金融机构风险管理练习题1.doc

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1、1.Whatistheprocessofassettransformationperformedbyafinancialinstitution?Whydoesthisprocessoftenleadtothecreationofinterestraterisk?Whatisinterestraterisk?AssettransformationbyanFIinvolvespurchasingprimaryassetsandissuingsecondaryassetsasasourceoffunds.Theprim

2、arysecuritiespurchasedbytheFIoftenhavematurityandliquiditycharacteristicsthataredifferentfromthesecondarysecuritiesissuedbytheFI.Forexample,abankbuysmedium-tobng-termbondsandmakesmedium-termloansw让hfundsraisedbyissuingshorttermdeposits.Interestrateriskoccursb

3、ecausethepricesandreinvestmentincomecharacteristicsoflong-termassetsreactdifferentlytochangesinmarketinterestratesthanthepricesandinterestexpensecharacteristicsofshorttermdeposits.InterestrateriskistheriskincurredbyanFIwhenthematuritiesofitsassetsandliabiliti

4、esaremismatched2.Thesalesliteratureofamutualfundclaimsthatthefundhasnoriskexposuresinceitinvestsexclusivelyinfederalgovernmentsecuritiesthatarefreeofdefaultrisk.Isthisclaimtrue?Explainwhyorwhynot.Althoughthefundfsassetportfolioiscomprisedofsecuritieswithnodef

5、aultrisk,thesecuritiesarcexposedtointerestraterisk.Forexample,ifinterestratesincrease,themarketvalueofthefunefsTreasurysecurityportfoliowilldecrease・Further,ifinterestratesdecrease,therealizedyieldonthesesecuritieswillbelessthantheexpectedrateofreturnbecauseo

6、freinvestmentrisk.Ineithercase,investorswholiquidatetheirpositionsinthefundmaysellataNetAssetValue(NAV)thatislowerthanthepurchaseprice.3.Whatismarketrisk?Howdotheresultsofthisrisksurfaceintheoperatingperformaneeoffinancialinstitutions?WhatactionscanbetakenbyF

7、lmanagementtominimizetheeffectsofthisrisk?MarketriskistheriskincurredfromassetsandliabilitiesinanFl'stradingbookduetochangesininterestrates,exchangerates,andotherprices・Marketriskaffectsanyfirmthattradesassetsandliabilities.Theriskcansurfacebecauseofchangesin

8、interestrates,exchangerates,oranyotherpricesoffinancialassetsthataretradedratherthanheldonthebalaneesheet.Marketriskcanbeminimizedbyusingappropriatehedgingtechniquessuchasfutures,options,