金融机构管理课件2.09.第3章 习题
金融机构管理第九章中文版课后习题答案(1、2、3、6、11、12、13、16)
金融机构管理第九章课后习题部分答案（1、2、3、6、11、12、13、16）1. 有效期限衡量的是经济定义中资产和负债的平均期限。
有效期限的经济含义是资产价值对于利率变化的利率敏感性（或利率弹性）。
有效期限的严格定义是一种以现金流量的相对现值为权重的加权平均到期期限。
有效期限与到期期限的不同在于，有效期限不仅考虑了资产（或负债）的期限，还考虑了期间发生的现金流的再投资利率。
2.息票债券面值价值= $1,00利率= 0.10 每年付一次息到期收益率=0.08 期限= 2时间现金流PVIF PV ofCF PV*CF *T1 $100.00 0.92593$92.59 $92.592 $1,100.00 0.85734$943.07 $1,886.15价格=$1,035.67分子= $1,978.74有效期限=1.9106= 分子/价格到期收益率=0.10时间现金流PVIF PV ofCF PV*CF *T1 $100.00 0.90909$90.91 $90.912 $1,100.00 0.82645$909.09 $1,818.18价格=$1,000.00分子= $1,909.09有效期限=1.9091= 分子/价格到期收益率=0.12时间现金流PVIF PV ofCF PV*CF *T1 $100.00 0.892$89.29 $89.292 $1,100.00 0.79719$876.91 $1,753.83价格=$966.20分子= $1,843.11有效期限=1.9076= 分子/价格b. 到期收益率上升时，有限期限减少。
c.零息债券面值价值= $1,00利率= 0.00到期收益率=0.08 期限= 2时间现金流PVIF PV ofCF PV*CF *T1 $0.00 0.92593$0.00 $0.002 $1,000.00 0.85734$857.34 $1,714.68价格=$857.34分子= $1,714.68有效期限=2.000= 分子/价格到期收益率=0.10时间现金流PVIF PV ofCF PV*CF *T1 $0.00 0.90909$0.00 $0.002 $1,000.00 0.82645$826.45 $1,652.89价格=$826.45分子= $1,652.89有效期限=2.000= 分子/价格到期收益率=0.12时间现金流PVIF PV ofCF PV*CF *T1 $0.00 0.892$0.00 $0.002 $1,000.00 0.79719 $797.19 $1,594.39价格 = $797.19分子 =$1,594.39有效期限 =2.0000= 分子/价格d.到期收益率的变化不影响零息债券的有效期限。
金融机构管理练习题
Financial Institutions Management: A Risk Management Approach 5/e1 Why are Financial Intermediaries Special1 Financial intermediaries fulfill which of the following functions?A) BrokerageB) Asset transformationC) Savings providerD) All of the above.E) Only a and b above.2 The outlay in monetary expense to track the credit risk of borrowers is an exampleA) of liquidity cost.B) of monitoring cost.C) of price risk.D) of asset acquisition cost.E) agency cost.3 Actions that utilize the money supply in an effort to impact macroeconomic activity often are part ofA) fiscal policy.B) tax policy.C) monetary policy.D) credit allocation.E) redlining.4 The process of funding assets of one maturity with liabilities of another maturity is calledA) size intermediation.B) denomination intermediation.C) credit allocation.D) payment intermediation.E) maturity intermediation.5 The central bank directly controls the portion of money known asA) inside money.B) outside money.C) international money.D) M2.E) M3.6 Regulations supporting the lending to socially important sectors of the economy isA) safety and soundness regulation.B) monetary policy regulation.C) credit allocation regulation.D) entry regulation.E) consumer protection regulation.7 The most dramatic increase in the share of assets in FIs in the U.S. has been inA) investment companies.B) thrift institutions.C) commercial banks.D) mortgage companies.E) insurance companies.8 Protection against the risk of FI failure is a function ofA) safety and soundness regulation.B) monetary policy regulation.C) credit allocation regulation.D) entry regulation.E) consumer protection regulation.9 The risk that managers will take actions that are in their best interests, but knowingly not in the best interests of the firm, results inA) negative externalities.B) economies of scale.C) agency costs.D) price risks.E) market entry costs.10 Excluding potential financial service customers from the marketplace is know asA) credit allocation.B) redlining.C) agency costs.D) diversification.E) delegated monitoring.2 The Financial Services Industry: Depository Institutions1The largest group of depository institutions in size isA) insurance companies.B) securities firms.C) commercial banks.D) pension funds.E) finance companies.2 A bank that has assets under $1 billion is usually considered to be aA) regional bank.B) money center bank.C) super-regional bank.D) community bank.E) wholesale bank.3 The primary sources of funds for commercial banks areA) NOW accounts.B) transaction accounts.C) money market mutual funds.D) all of the above.E) only a and b of the above.4 An item that moves onto the asset side of the balance sheet when a contingent event occursisA) an off-balance-sheet liability.B) a derivative contract.C) an off-balance-sheet asset.D) a negotiable certificate of deposit.E) none of the above.5 Legislation that prohibited commercial banks from underwriting securities, except in very limited situations, is theA) 1982 Garn-St Germain Depository Institutions Act.B) 1933 Glass-Steagall Act.C) 1978 International Banking Act.D) 1987 Competitive Equality in Banking Act.E) 1927 McFadden Act.6 The main regulator(s) of savings associations is(are)A) FDIC-BIF fund.B) Office of Thrift Supervision.C) FDIC-SAIF fund.D) All of the above.E) b and c above.7 The process of deposit withdrawal, usually because of lower interest rates paid by FIs, for reinvestment elsewhere is calledA) disintermediationB) regulator forebearance.C) Regulation Q ceilings.D) off-balance-sheet financing.E) none of the above.8 The portion of the income statement that reflects money set aside for possible future credit losses isA) the reserve for loan losses.B) net interest income.C) non interest expense.D) the provision for loan losses.E) net interest margin.9 A commercial bank has earning assets of $1 billion which earn an average rate of 7 percent. The assets are funded by interest bearing liabilities of $800 million which cost 4 percent. Noninterest income is $18,000,000 and noninterest expense is $28,000,000. No money is set aside for future chargeoffs. What is the net interest income for the bank?A) $70,000,000B) $32,000,000C) $38,000,000D) $56,000,000E) $40,000,00010 A commercial bank has earning assets of $1 billion which earn an average rate of 7 percent. The assets are funded by interest bearing liabilities of $800 million which cost 4 percent.Noninterest income is $18,000,000 and noninterest expense is $28,000,000. No money is set aside for future chargeoffs. What is the earnings before tax?A) $22,000,000B) $28,000,000C) $46,000,000D) $30,000,000E) $60,000,000The Financial Services Industry: Insurance Companies(See related pages)第3章The Financial Services Industry: Insurance Companies1 The class or line of life insurance that is the most dominant isA) endowment life.B) ordinary life.C) variable life.D) term life.E) whole life.2 A life insurance policy that combines pure insurance with a savings element for some specified period of time isA) endowment life.B) ordinary life.C) variable life.D) term life.E) whole life.3 Life insurance companies concentrate their asset investmentsA) in money market investments.B) in real estate investments.C) in policy loans.D) at the longer end of the maturity spectrum.E) at the shorter end of the maturity spectrum.4 The legislation that confirms the primacy of state regulation of life insurance companies is theA) Garn-St Germain Depository Institutions Act of 1982.B) Glass-Steagall Act of 1933.C) McCarran-Ferguson Act of 1945.D) Competitive Equality in Banking Act of 1987.E) McFadden Act of 1927.5 Insurance guaranty fundsA) are administered by the insurance companies.B) maintain a permanent reserve to resolve failures.C) require homogeneous contributions by insurers across states.D) all of the above are correct.E) only two of the above are correct.6 When comparing life versus PC insurers, PC insurersA) have more certain payouts on their insurance contracts.B) maintain loss reserves because premiums generally exceed claims.C) hold long-term assets to match the maturity of long-term liabilities.D) generally realize premium payments coincidental with claims.E) realize more than one of the above items.7 The actuarial predictability of losses relative to the premiums earned for PC insurers is dependentA) on the fact that liability lines are more predictable than property lines.B) on the fact that high severity, low frequency lines are more predictable than low-severity, high-frequency lines.C) on the underlying inflation risk of the economy, especially for liability lines.D) on the underlying inflation risk of the economy, especially