金融机构风险管理练习题.doc

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1、Chapter6&7test1Therepricinggapmodelisabookvalueaccountingbasedmodel.2Apositiverepricinggapimpliesthatadecreaseininterestrateswillcauseinterestexpensetodecreasemorethanthedecreaseininterestincome.3Whenabankasrepricinggapispositive,netinterestincomeispositivelyrelatedtochangesininterest

2、rates.4Abankwithanegativerepricing(orfunding)gapfacesreinvestmentrisk.5Theeconomicmeaningofdurationistheinterestelasticityofafinancialassetsprice.6Durationconsidersthetimingofallthecashflowsofanassetbysummingtheproductofthecashflowsandthetimeofoccurrence.7Durationisequaltomaturitywhen

3、atleastsomeofthecashflowsarereceiveduponmaturityoftheasset.8DurationofazerocouponbondisequaltotheboncTsmaturity.9Asinterestratesrise,thedurationofaconsolbonddecreases.10Foragivenmaturityfixed-incomeasset,durationdecreasesasthemarketyieldincreases.Multiple-Choice1Therepricinggapapproac

4、hcalculatesthegapsineachmaturitybucketbysubtractingthea.currentassetsfromthecurrentliabilities.b.longtermliabilitiesfromthefixedassets.c.ratesensitiveassetsfromthetotalassets.d.ratesensitiveliabilitiesfromtheratesensitiveassets.e.currentliabilitiesfromtangibleassets.2Apositivegapimpli

5、esthatanincreaseininterestrateswillcauseinnetinterestincome.a.nochangeb.adecreasec.anincreased.anunpredictablechangee.EitherAorB.3Ifinterestratesdecrease50basispointsforanFIthathasagapof+$5million,theexpectedchangeinnetinterestincomeis“・+$2,500.b.+$25,000.c.+$250,000.d.・$250,000.e.-$2

6、5,000.4Thedurationofaconsolbondislessthanitsmaturity.b.infinity.c.30years.d.morethanitsmaturity.e.givenbytheformulaD=1/1-R.1AnFIhasfinancialassetsof$800andequityof$50.Ifthedurationofassetsis1.21yearsandthedurationofallliabilitiesis0.25years,whatistheleverage-adjusteddurationgap?a.0.90

7、00years.b.0.9600years.c.0.9756years.d.0.8844years.e.Cannotbedetermined.2Calculatethedurationofatwo・yearcorporatebondpaying6percentinterestannually,sellingatpanPrincipalof$20,000,000isdueattheendoftwoyears.a.2years.b.1.91years.c.1.94years.d.1.49years.e.1.75years.3A$1,000six・yearEurobon

8、dhasa