2022年2022年金融机构风险管理练习题 .pdf

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1、Chapter 6&7 test 1 The repricing gap model is a book value accounting based model.2 A positive repricing gap implies that a decrease in interest rates will cause interest expense to decrease more than the decrease in interest income.3 When a bank s repricing gap is positive,net interest income is po

2、sitively related to changes in interest rates.4 A bank with a negative repricing(or funding)gap faces reinvestment risk.5 The economic meaning of duration is the interest elasticity of a financial assets price.6 Duration considers the timing of all the cash flows of an asset by summing the product o

3、f the cash flows and the time of occurrence.7 Duration is equal to maturity when at least some of the cash flows are received upon maturity of the asset.8 Duration of a zero coupon bond is equal to the bonds maturity.9 As interest rates rise,the duration of a consol bond decreases.10 For a given mat

4、urity fixed-income asset,duration decreases as the market yield increases.Multiple-Choice 1 The repricing gap approach calculates the gaps in each maturity bucket by subtracting the a.current assets from the current liabilities.b.long term liabilities from the fixed assets.c.rate sensitive assets fr

5、om the total assets.d.rate sensitive liabilities from the rate sensitive assets.e.current liabilities from tangible assets.2 A positive gap implies that an increase in interest rates will cause _ in net interest income.a.no change b.a decrease c.an increase d.an unpredictable change e.Either A or B.

6、3 If interest rates decrease 50 basis points for an FI that has a gap of+$5 million,the expected change in net interest income is a.+$2,500.b.+$25,000.c.+$250,000.d.-$250,000.e.-$25,000.4 The duration of a consol bond is a.less than its maturity.名师资料总结-精品资料欢迎下载-名师精心整理-第 1 页，共 5 页 -b.infinity.c.30 ye

7、ars.d.more than its maturity.e.given by the formula D=1/1-R.5 An FI has financial assets of$800 and equity of$50.If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years,what is the leverage-adjusted duration gap?a.0.9000 years.b.0.9600 years.c.0.9756 years.d.0.8844

8、years.e.Cannot be determined.6 Calculate the duration of a two-year corporate bond paying 6 percent interest annually,selling at par.Principal of$20,000,000 is due at the end of two years.a.2 years.b.1.91 years.c.1.94 years.d.1.49 years.e.1.75 years.7 A$1,000 six-year Eurobond has an 8 percent coupo

9、n,is selling at par,and contracts to make annual payments of interest.The duration of this bond is 4.99 years.What will be the new price using the duration model if interest rates increase to 8.5 percent?a.$23.10.b.$976.90.c.$977.23.d.$1,023.10.e.-$23.10.8 Calculating modified duration involves a.di

10、viding the value of duration by the change in the market interest rate.b.dividing the value of duration by 1 plus the interest rate.c.dividing the value of duration by discounted change in interest rates.d.multiplying the value of duration by discounted change in interest rates.e.dividing the value

11、of duration by the curvature effect.Multiple Part QuestionsUse the following information to answer the next five(5)questions:The balance sheet of XYZ Bank.All figures in millions of US Dollars.Assets Liabilities 名师资料总结-精品资料欢迎下载-名师精心整理-第 2 页，共 5 页 -1 Short-term consumer loans(one-year maturity)$150 1

12、 Equity capital(fixed)$120 2 Long-term consumer loans 125 2 Demand deposits(two-year maturity)40 3 Three-month Treasury bills 130 3 Passbook savings 130 4 Six-month Treasury notes 135 4 Three-month CDs 140 5 Three-year Treasury bond 170 5 Three-month bankers acceptances 120 6 10-year,fixed-rate mort

13、gages 120 6 Six-month commercial paper 160 7 30-year,floating-rate mortgages(rate adjusted every nine months)140 7 One-year time deposits 120 8 Two-year time deposits 40$970$970 1 Total one-year rate-sensitive assets is a.$540 million.b.$580 million.c.$555 million.d.$415 million.e.$720 million.2 Tot

14、al one-year rate-sensitive liabilities is a.$540 million.b.$580 million.c.$555 million.d.$415 million.e.$720 million.3 The cumulative one-year repricing gap(CGAP)for the bank is a.$25 million.b.$-140 million.c.$15 million.d.$-150 million.e.$-15 million.4 The gap ratio is a.015.b.-.015.c.025.d.-.144.

15、e.154.名师资料总结-精品资料欢迎下载-名师精心整理-第 3 页，共 5 页 -5 Suppose that interest rates rise by 2 percent on both RSAs and RSLs.The expected annual change in net interest income of the bank is a.-$300,000.b.$500,000.c.-$2,800,000.d.-$3,000,000.e.$300,000.Use the following information to answer the next three(2)ques

16、tions:Consider a one-year maturity,$100,000 face value bond that pays a 6 percent fixed coupon annually.6 What is the price of the bond if market interest rates are 7 percent?a.$99,050.15.b.$99,457.94.c.$99,249.62.d.$100,000.00.e.$99,065.42.7 What is the price of the bond if market interest rates ar

17、e 5 percent?a.$100,952.38.b.$101,238.10.c.$100,963.71.d.$100,000.00.e.$101,108.27.Use the following information to answer the next three(3)questions:Assets Par Amount Rate Liabilities Par Amount Rate 2-year commercial loans,annual fixed rate,at par$400 million 10%1-year CDs,annual fixed rate,at par$

18、450 million 7%1-year Treasury bills$100 million Net Worth$50 million 8 What is the duration of the commercial loans?a.1.00 years.b.2.00 years.c.1.73 years.d.1.91 years.e.1.50 years.9 What is the FIs leverage-adjusted duration gap?a.0.91 years.b.0.83 years.名师资料总结-精品资料欢迎下载-名师精心整理-第 4 页，共 5 页 -c.0.73 y

19、ears.d.0.50 years.e.0 years.10 What is the FIs interest rate risk exposure?a.Exposed to increasing rates.b.Exposed to decreasing rates.c.Perfectly balanced.d.Exposed to long-term rate changes.e.Insufficient information.Use the following information to answer the next three(2)questions:Consider a fiv

20、e-year,8 percent annual coupon bond selling at par of$1,000.11 What is the duration of this bond?a.5 years.b.4.31 years.c.3.96 years.d.5.07 years.e.Not enough information to answer.12 If interest rates increase by 20 basis points,what is the approximate change in the market price using the duration approximation?a.-$7.98.b.-$7.94.c.-$3.99.d.+$3.99.e.-$7.94.名师资料总结-精品资料欢迎下载-名师精心整理-第 5 页，共 5 页 -