for property lines.E) on more than one of the above items.8 A performance measure that reflects the losses incurred to the premiums earned isA) the operating ratio.B) the combined ratio.C) the expense ratio.D) the dividend ratio.E) the loss ratio.9 A performance measure that reflects the overall average profitability of PC insurers isA) the operating ratio.B) the combined ratio.C) the expense ratio.D) the dividend ratio.E) the loss ratio.10 The tendency of profits in the PC industry to follow a cyclical pattern is described as theA) interest-rate cycle.B) underwriting cycle.C) catastrophe cycle.D) economic cycle.E) business cycle.The Financial Services Industry: Securities Firms and Investment Banks(See related pages)第4章The Financial Services Industry: Securities Firms and Investment Banks1 Securities firms that service both retail and corporate customers are calledA) discount brokers.B) broker-dealers.C) national full-line firms.D) corporate finance firms.E) regional securities firms.2 First-time equity securities issues of companies as public offerings are calledA) private placements.B) IPOs.C) best-efforts underwriting.D) firm commitment underwriting.E) market making.3 Creating a secondary market in an asset by a securities firm or investment bank isA) a principal transaction.B) an agency transaction.C) firm commitment underwriting.D) market making.E) best efforts underwriting.4 Buying an asset in one market at one price and selling it immediately in another market at another price is calledA) program trading.B) position trading.C) pure arbitrage trading.D) risk arbitrage trading.E) principal transaction trading.5 The primary asset of broker-dealers isA) receivables from other broker-dealers.B) reverse repurchase agreements.C) long positions in securities and commodities.D) repurchase agreements.E) securities and commodities sold short for future delivery.6 The primary source of funds of broker-dealers isA) receivables from other broker-dealers.B) reverse repurchase agreements.C) long positions in securities and commodities.D) repurchase agreements.E) securities and commodities sold short for future delivery.7 The primary regulator of the securities industry isA) New York stock Exchange.B) National Association of Securities Dealers.C) National Securities Markets Improvement Act of 1996.D) Securities and Exchange Commission.E) Office of the Comptroller of the Currency.8 The process of registering new issues with the SEC for sale up to two years in the future is calledA) a firm commitment offering.B) a best efforts offering.C) a shelf-offering.D) a global issue.E) either a or d above.9 Investment banking includesA) corporate finance activities such as restructuring existing corporations.B) corporate finance activities such as advising on mergers and acquisitions.C) raising debt and equity securities for corporations.D) all of the above.E) only two of the above.10 Creating trades for customers without offering investment advice is the job ofA) discount brokers.B) broker-dealers.C) national full-line firms.D) corporate finance firms.E) regional securities firms.The Financial Services Industry: Mutual Funds(See related pages)第5章The Financial Services Industry: Mutual Funds1 FIs that pool financial resources and invest in diversified portfolios of assets areA) mutual funds.B) open-ended mutual funds.C) bond funds.D) equity funds.E) all of the above.2 A mutual fund that stands ready to sell new shares to investors and to redeem outstanding shares on demand isA) a bond fund.B) an equity fund.C) an open-ended fund.D) a closed-end fund.E) a hedge fund.3 Mutual funds that invest in short-term securities are calledA) hedge funds.B) bond funds.C) equity funds.D) money market funds.E) hybrid funds.4 Adjusting the balance sheet asset values to reflect current market values is calledA) asset valuation.B) marking-to-market.C) determining NAVs.D) risk minimization.E) two of the above are correct.5 A mutual fund that charges a sales charge or fee isA) a hybrid fund.B) a no-load fund.C) a load fund.D) an open end fund.E) a REIT.6 The primary regulator of mutual funds isA) The Investment Advisors Act.B) The Glass-Steagall Act.C) The National Securities Markets Improvement Act.D) The Securities and Exchange Commission.E) The U.S.A. Patriot Act.7 A mutual fund has 100 share of ABC Company that currently trades at $12 per share and 200 shares of XYZ Company that trades at $8 per share. If the fund has 50 shares, what is the net asset value of the fund?A) $56.00B) $24.00C) $32.00D) $20.00E) $28.008 Marketing and distribution costs of no-load funds are calculated as a small percentage of assets and are calledA) back-end loads.B) net asset values.C) management fees.D) load fees.E) 12b-1 fees.9 A fund that specializes in the purchase of real estate company shares is calledA) a closed-end investment company.B) a load fund.C) a real estate investment trust.D) bond fund.E) fixed-asset fund.10 Household mutual fund owners have which of the following characteristics?A) Most are short-term owners.B) Most owners were born before 1946.C) Most mutual fund owners are retired.D) Few mutual fund holders own common stocks outright.E) None of the above.The Financial Services Industry: Finance Companies(See related pages)第6章The Financial Services Industry: Finance Companies1 The primary function of finance companies is to lend moneyA) through credit cards.B) to corporations.C) to government organizations.D) to individuals.E) b and d are correct.2 The first major finance company wasA) Household Finance.B) Sears Roebuck Acceptance Corporation.C) General Electric Capital Corporation.D) Ford Motor Credit.E) Bank of America.3 A finance company that makes loans to the customers of a particular retailer or manufacturer is called aA) business credit institution.B) personal credit institution.C) sales finance institution.D) factoring company.E) captive finance company.4 A finance company that makes loans to corporations, especially through leasing or factoring, is called aA) business credit institution.B) personal credit institution.C) sales finance institution.D) factoring company.E) captive finance company.5 A finance company that makes loans for the purchase of products manufactured by the parent is called aA) business credit institution.B) personal credit institution.C) sales finance institution.D) factoring company.E) captive finance company.6 A finance company that lends to high-risk customers is aA) loan shark companyB) personal credit institution.C) sales finance institution.D) subprime lender.E) captive finance company.7 Mortgages that are packaged and used as assets backing secondary market securities areA) residential mortgage loans.B) securitized mortgage assets.C) commercial mortgage loans.D) senior debt.E) subordinated debt.8 The primary assets held by finance companies areA) consumer loans.B) real estate loans.C) business loans.D) all of the above.E) a and c above.9 The primary funding source for finance companies isA) equity.B) long-term notes and bonds.C) commercial paper.D) bank loans.E) repurchase agreements.10 The primary regulator of finance companies isA) the Federal Reserve Bank.B) state banking commissions.C) state insurance commissions.D) the Office of Thrift Supervision.E) no one.Risks of Financial Intermediation(See related pages)第7章Risks of Financial Intermediation1 The risk that occurs when the maturities of an FI's assets and liabilities are mismatched isA) credit risk.B) operational risk.C) liquidity risk.D) interest rate risk.E) market risk.2 The risk that occurs when, in the trading of assets, prices change because of changes in interest rates or exchange rates isA) credit risk.B) operational risk.C) liquidity risk.D) interest rate risk.E) market risk.3 The possibility that promised cash flows on financial claims will not be paid in full