商业银行管理 ROSE 7e 课后答案chapter_07.doc

《商业银行管理 ROSE 7e 课后答案chapter_07.doc》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、CHAPTER7ASSET-LIABILITYMANAGEMENT:DETERMININGANDMEASURINGINTERESTRATESANDCONTROLLINGINTEREST-SENSITIVEANDDURATIONGAPSGoalsofThisChapter:Thepurposeofthischapteristoexploretheoptionsbankershavetodayfordealingwithrisk–especiallytheriskoflossduetochanginginterestrates–andtoseehowabank’sm

2、anagementcancoordinatethemanagementofitsassetswiththemanagementofitsliabilitiesinordertoachievetheinstitution’sgoals.KeyTopicInThisChapter·Asset,Liability,andFundsManagement·MarketRatesandInterestRateRisk·TheGoalsofInterestRateHedging·InterestSensitiveGapManagement·DurationGapManagem

3、ent·LimitationsofHedgingTechniquesChapterOutlineI.Introduction:TheNecessityforCoordinatingBankAssetandLiabilityManagementDecisionsII.Asset/LiabilityManagementStrategiesA.AssetManagementStrategyB.LiabilityManagementStrategyC.FundsManagementStrategyIII.InterestRateRisk:OneoftheGreatest

4、Asset-LiabilityManagementStrategyChallengesA.ForcesDeterminingInterestRatesB.TheMeasurementofInterestRates1.YieldtoMaturity2.BankDiscountRateC.TheComponentsofInterestRates1.RiskPremiums2.YieldCurves3.TheMaturityGapandtheYieldCurveD.ResponsetoInterestRateRiskIV.OneoftheGoalsofInterest

5、-RateHedgingA.TheNetInterestMarginB.Interest-SensitiveGapManagement1.Asset-SensitivePosition2.Liability-SensitivePosition1043.DollarInterest-SensitiveGap4.RelativeInterestSensitiveGap5.InterestSensitivityRatio6.Computer-BasedTechniques7.CumulativeGap8.StrategiesinGapManagementC.Durat

6、ionGapManagementV.TheConceptofDurationA.DefinitionofDurationB.CalculationofDurationC.NetWorthandDurationD.PriceRiskandDurationE.ConvexityandDurationVI.UsingDurationtoHedgeAgainstInterest-RateRiskA.DurationGap1.DollarWeightedDurationofAssets2.DollarWeightedDurationofLiabilities3.Posit

7、iveDurationGap4.NegativeDurationGapB.ChangeintheBank’sNetWorthVII.TheLimitationsofDurationGapManagementVIII.SummaryoftheChapterConceptChecks7-1.Whatdothefollowingtermsmean:Assetmanagement?Liabilitymanagement?Fundsmanagement?Assetmanagementreferstoabankingstrategywheremanagementhascon

8、troloverthea