.4.4  復雜的浮動利率票據

3.5   Inflation-linked bonds                                      
3.5.1   Real and break-even rates
3.5.2   Investment characteristics
3.5.3   Market situation
3.5  通脹掛鉤債券                                            
3.5.1  實際利率和盈虧平衡利率
3.5.2  投資屬性
3.5.3  市場環境

4   Credit Risk and Mortgage Securitisation
4  信用風險和按揭貸款證券化

4.1   Credit risk                                                  
4.1.1   Relevance of the corporate bond market
4.1.2   Fundamental credit analysis
4.1.3   Credit rating and rating agencies
4.1.4   Curves and credit
4.1  信用風險                                           
4.1.1  公司債券市場的相關性
4.1.2  基本信用分析
4.1.3  信用評級和評級機構
4.1.4  收益曲線與信用

4.2   Mortgage-backed securities                                   
4.2.1   Mortgage-backed bond market
4.2.2   Types of mortgages
4.2.3   Mortgage securitisation
4.2  按揭支持證券                                              
4.2.1  按揭支持債券市場
4.2.2  按揭貸款分類
4.2.3  按揭貸款證券化

5   Asset-Backed Securities
5  資產抵押債券

5.1   Structures                                                 
5.1  結構                                                    

5.2   Types of underlying assets                                     
5.2.1   Instalment contracts
5.2.2   Revolving lines of credit
5.2  基礎資產的類型                                             
5.2.1  分期付款合同
5.2.2  循環信用額度

5.3   Credit enhancement                                      
5.3.1   Excess spread
5.3.2   Subordination
5.3.3   Guaranty
5.3.4   Reserve fund
5.3.5   Recourse
5.3.6   Over-collateralisation
5.3  信用增級                                                   
5.3.1  超額利差
5.3.2  次級
5.3.3  擔保
5.3.4  準備金
5.3.5  追索權
5.3.6  超額抵押

5.4   Major risks of ABS                                       
5.4.1   Interest rate risks
5.4.2   Prepayment risks
5.4.3   Credit risk
5.4.4   Liquidity risk
5.4.5   Counterparty risks
5.4  資產抵押債券的主要風險                                     
5.4.1  利率風險
5.4.2  提前還款風險
5.4.3  信用風險
5.4.4  流動性風險
5.4.5  交易對手風險
 
5.5   Valuation methodologies                                       
5.5  估值方法                                                   

6   Fixed Income Portfolio Management Strategies
6  固定收益證券組合管理策略

6.1   Passive management                                    
6.1.1   Buy and hold
6.1.2   Indexation
6.1.3   Interest rate immunisation
6.1.4   Asset-liability management
6.1  消極管理                                         
6.1.1  買入并持有策略
6.1.2  指數化
6.1.3  利率免疫策略
6.1.4  資產負債管理
 
6.2   Active management                                     
6.2.1   Forecasting and portfolio construction
6.2.2   Active management in practice
6.2  積極管理                    
6.2.1  預測收益率和投資組合構造
6.2.2  積極管理策略實踐
 
6.3     Portfolio construction based on a factor model                     
6.3.1   Model specification
6.3.2   Interest rate anticipation strategies
6.3  基于因素模型構造的投資組合                                 
6.3.1  模型定義
6.3.2  基于利率預測的投資策略
 
6.4   Computing the hedge ratio: the modified duration method         
6.4.1   Hedging strategies using longer bond futures
6.4  計算套期比率:修正久期法                                   
6.4.1  采用較長期債券期貨的套期保值策略

 

 

 

 

 

 

 

 

 

 

 

Derivative Valuation and Analysis
衍生產品估值與分析

Broad Learning Objectives
總體學習目標

The basic characteristics and types of futures and options (including exotic options) should be understood, together with various important features associated with these instruments, such as valuation and pricing, risk management and other investment strategies. The option sensitivities (the “Greeks”) such as delta, gamma etc., together with volatility related issues should also be fully understood and capable of being applied to various investment problems. Swaps and credit derivatives should be similarly understood, with the material on credit derivatives reflecting their growing importance and impacts in recent times.
 