isA) credit risk.B) operational risk.C) liquidity risk.D) interest rate risk.E) market risk.4 Risk diversification limits the possibilities of bad outcomes in the portfolio by reducingA) off-balance-sheet risk.B) firm-specific credit risk.C) systematic credit risk.D) operational risk.E) technology risk.5 The risk that asset investments do not produce the anticipated cost savings isA) off-balance-sheet risk.B) firm-specific credit risk.C) systematic credit risk.D) operational risk.E) technology risk.6 The risk of loss due to the failure of internal processes isA) off-balance-sheet risk.B) firm-specific credit risk.C) systematic credit risk.D) operational risk.E) technology risk.7 The ability to lower the average costs of production is possible withA) economies of scale.B) economies of scope.C) foreign exchange risk.D) sovereign risk.E) liquidity risk.8 The inability of an FI to meet the demands of liability holders or asset claimants isA) economies of scale.B) economies of scope.C) foreign exchange risk.D) sovereign risk.E) liquidity risk.9 The risk that a borrower may not be able to make payments on a contractual obligation because of interference by an outside governmental party isA) economies of scale.B) economies of scope.C) foreign exchange risk.D) sovereign risk.E) liquidity risk.10 The risk that asset and/or liability values and profitability can be affected by changes in the relationship between the currencies of two or more countries isA) economies of scale.B) economies of scope.C) foreign exchange risk.D) sovereign risk.E) liquidity risk.第8章Interest Rate Risk1 The interest rate risk model that concentrates on the impact of interest rate changes on an FI's net interest income isA) the duration model.B) the maturity model.C) the repricing model.D) the simulation model.E) the immunization model.2 The difference between the dollar amount of assets whose interest rates will change and the dollar amount of liabilities whose interest rates will change when market rates change in some given time window isA) rate sensitive assets.B) the repricing gap.C) rate-sensitive liabilities.D) the duration gap.E) the maturity gap.3 Perfect Bank has a repricing gap of -$400 million. Interest rates are expected to increase 1 percent. What will be the impact on the bank's net interest income?A) +$4,000,000B) -$2,000,000C) +$2,000,000D) -$4,000,000E) Can't tell because we don't know the amount of rate sensitive assets or rate sensitive liabilities.4 Imperfect Bank has rate-sensitive asset of $100 and rate-sensitive liabilities of $120. What is the repricing gap?A) -$20B) +$20C) +$100D) +$220E) +$1205 When rate changes on RSAs are different from rate changes on RSLs,the impact on net interest income is known as theA) CGAP effect.B) spread effect.C) volume effect.D) market value effect.E) overaggegation effect.6 Ignoring information regarding the distribution of assets and liabilities within buckets when defining buckets over a range of maturities isA) the problem of runoffs.B) the problem of ignoring cash flows from off-balance-sheet activities.C) the problem of overaggregation.D) the problem of market value effects.E) the problem of mismatching cash flows.7 The approach to accounting that recognizes the true value of assets and liabilities over time isA) book value accounting.B) maturity value accounting.C) marking-to-market value accounting.D) market value accounting.E) origination value accounting.8 The difference between the weighted-average maturity of an FI's assets and liabilities is theA) rate sensitive assets.B) the repricing gap.C) rate-sensitive liabilities.D) the duration gap.E) the maturity gap.9 A measure of the life of an asset or liability that considers the present value of the cash flows isA) maturity value.B) duration.C) immunization.D) reinvestment risk.E) repricing risk.10 The process of constructing an FI's balance sheet so that any change in interest rates will affect the market value of assets and liabilities by equal dollar amounts is calledA) duration pricing.B) reinvestment risk pricing.C) immunization.D) maturity value pricing.E) regulatory pricing.Multiple Choice Quiz(See related pages)第9章Interest Rate Risk II1 A model of interest rate risk exposure that considers the degree of leverage on the balance sheet as well as the timing of the cash flows for liabilities and assets isA) the maturity gap.B) the repricing gap.C) the duration gap.D) the funding gap.E) the equity gap.2 A measure of the weighted-average time to maturity on an asset using the relative present values of the cash flows as weights isA) average maturity.B) duration.C) Monte Carlo simulation.D) the funding gap.E) none of the above.3 An FI has invested in a five-year zero coupon bond that is selling to yield 6 percent. What is the duration of this bond?A) Less than 5 years.B) More than 5 years.C) Exactly 5 years.D) Less than 5 years if using semiannual compounding.E) More than 5 years if using semiannual compounding.4 JKL FI has invested $400 in an asset with a duration of 2 years and $600 in an asset with duration of 4 years. What is the duration of the total assets?A) 3.0 years.B) 0.8 years.C) 2.4 years.D) 3.2 years.E) 6.0 years.5 Duration increases with the maturity of a fixed-income asset,A) but at a decreasing rate.B) but at a constant rate.C) but at an increasing rate.D) and can become infinite.E) but will never equal the maturity of the asset.6 The higher is the coupon or promised interest payment on a fixed-income asset,A) the higher is duration.B) the impact on duration cannot be determined.C) the lower is duration.D) the duration will eventually become negative.E) the rate has no effect on duration.7 A fixed-rate bond has a duration of 4.2 years. The bond is trading at a current yield to maturity of 8 percent. What is the modified duration of this bond?A) 4.20 years.B) 3.89 years.C) 4.54 years.D) 3.60 years.E) 4.90 years.8 Investing in an asset to achieve a specific future cash flow regardless of what happens to interest rates in the interim is calledA) immunization.B) fixed-rate asset selection.C) variable-rate asset selection.D) simulating the future cash flow.E) achieving negative duration.9 XYZ FI has a duration of 4.0 years for $1,000 million of assets, and a duration of 2.0 years for $900 million of liabilities. What is the leverage adjusted duration gap for this FI?A) 2.0 years.B) 3.0 years.C) 5.8 years.D) 2.2 years.E) 1.8 years.10 The effect of interest rate changes on the market value of an FI's equity is determined byA) the size of the interest rate shock.B) the size of the FI.C) the leverage adjusted duration gap.D) All of the above.E) Only two of the above.第10章Market Risk1 The securities portfolio of an FI that contains assets and liabilities that are relatively illiquid and are held for longer time periods isA) the trading portfolio.B) the investment portfolio.C) the loan book.D) the negotiable CD book.E) none of the above.2 The risk related to the uncertainty of an FI's earnings on its trading portfolio caused by changes in market conditions isA) liquidity risk.B) interest rate risk.C) credit risk.D) market risk.E) operational risk.3 The establishment of economically logical position minimums and maximums per security trader is which of the following reasons for market risk measurement?A) Management information.B) Performance evaluation.C) Regulation.D) Resource allocation.E) Setting limits.4 Considering the return-risk ratio of traders for the purpose of incentive compensation is which of the following reasons for market risk measurement?A) Management information.B) Performance evaluation.C) Regulation.D) Resource allocation.E) Setting limits.5 Market risk, as measured by daily earnings at risk, includes which of the following components?A) Potential adverse move in yield.B) Price sensitivity of the position.C) Dollar market value of the position.D) All of the above.E) Only two of the above.6 Price volatility includes which of the following components?A) Potential adverse move in yield.B) Price sensitivity of the position.C) Dollar market value of the position.D) All of the above.E) Only two of the above.7 A firm has $21,500 daily earnings at risk for 7 days. What is its 7-day market value at risk?A) $56,884B) $150,500C) $1,026D) $388E) $3,0718 The risk that reflects the comovement of a stock with a market portfolio and the volatility of the market portfolio isA) unsystematic risk.B) beta.C) systematic risk.D) standard deviation.E) covariance.9 A criticism of which of the following is the need to assume a normal or symmetric distribution for all asset returns?A) Back simulation.B) Risk Metrics.C) Monte Carlo simulation.D) CreditMetrics.E) Random analysis.10 In the BIS Standardized Framework, the product of the modified durations and the interest rate shocks reflectsA) vertical offsets.B) horizontal offsets.C) specific risk charges.D) general market risk charges.E) junk bond risk.