金融机构风险管理练习题

Chapter6&7testTherepricinggapmodelisabookvalueaccountingbasedmodel.Apositiverepricinggapimpliesthatadecreaseininterestrateswillcauseinterestexpensetodecreasemorethanthedecreaseininterestincome.Whenabank'srepricinggapispositive,netinterestincomeispositivelyrelatedtochangesininterestrates.Abankwithanegativerepricing(orfunding)gapfacesreinvestmentrisk.Theeconomicmeaningofdurationistheinterestelasticityofafinancialassetsprice.Durationconsidersthetimingofallthecashflowsofanassetbysummingtheproductofthecashflowsandthetimeofoccurrence.Durationisequaltomaturitywhenatleastsomeofthecashflowsarereceiveduponmaturityoftheasset.Durationofazerocouponbondisequaltothebond'smaturity.Asinterestratesrise,thedurationofaconsolbonddecreases.Foragivenmaturityfixed-incomeasset,durationdecreasesasthemarketyieldincreases.Multiple-ChoiceTherepricinggapapproachcalculatesthegapsineachmaturitybucketbysubtractingthecurrentassetsfromthecurrentliabilities.longtermliabilitiesfromthefixedassets.ratesensitiveassetsfromthetotalassets.ratesensitiveliabilitiesfromtheratesensitiveassets.currentliabilitiesfromtangibleassets.Apositivegapimpliesthatanincreaseininterestrateswillcauseinnetinterestincome.nochangeadecreaseanincreaseanunpredictablechangeEitherAorB.Ifinterestratesdecrease50basispointsforanFIthathasagapof+$5million,theexpectedchangeinnetinterestincomeis+$2,500.+$25,000.+$250,000.-$250,000.-$25,000.Thedurationofaconsolbondislessthanitsmaturity.infinity.30years.morethanitsmaturity.givenbytheformulaD=l/1-R.AnFIhasfinancialassetsof$800andequityof$50.Ifthedurationofassetsis1.21yearsandthedurationofallliabilitiesis0.25years,whatistheleverage-adjusteddurationgap?0.9000years.0.9600years.0.9756years.0.8844years.Cannotbedetermined.Calculatethedurationofatwo-yearcorporatebondpaying6percentinterestannually,sellingatpar.Principalof$20,000,000isdueattheendoftwoyears.2years.1.91years.1.94years.1.49years.1.75years.A$1,000six-yearEurobondhasan8percentcoupon,issellingatpar,andcontractstomakeannualpaymentsofinterest.Thedurationofthisbondis4.99years.Whatwillbethenewpriceusingthedurationmodelifinterestratesincreaseto8.5percent?$23.10.$976.90.$977.23.$1,023.10.-$23.10.Calculatingmodifieddurationinvolvesdividingthevalueofdurationbythechangeinthemarketinterestrate.dividingthevalueofdurationby1plustheinterestrate.dividingthevalueofdurationbydiscountedchangeininterestrates.multiplyingthevalueofdurationbydiscountedchangeininterestrates,dividingthevalueofdurationbythecurvatureeffect.MultiplePartOuestionsUsethefollowinginformationtoansweithenextfive⑸questions:ThebalancesheetofXYZBank.AllfiguresinmillionsofUSDollars.AssetsLiabilities1Short-termconsumerloans(one-yearmaturity)$1501Equitycapital(fixed)$1202Long-termconsumerloans1252Demanddeposits(two-yearmaturity)403Three-monthTreasurybills1303Passbooksavings1304Six-monthTreasurynotes1354Three-monthCDs1405Three-yearTreasurybond1705Three-monthbankersacceptances120610-year,fixed-ratemortgages1206Six-monthcommercialpaper160730-year,floating-ratemortgages(rateadjustedeveryninemonths)1407One-yeartimedeposits1208Two-yeartimedeposits40$970$970Totalone-yearrate-sensitiveassetsis$540million.$580million.$555million.$415million.$720million.Totalone-yearrate-sensitiveliabilitiesis$540million.$580million.$555million.$415million.$720million.Thecumulativeone-yearrepricinggap(CGAP)forthebankisa.$25million.$-140rrdHion.$15million.$-150million.$-15million.Thegapratiois.015.-.015..025.-.144..154.Supposethatinterestratesriseby2percentonbothRSAsandRSLs.Theexpectedannualchangeinnetinterestincomeofthebankisa.-$300,000.b.$500,000.c.-$2,800,000.d.-$3,000,000.e.$300,000.Usethefollowinginformationtoansweithenextthree⑵questions:Consideraone-yearmaturity,$100,000facevaluebondthatpaysa6percentfixedcouponannually.Whatisthepriceofthebondifmarketinterestratesare7percent?$99,050.15.$99,457.94.$99,249.62.d.$100,000.00.e.$99,065.42.Whatisthepriceofthebondifmarketinterestratesare5percent?$100,952.38.$101,238.10.c.$100,963.71.d.$100,000.00.e.$101,108.27.Usethefollowinginformationtoanswerthenextthiee⑶questions:AssetsParAmountRateLiabilitiesParAmountRate2-yearcommercialloans,annualfixedrate,atpar$400million10%1-yearCDs,annualfixedrate,atpar$450million7%1-yearTreasurybills$100millionNetWorth$50millionWhatisthedurationofthecommercialloans?1.00years.2.00years.1.73years.1.91years.1.50years.WhatistheFI'sleverage-adjusteddurationgap?0.91years.0.83years.0.73years.0.50years.0years.WhatistheFFsinterestrateriskexposure?Exposedtoincreasingrates.Exposedtodecreasingrates.Perfectlybalanced.Exposedtolong-termratechanges.Insufficientinformation.Usethefollowinginformationtoansweithenextthiee⑵questions:Considerafive-year,8percentannualcouponbondsellingatparof