CMA考试新考纲官方-parttwo2.ppt

文档介绍：CMA考试新考纲官方-parttwo2
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投资组合的风险和回报
Risk and Return in a Portfolio Context
投资组合的风险
协方差 – lternative to CAPM
套利定价理论
法玛-弗伦奇三因素模型
Arbitrage Pricing Theory (APT)
Fama French Three-Factor Model
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第二节：管理财务风险
Topic 2: Managing Financial Risk
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经营风险 Business Risk
经营风险 – 融资决策前其经营中的固有风险，可保风险
营运杠杆系数
营运杠杆系数 – 营运收入变化的百分比除以销售变化的百分比
DOL = 边际贡献/营业收益，案例，672页
Business risk – inherent with a firm’s operating before the financing decision, insurable risk
Degree of Operating Leverage
Degree of operating leverage – percentage change in operating income give a percentage change in sales
DOL = Contribution Margin/Operation Income, for example, page 113
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财务风险 Financial Risk
财务风险 – 债务融资和优先股融资相关的风险
财务杠杆系数
财务杠杆系数 – EPS变动百分比除以营业收益变动百分比
DFL = 营运收益
营运收益-利息-优先股股利/(1-税）
Financial Risk – associated with using debt and/or preferred stock financing
Degree of Financial Leverage
Degree of financial leverage – percent change in EPS given a percent change in operating income
DFL = Operating Income
operating income – interest – preferred stock dividend/(1-tax)
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财务风险 Financial Risk
财务杠杆系数
总杠杆系数 = DOL×DFL
DTL = 边际贡献
营运收益-利息-优先股股利/(1-税）
Degree of Financial Leverage
Degree of total leverage = DOL × DFL
DTL = Contribution Margin
operating income – interest – preferred stock dividend/(1-tax)
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管理财务风险 Managing Financial Risk
套期保值，套利，期限匹配和投机
套期保值 – 降低价格、利率或汇率不利波动的风险敞口的方法
套利 – 在一个市场买入一个投资工具，同时在另一市场卖出
Hedging, Arbitrage, Maturity Matching, Speculation
Hedging – reducing exposure to adverse fluctuations in price, interest rate or foreign exchange rate
Arbitrage – simultaneous purchase of an investment instrument in one market and the sales in another
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管理财务风险 Managin