第11章Credit Risk: Individual Loan Risk1 In the last two decades of the 1990s, credit quality of FIs has been affected byA) junk bonds.B) agricultural loans.C) loans to less developed countries.D) real estate loans.E) all of the above.2 A loan which is made and taken down immediately is aA) syndicated loan.B) loan commitment.C) spot loan.D) secured loan.E) commercial paper.3 Debt that is senior to other debt that has only a general claim on assets is aA) syndicated loan.B) loan commitment.C) spot loan.D) secured loan.E) commercial paper.4 Loans that have their contractual rates periodically adjusted to some underlying index areA) syndicated loans.B) secured loans.C) adjustable rate mortgages.D) commercial paper.E) revolving loans.5 Ceilings that reflect the maximum rate that FIs can charge on consumer and mortgage debt are imposed byA) federal legislation.B) state legislation.C) the OCC.D) the Federal Reserve BankE) the NCUA.6 A portion of a loan which a borrower may not use but which must be kept on deposit at the lending institution is aA) compensating balance.B) revolving credit line.C) loan commitment.D) minimum reserve requirement.E) loan origination fee.7 The risk that the borrower is unwilling or unable to fulfill the terms promised under the loan contract isA) market risk.B) default risk.C) interest rate risk.D) liquidity risk.E) price risk.8 The process of restricting the quantity of loans to an individual borrower isA) leverage lending.B) covenants.C) using implicit contracts.D) credit rationing.E) redlining.9 Which of the following borrower-specific factors involves the ratio of debt to equity?A) Reputation.B) Covenants.C) Leverage.D) Volatility of earnings.E) Collateral.10 Historic default risk experience often is referred to asA) credit scoring models.B) mortality rates.C) RAROC.D) implicit contracts.E) option models.Credit Risk: Loan Portfolio and Concentration Risk(See related pages)第12章Credit Risk: Loan Portfolio and Concentration Risk1 A method of measuring loan concentration by tracking credit ratings of firms in particular classes for unusual declines is known asA) concentration analysis.B) migration analysis.C) diversification analysis.D) minimum risk analysis.E) loan migration matrix.2 The vehicle used to reflect the historic experience of a pool of loans in terms of their credit-rating migration over time is aA) concentration analysis.B) migration analysis.C) diversification analysis.D) minimum risk analysis.E) loan migration matrix.3 The variables that are used in setting concentration limits includeA) the borrower's strategic plans.B) the economic projection by its economists.C) the operating units business plans.D) all of the above.E) a and b above.4 The combination of assets that reduces the variance of portfolio returns to the lowest feasible level is theA) efficient frontier.B) least cost portfolio.C) minimum risk portfolio.D) maximum return portfolio.E) dominant asset portfolio.5 The return on a loan in the KMV Portfolio Manager Model as measured by the all-in-spread includes measures ofA) annual fees.。
Chap002金融机构管理课后题答案
Chapter TwoThe Financial Services Industry: Depository InstitutionsChapter OutlineIntroductionCommercial Banks∙Size, Structure, and Composition of the Industry∙Balance Sheet and Recent Trends∙Other Fee-Generating Activities∙Regulation∙Industry PerformanceSavings Institutions∙Savings Associations (SAs)∙Savings Banks∙Recent Performance of Savings Associations and Savings BanksCredit Unions∙Size, Structure, and Composition of the Industry and Recent Trends∙Balance Sheets∙Regulation∙Industry PerformanceGlobal Issues: Japan, China, and GermanySummaryAppendix 2A: Financial Statement Analysis Using a Return on Equity (ROE) Framework Appendix 2B: Depository Institutions and Their RegulatorsAppendix 3B: Technology in Commercial BankingSolutions for End-of-Chapter Questions and Problems: Chapter Two1.What are the differences between community banks, regional banks, and money-centerbanks? Contrast the business activities, location, and markets of each of these bank groups. Community banks typically have assets under $1 billion and serve consumer and small business customers in local markets. In 2003, 94.5 percent of the banks in the United States were classified as community banks. However, these banks held only 14.6 percent of the assets of the banking industry. In comparison with regional and money-center banks, community banks typically hold a larger percentage of assets in consumer and real estate loans and a smaller percentage of assets in commercial and industrial loans. These banks also rely more heavily on local deposits and less heavily on borrowed and international funds.Regional banks range in size from several billion dollars to several hundred billion dollars in assets. The banks normally are headquartered in larger regional cities and often have offices and branches in locations throughout large portions of the United States. Although these banks provide lending products to large corporate customers, many of the regional banks have developed sophisticated electronic and branching services to consumer and residential customers. Regional banks utilize retail deposit bases for funding, but also develop relationships with large corporate customers and international money centers.Money center banks rely heavily on nondeposit or borrowed sources of funds. Some of these banks have no retail branch systems, and most regional banks are major participants in foreign currency markets. These banks compete with the larger regional banks for large commercial loans and with international banks for international commercial loans. Most money center banks have headquarters in New York City.e the data in Table 2-4 for the banks in the two asset size groups (a) $100 million-$1billion and (b) over $10 billion to answer the following questions.a. Why have the ratios for ROA and ROE tended to increase for both groups over the1990-2003 period? Identify and discuss the primary variables that affect ROA andROE as they relate to these two size groups.The primary reason for the improvements in ROA and ROE in the late 1990s may berelated to the continued strength of the macroeconomy that allowed banks to operate with a reduced regard for bad debts, or loan charge-off problems. In addition, the continued low interest rate environment has provided relatively low-cost sources of funds, and a shifttoward growth in fee income has provided additional sources of revenue in many product lines. Finally, a growing secondary market for loans has allowed banks to control the size of the balance sheet by securitizing many assets. You will note some variance inperformance in the last three years as the effects of a softer economy were felt in thefinancial industry.b. Why is ROA for the