商业银行管理彼得s.罗斯英文原书第8版英语试题库chap007

1、Chapter 7Risk Management for Changing Interest Rates: Asset-LiabilityManagement and Duration TechniquesFill in the Blank Questions1. The view of assets and liabilities held that the amount andtypes of deposits was primarily determined by customers and hence the key decision a bank needed to make was

2、 with the assets.Answer: asset management2. Recent decades have ushered in dramatic changes in banking. The goal of was simply to gain control of the bank's sources of funds. Answer: liability management3. Theis the interest rate that equalizes the currentmarket price of a bond with the present

3、value of the future cash flows.Answer: yield to maturity (YTM)4. The risk premium on a bond allows the investor to be compensatedfor their projected loss in purchasing power from the increase in the prices of goods and services in the future.Answer: inflation5. The shows the relationship between the

4、 time to maturity and theyield to maturity of a bond. It is usually constructed using treasury securitiessince they are assumed to have no default risk.Answer: yield curve6. The risk premium on a bond reflects the differences in the easeand ability to sell the bond in the secondary market at a favor

5、able price.Answer: liquidity7. are those assets which mature or must be repriced within the planning period. Answer: Interest-sensitive assets8. is the difference between interest-sensitive assets and interest-sensitive liabilities.Answer: Dollar interest-sensitive gap9. A(n)means that the bank has

6、more interest-sensitiveliabilities than interest-sensitive assets.Answer: negative interest-sensitive gap (liability sensitive)10. The bank'stakes into account the idea that the speed(sensitivity) of interest rate changes will differ for different types of assets and liabilities.Answer: weighted

7、 interest-sensitive gap11. is the coordinated managementof both the bank's assetsand its liabilities.Answer: Funds management12. is the risk due to changes in market interest rates whichcan adversely affect the bank's net interest margin, assets and equity.Answer: Interest rate risk13. Theis

8、 the rate of return on a financial instrument usinga 360 day year relative to the instrument's face value.Answer: bank discount rate14. The component of interest rates is the risk premium dueto the probability that the borrower will miss some payments or will not repay the loan.Answer: default r

9、isk premium15.is the weighted average maturity for a stream of future cash flows. It is a direct measure of price risk.Answer: Duration16. is the difference between the dollar-weighted duration of the asset portfolio and the dollar-weighted duration of the liability portfolio. Answer: Duration gap17

10、. A(n) duration gap means that for a parallel increase in all interest rates the market value of net worth will tend to decline.Answer: positive18. A(n)_duration gap means that for a parallel increase in all interest rates the market value of net worth will tend to increase.Answer: negativeAnswer: n

11、et worth19. The refers to the periodic fluctuations in the scale of economicactivity.Answer: business cycle20. The is equal to the duration of each individual type ofasset weighted by the dollar amount of each type of asset out of the total dollar amount of assets.Answer: duration of the asset portf

12、olio21. The is equal to the duration of each individual type ofliability weighted by the dollar amount of each type of asset out of the total dollar amount of assets.Answer: duration of the liability portfolio22. A bank is against changes in its net worth if its duration gapis equal to zero.Answer:

13、immunized (insulated or protected)23. The relationship between a change in an asset's priceand an asset s change inthe yield or interest rate is captured by Answer: convexity24. The change in a financial institution's is equal to differencein the duration of the assets and liabilities times

14、the change in the interest rate divided by the starting interest rate times the dollar amount of the assets and liabilities.25. When a bank has a positive duration gap a parallel increase in the interest rates on the assets and liabilities of the bank will lead to a(n)in the bank's net worth.Ans

15、wer: decrease26. When a bank has a negative duration gap a parallel decrease in the interest rates on the assets and liabilities of the bank will lead to a(n) in the bank's net worth.Answer: decrease27. U.S. banks tend to do better when the yield curve is upward-sloping because they tend to have

16、 maturity gap positions.Answer: positive28. One government-created giant mortgage banking firms which have subsequently been privatized is the .Answer: FNMA or Fannie Mae (or FHLMC or Freddie Mac)29. One part of interest rate risk is.This part of interest rate risk reflects that as interest rates ri

17、se, prices of securities tend to fall.Answer: price risk30. One part of interest rate risk is.This part of interest rate risk reflects that as interest rates fall, any cash flowsthat are received before maturity are invested at a lower interest rate. Answer: reinvestment risk31. Whena borrower has t

18、he right to pay off a loan early which reduced the lender' sexpected rate of return it is called.Answer: call risk32. In recent decades, banks have aggressively sought to insulate their assets andliability portfolios and profits from the ravages if interest rate changes. Many banks now conduct t

19、heir asset-liability management strategy with the help of an which often meets daily.Answer: asset-liability committee33. is interest income from loans andinvestments less interest expenses on deposits and borrowed funds divided by total earning assets.Answer: Net interest margin (NIM)34. are those

20、liabilities thatwhich mature or must be repriced within the planning period.Answer: Interest-sensitive liabilities35. Variable rate loans and securities are included as part of for banks.Answer: repriceable assets36. Money market deposits are included as part of forbanks.Answer: repriceable liabilit