應理解期貨和期權(包括奇異期權)的基本特征和類型,同時也應掌握這些金融工具的各種重要特征,例如:估值和定價、風險控制和其他投資策略。應充分理解期權價格敏感度(希臘字母)例如:德爾塔、伽馬等,和相關的波動性問題,并且能夠將它們應用于各種投資問題中。應同等理解互換和信用衍生品,以及反映信用衍生品近年來不斷增長的重要性和影響的有關資料。

1    Futures
1  期貨

1.1   Characteristics of forward and futures contracts                 
1.1  遠期與期貨合約的特征

1.2   Mechanics of trading in futures markets                     
1.2.1   Long and short positions
1.2.2   Profit and loss at expiration
1.2.3   Closing of positions
1.2.4   Delivery procedures
1.2.5   The marking to market of futures contracts
1.2.6   The leverage effect
1.2.7   Futures quotes
1.2.8   World major futures markets
1.2  期貨市場的交易機制
1.2.1  多頭頭寸與空頭頭寸
1.2.2  到期時的收益與損失
1.2.3  平倉
1.2.4  交割程序
1.2.5  期貨合約的盯市
1.2.6  杠桿作用
1.2.7  期貨報價
1.2.8  世界主要期貨市場

1.3   Various futures contracts                                   
1.3.1   Single stock futures
1.3.2   Stock index futures
1.3.3   Bond futures
1.3.4   Short term interest rate futures (STIR)
1.3.5   Foreign exchange futures
1.3.6   Commodity futures
1.3  各種期貨合約
1.3.1  單支股票期貨
1.3.2  股指期貨
1.3.3  債券期貨
1.3.4  短期利率期貨
1.3.5  外匯期貨
1.3.6  商品期貨

1.4   Futures valuation and analysis                              
1.4.1   Factors determining a contract price
1.4.2   Theoretical price of futures
1.4.3   Pricing of stock index futures
1.4.4   Pricing of interest rate futures
1.4.5   Pricing of foreign exchange futures
1.4.6   Pricing of commodity futures
1.4.7   Basis and factors causing change
1.4.8   Arbitrage problems
1.4  期貨估值與分析      
1.4.1  決定期貨合約價格的因素
1.4.2  期貨的理論價格
1.4.3  股票指數期貨的定價
1.4.4  利率期貨的定價
1.4.5  外匯期貨的定價
1.4.6  商品期貨的定價
1.4.7  基差與導致基差變動的因素
1.4.8  套利問題

1.5   Hedging strategies using futures                           
1.5.1   The hedge ratio
1.5.2   The perfect hedge
1.5.3   Basis risk and correlation risk
1.5.4   The minimum variance hedge ratio
1.5.5   Hedging with several futures contracts
1.5  運用期貨的套期保值策略               
1.5.1  套期保值比率
1.5.2  完全套期保值
1.5.3  基差風險和相關性風險
1.5.4  最小方差套期保值比率
1.5.5  多個期貨合約的套期保值

2   Options
2  期權

2.1   Characteristics of option contracts                          
2.1.1   Equity options
2.1.2   Equity index options
2.1.3   Options on futures
2.1.4   Foreign exchange options
2.1.5   Caps, floors, collars
2.1  期權合約的特征          
2.1.1  股票期權
2.1.2  股指期權
2.1.3  期貨期權
2.1.4  外匯期權
2.1.5  利率上限、利率下限、利率雙限

2.2   Option valuation                                          
2.2.1   Determinants of option price
2.2.2   Value of a stock and of a bond “at expiration”
2.2.3   Value of a call option at expiration
2.2.4   Value of a put option at expiration
2.2.5   General arbitrage relationships and option prices
2.2.6   The put-call parity theorem
2.2  期權估值                  
2.2.1  期權價格的決定因素
2.2.2  “到期時”股票價值和債券價值
2.2.3  到期時買入期權的價值
2.2.4  到期時賣出期權的價值
2.2.5  一般的套利關系和期權價格
2.2.6  賣出-買入期權平價理論