smaller banks generally larger than ROA for the large banks?Small banks historically have benefited from a larger spread between the cost rate of funds and the earning rate on assets, each of which is caused by the less severe competition in the localized markets. In addition, small banks have been able to control credit risk moreefficiently and to operate with less overhead expense than large banks.c. Why is the ratio for ROE consistently larger for the large bank group?ROE is defined as net income divided by total equity, or ROA times the ratio of assets to equity. Because large banks typically operate with less equity per dollar of assets, netincome per dollar of equity is larger.d. Using the information on ROE decomposition in Appendix 2A, calculate the ratio ofequity-to-total-assets for each of the two bank groups for the period 1990-2003. Whyhas there been such dramatic change in the values over this time period, and why isthere a difference in the size of the ratio for the two groups?ROE = ROA x (Total Assets/Equity)Therefore, (Equity/Total Assets) = ROA/ROE$100 million - $1 Billion Over $10 BillionYear ROE ROA TA/Equity Equity/TA ROE ROA TA/Equity Equity/TA1990 9.95% 0.78% 12.76 7.84% 6.68% 0.38% 17.58 5.69%1995 13.48% 1.25% 10.78 9.27% 15.60% 1.10% 14.18 7.05%1996 13.63% 1.29% 10.57 9.46% 14.93% 1.10% 13.57 7.37%1997 14.50% 1.39% 10.43 9.59% 15.32% 1.18% 12.98 7.70%1998 13.57% 1.31% 10.36 9.65% 13.82% 1.08% 12.80 7.81%1999 14.24% 1.34% 10.63 9.41% 15.97% 1.28% 12.48 8.02%2000 13.56% 1.28% 10.59 9.44% 14.42% 1.16% 12.43 8.04%2001 12.24% 1.20% 10.20 9.80% 13.43% 1.13% 11.88 8.41%2002 12.85% 1.26% 10.20 9.81% 15.06% 1.32% 11.41 8.76%2003 12.80% 1.27% 10.08 9.92% 16.32% 1.42% 11.49 8.70% The growth in the equity to total assets ratio has occurred primarily because of theincreased profitability of the entire banking industry and the encouragement of theregulators to increase the amount of equity financing in the banks. Increased fee income, reduced loan loss reserves, and a low, stable interest rate environment have produced the increased profitability which in turn has allowed banks to increase equity through retained earnings.Smaller banks tend to have a higher equity ratio because they have more limited assetgrowth opportunities, generally have less diverse sources of funds, and historically have had greater profitability than larger banks.3.What factors have caused the decrease in loan volume relative to other assets on thebalance sheets of commercial banks? How has each of these factors been related to the change and development of the financial services industry during the 1990s and early2000s? What strategic changes have banks implemented to deal with changes in thefinancial services environment?Corporations have utilized the commercial paper markets with increased frequency rather than borrow from banks. In addition, many banks have sold loan packages directly into the capital markets (securitization) as a method to reduce balance sheet risks and to improve liquidity. Finally, the decrease in loan volume during the early 1990s and early 2000s was due in part to the recession in the economy.As deregulation of the financial services industry continued during the 1990s, the position of banks as the primary financial services provider continued to erode. Banks of all sizes have increased the use of off-balance sheet activities in an effort to generate additional fee income. Letters of credit, futures, options, swaps and other derivative products are not reflected on the balance sheet, but do provide fee income for the banks.4.What are the major uses of funds for commercial banks in the United States? What are theprimary risks to the bank caused by each use of funds? Which of the risks is most critical to the continuing operation of the bank?Loans and investment securities continue to be the primary assets of the banking industry. Commercial loans are relatively more important for the larger banks, while consumer, small business loans, and residential mortgages are more important for small banks. Each of these types of loans creates credit, and to varying extents, liquidity risks for the banks. The security portfolio normally is a source of liquidity and interest rate risk, especially with the increased use of various types of mortgage backed securities and structured notes. In certain environments, each of these risks can create operational and performance problems for a bank.5.What are the major sources of funds for commercial banks in the United States? How isthe landscape for these funds changing and why?The primary sources of funds are deposits and borrowed funds. Small banks rely more heavily on transaction, savings, and retail time deposits, while large banks tend to utilize large, negotiable time deposits and nondeposit liabilities such as federal funds and repurchase agreements. The supply of nontransaction deposits is shrinking, because of the increased use by small savers of higher-yielding money market mutual funds,6. What are the three major segments of deposit funding? How are these segments changingover time? Why? What strategic impact do these changes have on the profitable operation of a bank?Transaction accounts include deposits that do not pay interest and NOW accounts that pay interest. Retail savings accounts include passbook savings accounts and small, nonnegotiable time deposits. Large time deposits include negotiable certificates of deposits that can be resold in the secondary market. The importance of transaction and retail accounts is shrinking due to the direct investment in money market assets by individual investors. The changes in the deposit markets coincide with the efforts to constrain the growth on the asset side of the balance sheet.7. How does the liability maturity structure of a bank’s balance sheet compare with thematurity structure of the asset portfolio? What risks are created or intensified by thesedifferences?Deposit and nondeposit liabilities tend to have shorter maturities than assets such as loans. The maturity mismatch creates varying degrees of interest rate risk and liquidity risk.8. The following balance sheet accounts have been taken from the annual report for a U.S.bank. Arrange the accounts in balance sheet order and determine the value of total assets.Based on the balance sheet structure, would you classify this bank as a community bank, regional bank, or a money center bank?Assets Liabilities and EquityCash $ 2,660 Demand deposits $ 5,939Fed funds sold $ 110 NOW accounts $12,816Investment securities $ 5,334 Savings deposits $ 3,292Net loans $29,981 Certificates of deposit $ 9,853Intangible assets $ 758 Other time deposits $ 2,333Other assets $ 1,633 Short-term Borrowing $ 2,080Premises $ 1,078 Other liabilities $ 778Total assets $41,554 Long-term debt $ 1,191Equity $ 3,272Total liab. and equity $41,554This bank has funded the assets primarily with transaction and savings deposits. The certificates of deposit could be either retail or corporate (negotiable). The bank has very little ( 5 percent) borrowed funds. On the asset side, about 72 percent of total assets is in the loan portfolio, but there is no information about the type of loans. The bank actually is a small regional bank with $41.5 billion in assets, but the asset structure could easily be a community bank with $41.5 million in assets.9.What types of activities normally are classified as off-balance-sheet (OBS) activities?Off-balance-sheet activities include the issuance of guarantees that may be called into play at a future time, and the commitment to lend at a future time if the borrower desires.a. How does an OBS activity move onto the balance sheet as an asset or liability?The activity becomes an asset or a liability upon the occurrence of a contingent event,which may not be in the control of the bank. In most