21、ies37. Interest sensitive assets less interest sensitive liabilities divided by total assets of the bank is known as .Answer: relative interest sensitive gap38. Interest sensitive assets divided by interest sensitive liabilities is known as .Answer: Interest sensitivity ratio39. is a measure of inte

22、rest rateexposure which is the total difference in dollars between those assets and liabilities that can be repriced over a designated time period.Answer: Cumulative gap40. is the phenomenonthat interest rates attached to various assets often change by different amounts and at different speeds than

23、interest rates attached to various liabilities, Answer: basis riskTrue/False QuestionsT F 41. Usually the principal goal of asset-liability management is to maximize or at least stabilize a bank's margin or spread.T F 42. Asset management strategy in banking assumes that the amount and kinds of

24、deposits and other borrowed funds a bank attracts are determined largely by its management.Answer: FalseT F 43. The ultimate goal of liability managementis to gain control over a financial institution's sources of funds.Answer: TrueT F 44. If interest rates fall when a bank is in an asset-sensit

25、ive position its net interest margin will rise.Answer: FalseT F 45. A liability-sensitive bank will experience an increase in its net interest margin if interest rates rise.Answer: FalseT F 46. Under the so-called liability management view in banking the key control lever banks possess over the volu

26、me and mix of their liabilities is price. Answer: TrueT F 47. Under the so-called funds management view bank management's control over assets must be coordinated with its control over liabilities so that asset and liability management are internally consistent.Answer: TrueT F 48. Bankers cannot

27、determine the level or trend of market interest rates; instead, they can only react to the level and trend of rates.Answer: TrueT F 49. Short-term interest rates tend to rise more slowly than long-term interest rates and to fall more slowly when all interest rates in the market are headed down.Answe

28、r: FalseT F 50. A financial institution is liability sensitive if its interest-sensitive liabilities are less than its interest-sensitive assets.Answer: FalseT F 51. If a bank's interest-sensitive assets and liabilities are equal than its interest revenues from assets and funding costs from liab

29、ilities will change at the same rate.Answer: TrueT F 52. Banks with a positive cumulative interest-sensitive gap will benefit if interest rates rise, but lose income if interest rates decline.Answer: TrueT F 53. Banks with a negative cumulative interest-sensitive gap will benefit if interest rates r

30、ise, but lose income if interest rates decline.T F 54. For most banks interest rates paid on liabilities tend to move more slowly than interest rates earned on assets.Answer: FalseT F 55. Interest-sensitive gap techniques do not consider the impact of changing interest rates on stockholders equity.A

31、nswer: TrueT F 56. Interest-sensitive gap, relative interest-sensitive gap and the interest-sensitivity ratio will often reach different conclusions as to whether the bank is asset or liability sensitive.Answer: FalseT F 57. The yield curve is constructed using corporate bonds with different default

32、 risks so the bank can determine the risk/return tradeoff for default risk.Answer: FalseT F 58. Financial securities that are the samein all other ways may have differences in interest rates that reflect the differences in the ease of selling the security in the secondary market at a favorable price

33、.Answer: TrueT F 59. Financial institutions face two major kinds of interest rate risk. These risks include price risk and reinvestment risk.Answer: TrueT F 60. Interest-sensitive gap and weighted interest-sensitive gap will always reach the same conclusion as to whether a bank is asset sensitive or

34、 liability sensitive.Answer: FalseT F 61. Weighted interest-sensitive gap is less accurate than interest-sensitive gap in determining the affect of changes in interest rates on net interest margin.Answer: FalseT F 62. A bank with a positive duration gap experiencing a rise in interest rates will exp

35、erience an increase in its net worth.Answer: FalseT F 63. A bank with a negative duration gap experiencing a rise in interest rates will experience an increase in its net worth.Answer: TrueT F 64. Duration is a direct measure of the reinvestment risk of a bond. Answer: FalseT F 65. A bank with a pos

36、itive duration gap experiencing a decrease in interest rates will experience an increase in its net worth.Answer: TrueT F 66. A bank with a negative duration gap experiencing a decrease in interest rates will experience an increase in its net worth.T F 67.Duration is the weighted average maturity of

37、 a promisedstream offuture cashflows.Answer: TrueT F 68. Duration is a direct measure of the price risk of a bond.Answer: TrueT F 69. A bond with a greater duration will have a smaller price change in percentage terms when interest rates change.Answer: FalseT F 70. Long-term interest rates tend to c

38、hange very little with the cycle of economic activity.Answer: TrueT F 71. A bank with a duration gap of zero is immunized against changes in the value of net worth due to changes in interest rates in the market.Answer: TrueT F 72. Convexity is the idea that the rate of change of an asset's price

39、 varies with the level of interest rates.Answer: TrueT F 73. The change in the market price of an asset's price from a change in marketinterest rates is roughly equal to the asset's duration times the change the interest rate divided by the original interest rate.Answer: TrueT F 74. U.S. ban

40、ks tend to do better when the yield curve is upward-sloping.Answer: TrueT F 75. Net interest margin tends to rise for U.S. banks when the yield curve is upward-sloping.Answer: TrueT F 76. Financial institutions laden with home mortgages tend be immune to interest-rate risk.Answer: FalseT F 77. If a