2.3   Option pricing models                                      
2.3.1   Black & Scholes option pricing formula
2.3.2   European options on stocks paying known dividends
2.3.3   European options on stocks paying unknown dividends
2.3.4   American options on stocks paying known dividends
2.3.5   Options on stock indices
2.3.6   Options on futures
2.3.7   Options on currencies
2.3.8   Warrants
2.3  期權定價模型          
2.3.1  B&S期權定價公式
2.3.2  支付已知紅利的標的股票的歐式期權
2.3.3  支付未知紅利的標的股票的歐式期權
2.3.4  支付已知紅利的標的股票的美式期權
2.3.5  股票指數期權
2.3.6  期貨期權
2.3.7  外匯期權
2.3.8  認股權證

2.4   Binomial option pricing model                            
2.4.1   European call with a single period remaining until expiration
2.4.2   European call more than one period to remain until expiration
2.4.3   European put
2.4.4   American puts and calls
2.4.5   Limiting results of the binomial model
2.4  二叉樹期權定價模型           
2.4.1  距離到期日只有一期的歐式買入期權
2.4.2  距離到期日多于一期的歐式買入期權
2.4.3  歐式賣出期權
2.4.4  美式賣出期權和買入期權
2.4.5  二叉樹模型的極限情況

2.5   Sensitivity analysis of options premiums                         
2.5.1   Delta
2.5.2   Gamma
2.5.3   Lambda/Omega
2.5.4   The time to maturity and theta
2.5.5   The interest rate and rho
2.5.6   The volatility of the stock returns and vega
2.5  期權價格的敏感性分析               
2.5.1  德爾塔
2.5.2  伽馬
2.5.3  拉姆達/歐米伽
2.5.4  距到期的時間和西塔
2.5.5  利率和柔
2.5.6  股票收益率的波動率和維伽

2.6   Volatility and related topics                                   
2.6.1   Estimating volatility from historical data
2.6.2   Implied volatility and volatility smile
2.6  波動率及相關問題
2.6.1  從歷史數據中估計波動率
2.6.2  隱含波動率和波動率微笑

2.7   Exotic options                                             
2.7.1   Path independent
2.7.2   Path dependent
2.7.3   Pricing exotic options with numerical methods
2.7  奇異期權         
2.7.1  路徑獨立期權
2.7.2  路徑依賴期權
2.7.3  運用數值方法對奇異期權定價

2.8   Options strategies                                         
2.8.1   Spreads
2.8.2   Strangles
2.8.3   Straddles
2.8  期權策略             
2.8.1  差價期權
2.8.2  寬跨式期權
2.8.3  跨式期權

3   Swaps and Credit derivatives
3  互換與信用衍生品

3.1   Swaps                                                     
3.1.1   Definition and characteristics
3.1.2   Strategies using swaps
3.1.3   Pricing and valuing swaps
3.1.4   Other types of swaps
3.1  互換                       
3.1.1  互換的定義和特征
3.1.2  互換運用策略
3.1.3  互換的定價與價值
3.1.4  其他類型的互換

3.2   Credit derivatives: market, instruments and general characteristics     
3.2.1   Market of credit derivatives
3.2.2   Credit default swaps (CDS)
3.2.3   Credit linked notes (CLN)
3.2.4   Other credit default swap products
3.2.5   The role of credit derivatives
3.2.6   Market participants
3.2.7   Institutional framework
3.2.8   Spread volatility of credit default swaps
3.2.9   Credit derivatives: valuation of credit default swaps
3.2  信用衍生品:市場、工具和一般特征                        
3.2.1  信用衍生品市場
3.2.2  信用違約互換(CDS)
3.2.3  信用聯結票據
3.2.4  其他信用違約互換產品
3.2.5  信用衍生品的作用
3.2.6  市場參與者
3.2.7  制度框架
3.2.8  信用違約互換的利差波動
3.2.9  信用衍生品:信用違約互換的估值