cases the other party involved with the original agreement will call upon the bank to honor its original commitment.b.What are the benefits of OBS activities to a bank?The initial benefit is the fee that the bank charges when making the commitment. If the bank is required to honor the commitment, the normal interest rate structure will apply to the commitment as it moves onto the balance sheet. Since the initial commitment does notappear on the balance sheet, the bank avoids the need to fund the asset with either deposits or equity. Thus the bank avoids possible additional reserve requirement balances anddeposit insurance premiums while improving the earnings stream of the bank.c.What are the risks of OBS activities to a bank?The primary risk to OBS activities on the asset side of the bank involves the credit risk of the borrower. In many cases the borrower will not utilize the commitment of the bank until the borrower faces a financial problem that may alter the credit worthiness of the borrower.Moving the OBS activity to the balance sheet may have an additional impact on the interest rate and foreign exchange risk of the bank.e the data in Table 2-6 to answer the following questions.a.What was the average annual growth rate in OBS total commitments over the periodfrom 1992-2003?$78,035.6 = $10,200.3(1+g)11 g = 20.32 percentb.Which categories of contingencies have had the highest annual growth rates?Category of Contingency or Commitment Growth RateCommitments to lend 14.04%Future and forward contracts 15.13%Notional amount of credit derivatives 52.57%Standby contracts and other option contracts 56.39%Commitments to buy FX, spot, and forward 3.39%Standby LCs and foreign office guarantees 7.19%Commercial LCs -1.35%Participations in acceptances -6.11%Securities borrowed 20.74%Notional value of all outstanding swaps 31.76%Standby contracts and other option contracts have grown at the fastest rate of 56.39 percent, and they have an outstanding balance of $214,605.3 billion. The rate of growth in thecredit derivatives area has been the second strongest at 52.57 percent, the dollar volumeremains fairly low at $1,001.2 billion at year-end 2003. Interest rate swaps grew at anannual rate of 31.76 percent with a change in dollar value of $41,960.7 billion. Clearly the strongest growth involves derivative areas.c.What factors are credited for the significant growth in derivative securities activities bybanks?The primary use of derivative products has been in the areas of interest rate, credit, andforeign exchange risk management. As banks and other financial institutions have pursuedthe use of these instruments, the international financial markets have responded byextending the variations of the products available to the institutions.11. For each of the following banking organizations, identify which regulatory agencies (OCC,FRB, FDIC, or state banking commission) may have some regulatory supervisionresponsibility.(a) State-chartered, nonmember, nonholding-company bank.(b)State-chartered, nonmember holding-company bank(c) State-chartered member bank(d)Nationally chartered nonholding-company bank.(e)Nationally chartered holding-company bankBank Type OCC FRB FDIC SBCom.(a) Yes Yes(b) Yes Yes Yes(c) Yes Yes Yes(d) Yes Yes Yes(e) Yes Yes Yes12. What factors normally are given credit for the revitalization of the banking industry duringthe decade of the 1990s? How is Internet banking expected to provide benefits in thefuture?The most prominent reason was the lengthy economic expansion in both the U.S. and many global economies during the entire decade of the 1990s. This expansion was assisted in the U.S. by low and falling interest rates during the entire period.The extent of the impact of Internet banking remains unknown. However, the existence of this technology is allowing banks to open markets and develop products that did not exist prior to the Internet. Initial efforts have focused on retail customers more than corporate customers. The trend should continue with the advent of faster, more customer friendly products and services, and the continued technology education of customers.13. What factors are given credit for the strong performance of commercial banks in the early2000s?The lowest interest rates in many decades helped bank performance on both sides of the balance sheet. On the asset side, many consumers continued to refinance homes and purchase new homes, an activity that caused fee income from mortgage lending to increase and remain strong. Meanwhile, the rates banks paid on deposits shrunk to all-time lows. In addition, the development and more comfortable use of new financial instruments such as credit derivatives and mortgage backed securities helped banks ease credit risk off the balance sheets. Finally, information technology has helped banks manage their risk more efficiently.14. What are the main features of the Riegle-Neal Interstate Banking and Branching EfficiencyAct of 1994? What major impact on commercial banking activity is expected from this legislation?The main feature of the Riegle-Neal Act of 1994 was the removal of barriers to inter-state banking. In September 1995 bank holding companies were allowed to acquire banks in other states. In 1997, banks were allowed to convert out-of-state subsidiaries into branches of a single interstate bank. As a result, consolidations and acquisitions have allowed for the emergence of very large banks with branches across the country.15. What happened in 1979 to cause the failure of many savings associations during the early1980s? What was the effect of this change on the operating statements of savingsassociations?The Federal Reserve changed its reserve management policy to combat the effects of inflation, a change which caused the interest rates on short-term deposits to increase dramatically more than the rates on long-term mortgages. As a result, the marginal cost of funds exceeded the average yield on assets that caused a negative interest spread for the savings associations. Further, because savings associations were constrained by Regulation Q on the amount of interest which could be paid on deposits, they suffered disintermediation, or deposit withdrawals, which led to severe liquidity pressures on the balance sheets.16. How did the two pieces of regulatory legislation, the DIDMCA in 1980 and the DIA in1982, change the operating profitability of savings associations in the early 1980s? What impact did these pieces of legislation ultimately have on the risk posture of the savingsassociation industry? How did the FSLIC react to this change in operating performance and risk?The two pieces of legislation allowed savings associations to offer new deposit accounts, such as NOW accounts and money market deposit accounts, in an effort to reduce the net withdrawal flow of deposits from the institutions. In effect this action was an attempt to reduce the liquidity problem. In addition, the savings associations were allowed to offer adjustable-rate mortgages and a limited amount of commercial and consumer loans in an attempt to improve the profitability performance of the industry. Although many savings associations were safer, more diversified, and more profitable, the FSLIC did not foreclose many of the savings associations which were insolvent. Nor did the FSLIC change its policy of assessing higher insurance premiums on companies that remained in high risk categories. Thus many savings associations failed, which caused the FSLIC to eventually become insolvent.17. How do the asset and liability structures of a savings association compare with the assetand liability structures of a commercial bank? How do these structural differences affect the risks and operating performance of a savings association? What is the QTL test?The savings association industry relies on mortgage loans and