Financial Institutions Management A Risk Management Approach 5E - CDN - Saunders - TBCH11

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1、CH11Student:___________________________________________________________________________1.Theconcentrationlimitmethodofmanagingcreditriskconcentrationinvolvesestimatingtheminimumloanamounttoasinglecustomerasapercentofcapital.  True    False 2.Concentrationlimitsare

2、usedtoeitherreduceorincreaseexposuretospecificindustries.  True    False 3.ThesimplemodelofmigrationanalysistracksthecreditratingsofcompaniesthathaveborrowedfromtheFI.  True    False 4.MigrationanalysisisnotappropriateforanFItouseintheanalysisofcreditriskofconsume

3、rloansandcreditcardportfolios.  True    False 5.Inthepast,dataavailabilitylimitedtheuseofsophisticatedportfoliomodelstosetconcentrationlimits.  True    False 6.Intheuseofmodernportfoliotheory(MPT),thesumofthecreditrisksofloansunderestimatestheriskofthewholeportfol

4、io.  True    False 7.Theexpectedreturnofaportfolioofloansisequaltotheweightedaverageoftheexpectedreturnsoftheindividualloans.  True    False 8.Thevarianceofreturnsofaportfolioofloansnormallyisequaltothearithmeticaverageofthevarianceofreturnsoftheindividualloans.  

5、True    False 9.Portfolioriskcanbereducedthroughdiversificationonlyifthereturnsoftheloansintheportfolioarenegativelycorrelated.  True    False 10.OneadvantageofportfoliodiversificationmethodsisthattheyareapplicabletoallFIs,regardlessoftheirsize.  True    False 11.

6、Adisadvantagetomodernportfoliotheory(MPT)isthatsmallinstitutionsgenerallyholdsignificantamountsofregionallyspecificandilliquidloans.  True    False 12.Mostportfoliomanagerswillacceptsomelevelofriskabovetheminimumriskportfolioiftheyexpecttoreceivehigherreturns.  Tr

7、ue    False 13.CommercialbankcallreportsareprovidedbybankstotheU.S.FederalReserveandareusefulindeterminingtheproportionofloansindifferentclassificationsfortheentireU.S.bankingsystem.  True    False 14.ComparingtheloanmixofanindividualFItoanationalbenchmarkloanmixi

8、susefulindeterminingtheextentthattheindividualFImaydifferfromanefficientportfoliocomposition.  True    False 15.Bankswhoseloanportfoliocompositiondeviat