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio Management
投資組合管理

Broad Learning Objectives
總體學習目標

An understanding of the important building blocks associated with portfolio management, such as the risk/return relationship, diversification, pricing models, market efficiency and risk measures should be obtained. The various features of investment strategies (including international assets) and hedging strategies (including dynamic and insurance strategies) and Asset-Liability Management should be understood together with their applications. An understanding of the importance and features of performance measurement and evaluation, together with the choice of investment manager, should be developed, together with a knowledge of the features and benefits associated with the alternative investment asset class.

理解投資組合管理涵蓋的重要知識點,如風險/收益關系、多樣化投資、定價模型、市場有效性和風險度量。同時理解不同投資策略(包括國際投資組合)、套期保值策略(包括動態策略和保險策略)和資產/負債管理的不同特征及應用。應該理解績效度量和評估的重要性及特征,掌握恰當挑選投資經理的能力,并了解與另類資產相關的特征和收益。

1   Modern Portfolio Theory
1  現代投資組合理論

1.1   The risk / return framework  
1.1.1   Return and measures of return
1.1.2   Risk
1.1  風險/收益框架         
1.1.1  收益和收益的度量
1.1.2  風險
 
1.2   Portfolio theory        
1.2.1   Diversification and portfolio risk
1.2.2   Markowitz model and efficient frontier
1.2  投資組合理論            
1.2.1  多樣化和投資組合風險
1.2.2  馬柯威茨(MARKOWITZ)模型和有效邊界

1.3   Capital Asset Pricing Model (CAPM) 
1.3.1   Major assumptions
1.3.2   Capital market line (CML)
1.3.3   Security market line (SML)
1.3.4   The zero-beta CAPM
1.3  資本資產定價模型(CAPM)               
1.3.1  主要假設
 1.3.2  資本市場線(CML)
 1.3.3  證券市場線(SML)
 1.3.4  零貝塔資本資產定價模型

1.4   Index and market models 
1.4.1   The single-index model and its hypothesis
1.4.2   Decomposing variance into systematic and diversifiable risk
1.4.3   The link with the CAPM
1.4.4   Applications of the market model
1.4.5   Multi-index models
1.4  指數模型和市場模型            
1.4.1  單指數模型及其假設
1.4.2  將方差分解為系統性風險和可分散風險
1.4.3  與CAPM的關系
1.4.4  市場模型的應用
1.4.5  多指數模型

1.5   Efficient Markets
1.5.1   Information efficient markets
1.5.2   Efficient market hypothesis
1.5.3   Are markets efficient?
1.5.4   Market efficiency and investment policy
1.5.5   Lessons from market efficiency
1.5  有效市場           
1.5.1  信息有效市場
1.5.2  有效市場假說
 1.5.3  市場是有效的嗎?
 1.5.4  市場效率與投資政策
1.5.5  市場效率性的啟示

1.6   Arbitrage Pricing Theory (APT) 
1.6.1   Assumptions underlying the APT
1.6.2   The APT and its derivation
1.6.3   The link between the APT and the CAPM
1.6.4   Empirical tests of the APT
1.6.5   Pre-specifying factors
1.6.6   Applications of the APT
1.6  套利定價模型               
1.6.1  APT的假設
1.6.2  APT及其推導
1.6.3  APT與CAPM之間的聯系
1.6.4  APT的實證檢驗
1.6.5  預先指定因素
  1.6.6  APT的一些應用

2   Investment Strategies
2  投資策略

2.1   Investment policy
2.1.1   Individual investors
2.1.2   Institutional investors
2.1  投資政策            
2.1.1  個人投資者
2.1.2  機構投資者

2.2   Asset allocation
2.2.1   Asset allocation overview
2.2.2   Types of asset allocations
2.2  資產配置           
2.2.1  資產配置概述
2.2.2  資產配置的類型