mortgage-backed securities as the primary assets, while the commercial banking industry has a variety of loan products, including mortgage products. The large amount of longer-term fixed rate assets continues to cause interestrate risk, while the lack of asset diversity exposes the savings association to credit risk. Savings associations hold considerably less cash and U.S. Treasury securities than do commercial banks. On the liability side, small time and saving deposits remain as the predominant source of funds for savings associations, with some reliance on FHLB borrowing. The inability to nurture relationships with the capital markets also creates potential liquidity risk for the savings association industry.The acronym QTL stands for Qualified Thrift Lender. The QTL test refers to a minimum amount of mortgage-related assets that a savings association must hold. The amount currently is 65 percent of total assets.18. How do savings banks differ from savings and loan associations? Differentiate in terms ofrisk, operating performance, balance sheet structure, and regulatory responsibility.The asset structure of savings banks is similar to the asset structure of savings associations with the exception that savings banks are allowed to diversify by holding a larger proportion of corporate stocks and bonds. Savings banks rely more heavily on deposits and thus have a lower level of borrowed funds. The banks are regulated at both the state and federal level, with deposits insured by t he FDIC’s BIF.19. How did the Financial Institutions Reform, Recovery, and Enforcement Act (FIRREA) of1989 and the Federal Deposit Insurance Corporation Improvement Act of 1991 reversesome of the key features of earlier legislation?FIRREA rescinded some of the expanded thrift lending powers of the DIDMCA of 1980 and the Garn-St Germain Act of 1982 by instituting the qualified thrift lender (QTL) test that requires that all thrifts must hold portfolios that are comprised primarily of mortgages or mortgage products such as mortgage-backed securities. The act also required thrifts to divest their portfolios of junk bonds by 1994, and it replaced the FSLIC with a new thrift deposit insurance fund, the Savings Association Insurance Fund, which was managed by the FDIC.The FDICA of 1991 amended the DIDMCA of 1980 by introducing risk-based deposit insurance premiums in 1993 to reduce excess risk-taking. FDICA also provided for the implementation of a policy of prompt corrective actions (PCA) that allows regulators to close banks more quickly in cases where insolvency is imminent. Thus the ill-advised policy of regulatory forbearance should be curbed. Finally, the act amended the International Banking Act of 1978 by expanding the regulatory oversight powers over foreign banks.20. What is the “common bond” membership qualification under which credit unions havebeen formed and operated? How does this qualification affect the operational objective ofa credit union?The common bond policy allows any one who meets a specific membership requirement to become a member of the credit union. The requirement normally is tied to a place of employment. Because the common bond policy has been loosely interpreted, implementation has allowed credit union membership and assets to grow at a rate that exceeds similar growth inthe commercial banking industry. Since credit unions are mutual organizations where the members are owners, employees essentially use saving deposits to make loans to other employees who need funds.21. What are the operating advantages of credit unions that have caused concern bycommercial bankers? What has been the response of the Credit Union NationalAssociation to the bank criticisms?Credit unions are tax-exempt organizations that often are provided office space by employers at no cost. As a result, because non-interest operating costs are very low, credit unions can lend money at lower rates and pay higher rates on savings deposits than can commercial banks. CUNA has responded that the cost to tax payers from the tax-exempt status is replaced by the additional social good created by the benefits to the members.22. How does the asset structure of credit unions compare with the asset structure ofcommercial banks and savings and loan associations? Refer to Tables 2-5, 2-9, and 2-12 to formulate your answer.The relative proportions of credit union assets are more similar to commercial banks than savings associations, with 20 percent in investment securities and 63 percent in loans. However, nonmortgage loans of credit unions are predominantly consumer loans. On the liability side of the balance sheet, credit unions differ from banks in that they have less reliance on large time deposits, and they differ from savings associations in that they have virtually no borrowings from any source. The primary sources of funds for credit unions are transaction and small time and savings accounts.23. Compare and contrast the performance of the U.S. depository institution industry withthose of Japan, China, and Germany.The entire Japanese financial system was under increasing pressure from the early 1990s as the economy suffered from real estate and other commercial industry pressures. The Japanese government has used several financial aid packages in attempts to avert a collapse of the Japanese financial system. Most attempts have not been successful.The deterioration in the banking industry in China in the early 2000s was caused by nonperforming loans and credits. The remedies include the opportunity for more foreign bank ownership in the Chinese banking environment primarily via larger ownership positions, less restrictive capital requirements for branches, and increased geographic presence.German banks also had difficulties in the early 2000s, but the problems were not universal. The large banks suffered from credit problems, but the small banks enjoyed high credit ratings and low cast of funds because of government guarantees on their borrowing. Thus while small banks benefited from growth in small business lending, the large banks became reliant on fee and trading income.。
中级经济师考试《金融专业》章节练习：第三章含答案
中级经济师考试《金融专业》章节练习：第三章含答案中级经济师考试《金融专业》章节练习第三章金融机构与金融制度一、单项选择题1. 最典型的间接金融机构是( )。
A.证券公司B.商业银行C.投资银行D.保险公司2. 金融机构之所以被称为金融企业，是因为它所经营的对象不是普通商品，而是( )。
A.存款B.货币资金C.资本D.有价证券3. 与其他金融机构相比，商业银行最明显的特征是( )。
A.吸收活期存款，创造信用货币B.以盈利为目的C.经营对象是货币资金D.制定国家金融政策4. 在所有金融机构中，历史最悠久、资本最雄厚、体系最庞大、业务范围最广、掌握金融资源最多的金融机构是( )。
A.投资银行B.储蓄银行C.商业银行D.开发银行5. 目前唯一没有资本金的中央银行是( )。
A.美国联邦储备银行B.英格兰银行C.韩国中央银行D.德国中央银行6. 采取“牵头式”监管体制的典型国家是( )。
A.瑞典B.美国C.巴西D.澳大利亚7. 政策性金融机构的经营原则不包括( )。
A.流动性原则B.政策性原则C.安全性原则D.保本微利原则8. 在法律、法规规定的范围内，小额贷款公司从银行业金融机构获得融入资金的余额，不得超过其资本净额的( )。
A.8%B.20%C.30%D.50%9. 目前我国上海和深圳证券交易所实行( )交割方式完成清算交易。
A.T+2B.T+0C.T+1D.T+310. 适用于融资租赁交易的租赁物是( )。
A.固定资产B.流动资产C.商品D.产品11. 我国国有重点金融机构监事会的核心工作是( )。
A.财务监督B.人事监督C.合规监督D.经营监督12. 对我国期货结算机构进行监管的金融监管机构是( )。
A.中国人民银行B.中国证监会C.中国保监会D.中国银监会13. 中国人民银行作为政府的银行，其重要的职能是( )。
A.对政府贷款B.再贷款C.经理国库D.再贴现二、多项选择题1. 金融机构的主要职能有( )。
Chap009金融机构管理课后题答案
