Financial Institutions Management A Risk Management Approach 5E - CDN - Saunders - TBCH24

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1、CH24Student:___________________________________________________________________________1.Theextremegrowthoftheswapmarkethasraisedconcernaboutthecreditriskexposuresofbanksengaginginthismarket.  True    False 2.Thelargestsegmentoftheglobalswapmarketisthe

2、currencyswapmarket.  True    False 3.Aninterestrateswapisessentiallyaseriesofforwardcontractsoninterestrates.  True    False 4.Inaconventionalinterestrateswapagreement,theswapbuyeragreestomakeanumberoffixedinterestratepaymentstotheswapseller.  True    

3、False 5.Swaptransactionsarehomogeneousinnaturesothatthecontractscanbeeasilytradedinthesecondarymarketforswaps.  True    False 6.Inaconventionalinterestrateswapagreement,thefixed-ratepayerisattemptingtotransformthevariable-ratenatureofitsliabilitiesinto

4、fixed-rateliabilities.  True    False 7.Aplainvanillafixed-floatinginterestrateswapmayinvolveathirdpartythatactsasabroker,butisnotlikelytohaveanysophisticatedspecialfeatures.  True    False 8.Swapsgenerallyhaveashortermaturitythanotherderivativeinstrum

5、ents.  True    False 9.Bothpartiesinaninterestrateswapnormallyarefullyhedgedagainstinterestrateriskonthenotionalamountoftheswap.  True    False 10.Onereasonforbasisriskinaninterestrateswapisthatchangesintheindexonthevariablerateportionoftheswapmaynotbe

6、perfectlycorrelatedwithchangesintheindexonthebalancesheetportionoftheliabilities.  True    False 11.Thepartyinaswapthatreceivesfixed-ratepaymentswillalwayshavezerobasisrisksincethefixed-rateswappaymentscanbestructuredtocoverthefixed-rateliabilitypaymen

7、ts.  True    False 12.Thebuyerofaninterestrateswapislikelytohaveanegativedurationgapthattheywouldliketoreduce.  True    False 13.Whetherfixed-rateorfloating-rate,aswaparrangementcanbedesignedtobeequivalenttoasimilarmaturitybond.  True    False 14.Prici

8、ngafixed-floatingrateswapagreementtomeetno-arbitrageconditionsrequiresthattheexpectedpresentvalueofthecashflowpaymentsmadebythefixed-ratesellershouldequaltheexpectedvalueofthecashflowpaymentsmadebythevariable-ratebuyer.  True    False 1