41、Financial Institution's net interest margin is immune to interest-rate risk then so is its net worth.Answer: FalseMultiple Choice Questions78. When is interest rate risk for a bank greatestA) When interest rates are volatile.B) When interest rates are stable.C) When inflation is high.D) When inf

42、lation is low.E) When loan defaults are high.Answer: A79. A bank s IS GAP is defined as:A) The dollar amount of rate-sensitive assets divided by the dollar amount of rate-sensitive liabilities.B) The dollar amount of earning assets divided by the dollar amount of total liabilities.C) The dollar amou

43、nt of rate-sensitive assets minus the dollar amount of rate-sensitive liabilities.D) The dollar amount of rate-sensitive liabilities minus the dollar amount of rate-sensitive erest rate.in the blankE) The dollar amount of earning assets times the average liability Answer: C80. According to

44、 the textbook, the maturing of the liability management techniques, coupled with more volatile interest rates, gave birth to the approach which dominates banking today. The term that correctly fills in the preceding sentence is:A) Liability managementB) Asset managementC) Risk managementD) Funds man

45、agementE) None of the above.81. The principal goal of interest-rate hedging strategy is to hold fixed a bank's:A) Net interest marginB) Net income before taxesC) Value of loans and securitiesD) Noninterest spreadE) None of the above.Answer: A82. A bank is asset sensitive if its:A) Loans and secu

46、rities are affected by changes in interest rates.B) Interest-sensitive assets exceed its interest-sensitive liabilities.C) Interest-sensitive liabilities exceed its interest-sensitive assets.D) Deposits and borrowings are affected by changes in interest rates.E) None of the above.Answer: B83. The ch

47、ange in a bank's net income that occurs due to changes in interest rates equals the overall change in market interest rates (in percentage points) times. The choice below that correctly fills in the blank in the preceding sentence is:A) Volume of interest-sensitive assetsB) Price risk of the ban

48、k's assetsC) Price risk of the bank's liabilitiesD) Size of the bank's cumulative gapE) None of the above.Answer: D84. A bank with a negative interest-sensitive GAP:A) Has a greater dollar volume of interest-sensitive liabilities than interest-sensitive assets.B) Will generate a higher i

49、nterest margin if interest rates rise.C) Will generate a higher interest margin if interest rates fall.D) A and B.E) A and C. Answer: E85. The net interest margin of a bank is influenced by:A) Changes in the level of interest rates.B) Changes in the volume of interest-bearing assets and interest-bea

50、ring liabilities.C) Changes in the mix of assets and liabilities in the bank's portfolio.D) All of the above.E) A and B only.Answer: D86. The discount rate that equalizes the current market value of a loan or security with the expected stream of future income payments from that loan or security

51、is known as the:A) Bank discount rateB) Yield to maturityC) Annual percentage rate (APR)D) Add-on interest rateE) None of the above.Answer: B87. The interest-rate measure often quoted on short-term loans and money market securities such as . Treasury bills is the:A) Bank discount rateB) Yield to mat

52、urityC) Annual percentage rate (APR)D) Add-on interest rateE) None of the aboveAnswer: A88. A bank whose interest-sensitive assets total $350 million and its interest-sensitive liabilities amount to $175 million has:A) An asset-sensitive gap of 525 millionB) A liability-sensitive gap of $175 million

53、C) An asset-sensitive gap of $175 millionD) A liability-sensitive gap of $350 millionE) None of the above.Answer: C89. A bank has a 1-year $1,000,000 loan outstanding, payable in four equal quarterly installments. What dollar amount of the loan would be considered rate sensitivein the 0- 90 day buck

54、etA) $0B) $250,000C) $500,000D) $750,000E) $1,000,000Answer: B90. A bank has Federal funds totaling $25 million with an interest rate sensitivityweight of . This bank also has loans of $105 million and investments of $65 millionwith interest rate sensitivity weights of and respectively. This bank al

55、so has$135 million in interest-bearing deposits with an interest rate sensitivity weightof .90 and other money market borrowings of $75 million with an interest ratesensitivity weight of . What is the weighted interest-sensitive gap for this bankA) $B) $-15C) -$D) $E) None of the aboveAnswer: A91. A

56、 bond has a face value of $1000 and five years to maturity. This bond has a coupon rate of 13 percent and is selling in the market today for $902. Coupon paymentsare made annually on this bond. What is the yield to maturity(YTM) for this bondA) 13%B) %C) 16%D) %E) Cannot be calculated from the infor

57、mation givenAnswer: C92. A treasury bill currently sells for $9,845, has a face value of $10,000 and has46 days to maturity. What is the bank discount rate on this securityA) %B) %C) %D) 2%E) None of the aboveAnswer: B93. The is determined by the demand and supply for loanable fundsin the market. The term that correctly fills in the blank in the preceding sentence is:A) The yield to maturityB) The banker's discount rateC) The holding period returnD) The risk-free real rate of interestE) The market rate of interest on a risky loanAnswer: D94. Abank with a positive interest-sensitive gap