3   Hedging Strategies
3  套期保值策略

3.1   Combining options and traditional assets  
3.1.1   Covered call strategy
3.1.2   Enhanced indexing
3.1.3   130/30 funds
3.1.4   Using interest rates OTC products
3.1  期權結合傳統資產                
3.1.1  拋補看漲期權策略
3.1.2  加強指數法
3.1.3  130/30基金
3.1.4  利用利率的場外產品

3.2   Portfolio insurance 
3.2.1   Stop-loss approach
3.2.2   Static portfolio insurance
3.2.3   Dynamic portfolio insurance
3.2.4   Constant proportion portfolio insurance
3.2  投資組合保險             
3.2.1  止損方法
3.2.2  靜態投資組合保險
3.2.3  動態投資組合保險
3.2.4  固定比例投資組合保險

3.3   Hedging with stock index futures 
3.3.1   Long hedge
3.3.2   Short hedge
3.3.3   A complete hedging analysis
3.3.4   Adjusting the beta of a stock portfolio
3.3  股指套期保值            
3.3.1  多頭套期保值策略
3.3.2  空頭套期保值策略
3.3.3  套期保值的完整分析
3.3.4  調整股票組合的貝塔值

3.4   Hedging with foreign exchange futures 
3.4.1   Hedging against a rise of the foreign currency
3.4.2   Hedging against a drop of the foreign currency
3.4.3   Hedging with cross-currency rates
3.4  利用外匯期貨合約進行套期保值             
3.4.1  對外幣升值的套期保值
3.4.2  對外幣貶值的套期保值
3.4.3  使用交叉匯率進行套期保值
 
3.5   Hedging with interest rate futures 
3.5.1   Hedging using short term interest rate futures 
3.5.2   Hedging using long term interest rate futures 
3.5.3   Hedging against decreasing rates (long hedge) 
3.5.4   Hedging against increasing rates (short hedge) 
  3.5.5   Moving to a preferred duration
3.5  利用利率期貨合約進行套期保值       
3.5.1  利用短期利率期貨進行套期保值
3.5.2  利用長期利率期貨進行套期保值
3.5.3 對沖下降利率(多頭套期保值)
3.5.4  對沖上升利率(空頭套期保值)
3.5.5  移向最佳久期

3.6   Use of swaps in portfolio management
3.6  互換在投資組合管理中的應用       

3.7   Asset allocation with futures 
3.7  利用期貨進行資產配置         

4   Asset / Liability Management
4  資產/負債--分析及管理

4.1   Introduction to ALM 
  4.1.1   Background of ALM
  4.1.2   ALM with pension funds
  4.1.3   Types of ALM models
4.1  導言                 
4.1.1  資產/負債管理(ALM)的背景
4.1.2  養老基金的ALM
4.1.3  ALM模型的類型

4.2   Modelling liabilities
  4.2.1   Types of liabilities
  4.2.2   Valuation of pension liabilities
  4.2.3   Annuity factors and discount rates
4.2  負債建模               
4.2.1  債務類型
4.2.2  養老基金負債的估值
4.2.3  年金因子和貼現率

4.3   Modelling assets  
  4.3.1   Types of asset classes
  4.3.2   Risk and return characteristics
4.3  資產建模               
4.3.1  資產類別
4.3.2  風險和收益的特征

4.4   Surplus and funding ratios  
4.4  盈余和融資比率

4.5   Integrated optimisation 
  4.5.1   Target functions and tradeoffs
  4.5.2   Surplus risk management
  4.5.3   Pension fund management
4.5  綜合優化               
4.5.1  目標函數及權衡
4.5.2  盈余風險管理
4.5.3  養老金管理

4.6   Implementation of strategies 
  4.6.1   Stochastic simulations
  4.6.2   Active versus passive ALM strategies
  4.6.3   Dynamic adjustment of assets and liabilities
4.6  戰略的實施              
4.6.1  隨機模擬
4.6.2  積極的與消極的ALM策略
4.6.3  資產和負債的動態調整

