Chap009金融机构管理课后题答案

1、Chapter NineInterest Rate Risk IIChapter OutlineIntroduction持续时间a通用公式for durationthedurationofinterestbearingbondsthedurationofazero-couponbonbondthedurationofconsolbond (perpetuities )duration的功能Duration and Maturity持续时间和年度。Duration and Coupon InterestThe Economic Meaning of DurationSemiannual Coup

2、on Bondsduration和immunizationduration和immunizingfuturepaymentsimmunizingthewholesbalancesheetofanfiimmunizationandregulatoryconsiderationsdifficultiesinappleyingthedurationmodel持续匹配can be costlyimmunization is a动态问题largeinterestratechanges & convexconitySummary公司appendix9a : incorporatingconvexityin

3、tothedurationmodeltheproblemoftheflattermstructureThe Problem of Default Risk浮动长度和绑定。长时间工作demanddepositsandpassbooksavingsmortggesandmortgagge-backedsecurityitiesfupictures，Options，Swaps，Caps，and Other Contingent Claimssolutionsforend-of-chapterquestionsandproblems : chapter nine1.what are the2diffe

4、renternerinterinterprationsoftheconnetofduration，andwhatisthetechn howdoesdurationdifferfrommaturity？持续测量theaverageneralifyofanassetorliabilityeconomicimt.as such持续时间haseconnomicmeaningistensitivity (orinterestelasticity ) as assetsvaluetochangesintheinterestrate.durationdiffersfrommaturityameasureo

5、finterestratesensitivity ntoaccountthetimeofarri estementofallchalchasforthealchasfortheasfor持续时间为thewithewithewithewithtomatrityusingthereallentervalleso2.tobbondsareavalibuteforchefinancialmarkets.thefirstbondinisa2- year，$ 1000 bondthatpaysannualcouponof 10 percent.thesecondbona.whatistheduration

6、ofthecouponbondinfthecurrentyield-to-maturity (YTM ) is8percent？ 10 percent？ 12 percent？ (hint : youymaywishistocreateaspreadsheetprogramstoassistinthecalculations.)coupon键Par value=$1,000Coupon=0.10安娜帕ymentsYTM=0.08Maturity=2Time现金流量PSPV of CFPV*CF*T1$100.000.92593$92.59$92.592$1,100.000.85734$943.

7、07$1,886.15价格=$1,035.67Numerator=$ 1，978.74Duration=1.9106=Numerator/PriceYTM=0.10Time现金流量PSPV of CFPV*CF*T1$100.000.90909$90.91$90.912$1,100.000.82645$909.09$1,818.18价格=$1,000.00Numerator=$ 1，909.09Duration=1.9091=Numerator/PriceYTM=0.12Time现金流量PSPV of CFPV*CF*T1$100.000.89286$89.29$89.292$1,100.00

8、0.797919$876.91$1,753.83价格=$966.20Numerator=$ 1，843.11Duration=1.9076=Numerator/Priceb.howdoesthechangeinthecurrentytmaffectthedurationofthiscouponbonbond？22222222222222222222222222206c.c.ccactrecatethedurationofthezero-couponbonbondwithaytmof8percent，10 percent，and 12 percent。Zero Coupon BondPar va

9、lue=$1,000Coupon=0.00YTM=0.08Maturity=2Time现金流量PSPV of CFPV*CF*T1$0.000.92593$0.00$0.002$1,000.000.85734$857.34$1,714.68价格=$857.34Numerator=$1,714.68Duration=2.0000=Numerator/PriceYTM=0.10Time现金流量PSPV of CFPV*CF*T1$0.000.90909$0.00$0.002$1,000.000.82645$826.45$1,652.89价格=$826.45Numerator=$1,652.89Du

10、ration=2.0000=Numerator/PriceYTM=0.12Time现金流量PSPV of CFPV*CF*T1$0.000.89286$0.00$0.002$1,000.000.797919$797.19$ 1，594.39价格=$797.19Numerator=$ 1，594.39Duration=2.0000=Numerator/Priced.howdoosthechangeinthecurrretymaffectthedurationofthezero-couponbonbonbonbonbond？changingtheyield-to-maturitydoesnotaf

11、fectthedurationofthezerocouponbond。e .为什么比deodesthechangeintheytmaffectthecouponbondddifferentlythezero-couponbonbonbond更好？increcinisingtheymonthecoponthecoponthecopontmondollesforahighererreinestrementationtheinityr3.A one-year，$ 100000 loancariesamarketinterestrateof 12 percent.theloanrequireshisp

12、ayofaccruedeinterestsandone-halfoftheprincia .洛杉矶的保留期？cash flowin6months=$ 100，000 x.12x.5 $ 50，000=$ 56，000 interestandprincipal。现金流量1年=$ 50，000 x 1.06=$ 53，000 interestandprincipal。timecashflowpvifcf * pvi ft * cf * cvif1 $ 56，0000.943396 $ 52，830.19 $ 52，830.192 $ 53，0000.88996 $ 47，169.81 $ 94，339.62价