商业银行管理 ROSE 7e 课后答案chapter_07

第7章asset-liability management : determining and measureing interest rates and controlling interest-sensitive and duration gapsgoals of this chapter : the purpose of this chapter is to explore the options bankers have today for dealing with riskespecally the risk of loskKey Topic In This ChapterAsset、liability、and funds managementMarket Rates and Interest Rate RiskThe Goals of Interest Rate HedgingInterest Sensitive Gap管理Duration Gap ManagementLimitations of Hedging TechniquesChapter OutlineI . introduction : the nec ession for coordinateing bank asset and liability management decisions二.asset/liability management strategiesA.资产管理资料档案库(Asset Management Strategy)B.Liability Management StrategyC.Funds Management Strategy三.interest rate risk : one of the greatest asset-liability management strategy challengesA.forces determining interest ratesB.the measurement of interest rates1.Yield to Maturity2.bank discount rateC.The Components of Interest Rates1.Risk Premiums2.yielcurves3.the maturity gap and the yielcurveD.Response to Interest Rate Risk四。one of the goals of interest-rate hedgingA.The Net Interest MarginB.interest-sensitive gap management1.Asset-Sensitive Position2.Liability-Sensitive Position3.Dollar Interest-Sensitive Gap4.Relative Interest Sensitive Gap5.Interest Sensitivity Ratio6.Computer-Based Techniques7.Cumulative Gap8.Strategies in Gap ManagementC.Duration Gap ManagementV.The Concept of DurationA.Definition of DurationB.Calculation of DurationC.Net Worth and DurationD.Price Risk and DurationE.Convexity and Duration六。using duration to hedge against interest-rate riskA.Duration Gap1.dollar weighted duration of assets2.dollar weighted duration of liabilities3.职位Duration Gap4.Negative Duration GapB.Change in the Banks Net WorthVii .the limitations of duration gap managementViii .摘要of the chapterConcept Checks7-1。what do the following terms mean : asset management？Oracle liability management？资金管理？asset management refers to a banking strategy where management has control over the allocation of bank assets but believes the banks sources of funds7-2。whatfactors have motiviated financial institutions to develop funds management techniques in recent years？The nec essty to find new sources of funds in The 1970s and The risk management problems encounered with troubled loans and volatile interest rates in The nec essty to find new sources7-3。what forces cause interest rates to change？what kinds of risk do financial firms face when interest rates change？Interest rates are determined，not by individual banks，But by the collective borrowing and lending decisions of thousands of participantsFinancial institutions是lose income or value no matter which way interest rates go . rising interest rates can lead to losses on security instrumentsrising interest rates will also cause a los to income if an institution has more rate-sensitive liabilities than rate-sensitive assets。7-4。what makes it so difficult to correctly forecast interest rate changes？interest rates cannot be set by an individual bank or even by a group of banks；they are determined by thousands of investors trading in the credit markets。moreover，Each market rate of interest has multiple components-the risk-free interest rate plus various risk premia . a change in any of themiato conistently forecast market interest rates correctly would require bankers to correctly antipate changes in th E risk-free interest rate and in an andanother important factor is the timing of the changes。to be able to take full advantage of their Predictions，they also need to know when the changes will take place。7-5。what is the yifield curve and why is it important for bankers to know about its shape or slope？the yield curve is a graphical description of the distribution of market interest rates by maturity of financial instrument。the slope of the yielcur Ve determines the spread between long-term and short-term interest rates .in banking most of The long-termrates apply to loans and securities(I . e .Bank assets)and most of The short-term interest rates and most of The short-term interest ra