5   International Investments and Value at Risk
5  國際投資和在險價值

5.1   International investments 
  5.1.1   International diversification
  5.1.2   Hedging foreign exchange risk
  5.1.3   International equities
  5.1.4   International fixed income
  5.1.5   Managing a portfolio of international assets
5.1  國際投資               
5.1.1  國際風險分散
5.1.2  外匯風險套期保值
5.1.3  國際股票
5.1.4  國際固定收益
5.1.5  管理國際投資組合

5.2   Value at Risk (VaR)  
  5.2.1   Definition
  5.2.2   Interpretation of value at risk
  5.2.3   Calculation of value at risk
  5.2.4   Dangers and pitfalls
5.2  在險價值         
5.2.1  定義
5.2.2  在險價值的解釋
5.2.2  在險價值的計算
5.2.4  危險與缺陷
6   Performance Measurement and Evaluation
6  績效度量與評價

6.1   Performance measurement   
6.1.1   Return measurement
6.1.2   Benchmarks
6.1.3   Risk measurement
6.1  風險--收益度量             
6.1.1  確定和度量收益
6.1.2  收益度量標準
6.1.3  確定和度量風險

6.2   Performance attribution 
  6.2.1   Return attribution 
  6.2.2   Risk attribution
6.2  績效歸因分析             
6.2.1  收益歸因分析
6.2.2  風險歸因分析

6.3   Performance presentation
  6.3.1   Types of performance presentation 
  6.3.2   Best practice for performance presentation
6.3  績效報告              
6.3.1  績效報告形式
6.3.2  最優績效報告實踐

6.4   Investment controlling  
  6.4.1   Definition and outline of investment controlling 
6.4.2   Generic performance evaluation process 
  6.4.3   Pitfalls in performance evaluation
6.4  投資控制               
6.4.1  投資控制的定義和綱要 
6.4.2  通用的績效評估過程 
6.4.3  績效評估的缺陷
7   Choice of the Investment Manager
7  挑選投資經理

7.1   Choice of the investment manager 
7.1.1   Assessing and choosing managers 
7.1.2   Style analysis 
7.1.3   Means of style analysis 
7.1.4   Style analysis: application to different asset classes 
7.1.5   Risks, controls and prudential issues: organisational issues 
7.1.6   Risks, controls and prudential issues: fee structures
7.1  挑選投資經理               
7.1.1  評估和挑選投資經理
7.1.2  風格分析 
7.1.3  風格分析的方法 
7.1.4  風格分析:不同資產類型的運用
 7.1.5  風險、控制與謹慎問題:組織結構問題 
 7.1.6  風險、控制與謹慎問題:費用結構

8   Equity Management
8  股票管理

8.1   Principles of equity management 
8.1.1   Risk in operational terms 
8.1.2   Risk control 
8.1.3   Active and passive management
8.1  股票管理原則                
8.1.1  操作性風險 
8.1.2  風險控制 
8.1.3  積極和消極管理

8.2   Managing an equity portfolio 
8.2.1   Active management 
8.2.2   Passive management
8.2  股票組合管理              
8.2.1  積極型管理 
8.2.2  消極型管理

9   Alternative Investments
9  另類投資

9.1   Managing a property portfolio  
9.1.1   Real estate indices 
9.1.2   Return and risk of real estate 
9.1.3   Correlation between the returns on various asset classes 
9.1.4   Determining the share of real estate in optimal portfolios
9.1  房地產組合管理          
9.1.1  房地產指數 
9.1.2  房地產的收益與風險 
9.1.3  各類資產收益之間的相關性 
 9.1.4  在最優組合中確定房地產投資的份額

9.2   Alternative assets / private capital  
9.2.1   Unlisted non-property securities and private capital 
9.2.2   Hedge funds
9.2  另類資產/私人資本      
9.2.1  未上市的非房地產證券及私人資本  
9.2.2  對沖基金
 

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