Chapter NineInterest Rate Risk IIChapter Outline IntroductionDurationA General Formula for Duration∙The Duration of Interest Bearing Bonds∙The Duration of a Zero-Coupon Bond∙The Duration of a Consol Bond (Perpetuities)Features of Duration∙Duration and Maturity∙Duration and Yield∙Duration and Coupon InterestThe Economic Meaning of Duration∙Semiannual Coupon BondsDuration and Immunization∙Duration and Immunizing Future Payments∙Immunizing the Whole Balance Sheet of an FI Immunization and Regulatory ConsiderationsDifficulties in Applying the Duration Model∙Duration Matching can be Costly∙Immunization is a Dynamic Problem∙Large Interest Rate Changes and ConvexitySummaryAppendix 9A: Incorporating Convexity into the Duration Model ∙The Problem of the Flat Term Structure∙The Problem of Default Risk∙Floating-Rate Loans and Bonds∙Demand Deposits and Passbook Savings∙Mortgages and Mortgage-Backed Securities∙Futures, Options, Swaps, Caps, and Other Contingent ClaimsSolutions for End-of-Chapter Questions and Problems: Chapter Nine1. What are the two different general interpretations of the concept of duration, and what isthe technical definition of this term? How does duration differ from maturity?Duration measures the average life of an asset or liability in economic terms. As such, durationhas economic meaning as the interest sensitivity (or interest elasticity) of an asset’s value to changes in the interest rate. Duration differs from maturity as a measure of interest ratesensitivity because duration takes into account the time of arrival and the rate of reinvestment ofall cash flows during the assets life. Technically, duration is the weighted-average time to maturity using the relative present values of the cash flows as the weights.2. Two bonds are available for purchase in the financial markets. The first bond is a 2-year,$1,000 bond that pays an annual coupon of 10 percent. The second bond is a 2-year,$1,000, zero-coupon bond.a. What is the duration of the coupon bond if the current yield-to-maturity (YTM) is 8percent? 10 percent? 12 percent? (Hint: You may wish to create a spreadsheetprogram to assist in the calculations.)Coupon BondPar value = $1,000 Coupon = 0.10 Annual payments YTM = 0.08 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T1 $100.00 0.92593 $92.59 $92.592 $1,100.00 0.85734 $943.07 $1,886.15Price = $1,035.67Numerator = $1,978.74 Duration = 1.9106 = Numerator/Price YTM = 0.10Time Cash Flow PVIF PV of CF PV*CF*T1 $100.00 0.90909 $90.91 $90.912 $1,100.00 0.82645 $909.09 $1,818.18Price = $1,000.00Numerator = $1,909.09 Duration = 1.9091 = Numerator/Price YTM = 0.12Time Cash Flow PVIF PV of CF PV*CF*T1 $100.00 0.89286 $89.29 $89.292 $1,100.00 0.79719 $876.91 $1,753.83Price = $966.20Numerator = $1,843.11 Duration = 1.9076 = Numerator/Priceb. How does the change in the current YTM affect the duration of this coupon bond?Increasing the yield-to-maturity decreases the duration of the bond.c. Calculate the duration of the zero-coupon bond with a YTM of 8 percent, 10 percent,and 12 percent.Zero Coupon BondPar value = $1,000 Coupon = 0.00YTM = 0.08 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T1 $0.00 0.92593 $0.00 $0.002 $1,000.00 0.85734 $857.34 $1,714.68Price = $857.34Numerator = $1,714.68 Duration = 2.0000 = Numerator/Price YTM = 0.10Time Cash Flow PVIF PV of CF PV*CF*T1 $0.00 0.90909 $0.00 $0.002 $1,000.00 0.82645 $826.45 $1,652.89Price = $826.45Numerator = $1,652.89 Duration = 2.0000 = Numerator/Price YTM = 0.12Time Cash Flow PVIF PV of CF PV*CF*T1 $0.00 0.89286 $0.00 $0.002 $1,000.00 0.79719 $797.19 $1,594.39Price = $797.19Numerator = $1,594.39 Duration = 2.0000 = Numerator/Priced. How does the change in the current YTM affect the duration of the zero-coupon bond?Changing the yield-to-maturity does not affect the duration of the zero coupon bond.e. Why does the change in the YTM affect the coupon bond differently than the zero-coupon bond?Increasing the YTM on the coupon bond allows for a higher reinvestment income that more quickly recovers the initial investment. The zero-coupon bond has no cash flow untilmaturity.3. A one-year, $100,000 loan carries a market interest rate of 12 percent. The loan requires payment of accrued interest and one-half of the principal at the end of six months. The remaining principal and accrued interest are due at the end of the year. a. What is the duration of this loan?Cash flow in 6 months = $100,000 x .12 x .5 + $50,000 = $56,000 interest and principal. Cash flow in 1 year = $50,000 x 1.06 = $53,000 interest and principal. Time Cash Flow PVIF CF*PVIF T*CF*CVIF1 $56,000 0.943396 $52,830.19 $52,830.192 $53,000 0.889996 $47,169.81 $94,339.62Price = $100,000.00$147,169.81 = Numerator735849.02100.000,100$81.169,147$==x D yearsb. What will be the cash flows at the end of 6 months and at the end of the year? Cash flow in 6 months = $100,000 x .12 x .5 + $50,000 = $56,000 interest and principal. Cash flow in 1 year = $50,000 x 1.06 = $53,000 interest and principal.c. What is the present value of each cash flow discounted at the market rate? What is thetotal present value? $56,000 ÷ 1.06 = $52,830.19 = PVCF 1$53,000 ÷ (1.06)2 = $47,169.81 = PVCF 2=$100,000.00 = PV Total CFd. What proportion of the total present value of cash flows occurs at the end of 6 months?What proportion occurs at the end of the year? Proportion t=.5 = $52,830.19 ÷ $100,000 x 100 = 52.830 percent. Proportion t=1 = $47,169.81 ÷ $100,000 x 100 = 47.169 percent. e. What is the weighted-average life of the cash flows on the loan?D = 0.5283 x 0.5 years + 0.47169 x 1.0 years = 0.26415 + 0.47169 = 0.73584 years. f. How does this weighted-average life compare to the duration calculated in part (a)above? The two values are the same.4. What is the duration of a five-year, $1,000 Treasury bond with a 10 percent semiannualcoupon selling at par? Selling with a YTM of 12 percent? 14 percent? What can youconclude about the relationship between duration and yield to maturity? Plot therelationship. Why does this relationship exist?Five-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.95238 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.90703 $45.35 $45.351.5 $50.00 0.86384 $43.19 $64.792 $50.00 0.8227 $41.14 $82.272.5 $50.00 0.78353 $39.18 $97.943 $50.00 0.74622 $37.31 $111.933.5$50.00 0.71068 $35.53 $124.374$50.00 0.67684 $33.84 $135.374.5 $50.00 0.64461 $32.23 $145.045 $1,050.00 0.61391 $644.61 $3,223.04Price = $1,000.00Numerator = $4,053.91 Duration = 4.0539 = Numerator/Price Five-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.12 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.9434 $47.17 $23.58 Duration YTM1 $50.00 0.89 $44.50 $44.50 4.0539 0.101.5 $50.00 0.83962 $41.98 $62.97 4.0113 0.122 $50.00 0.79209 $39.60 $79.21 3.9676 0.142.5 $50.00 0.74726 $37.36 $93.413 $50.00 0.70496 $35.25 $105.743.5$50.00 0.66506 $33.25 $116.384$50.00 0.62741 $31.37 $125.484.5 $50.00 0.5919 $29.59 $133.185 $1,050.00 0.55839 $586.31 $2,931.57 .Price = $926.40Numerator = $3,716.03 Duration = 4.0113 = Numerator/PriceFive-year Treasury Bond Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.14 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T 0.5 $50.00 0.93458 $46.73 $23.36 1 $50.00 0.87344 $43.67 $43.67 1.5 $50.00 0.8163 $40.81 $61.22 2 $50.00 0.7629 $38.14 $76.29 2.5 $50.00 0.71299 $35.65 $89.12 3 $50.00 0.66634 $33.32 $99.95 3.5 $50.00 0.62275 $31.14 $108.98 4 $50.00 0.58201 $29.10 $116.40 4.5 $50.00 0.54393 $27.20 $122.39 5 $1,050.00 0.50835 $533.77 $2,668.83 Price = $859.53Numerator = $3,410.22 Duration = 3.9676 = Numerator/Price5. Consider three Treasury bonds each of which has a 10 percent semiannual coupon and trades at par.a. Calculate the duration for a bond that has a maturity of 4 years, 3 years, and 2 years? Please see the calculations on the next page.a. Four-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 4Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.907029 $45.35 $45.351.5 $50.00 0.863838 $43.19 $64.792 $50.00 0.822702 $41.14 $82.272.5 $50.00 0.783526 $39.18 $97.943 $50.00 0.746215 $37.31 $111.933.5$50.00 0.710681 $35.53 $124.374$1,050.00 0.676839 $710.68 $2,842.73Price = $1,000.00Numerator = $3,393.19 Duration = 3.3932 = Numerator/Price Three-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 3Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.907029 $45.35 $45.351.5 $50.00 0.863838 $43.19 $64.792 $50.00 0.822702 $41.14 $82.272.5 $50.00 0.783526 $39.18 $97.943 $1,050.00 0.746215 $783.53 $2,350.58Price = $1,000.00Numerator = $2,664.74 Duration = 2.6647 = Numerator/Price Two-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.907029 $45.35 $45.351.5 $50.00 0.863838 $43.19 $64.792 $1,050.00 0.822702 $863.84 $1,727.68Price = $1,000.00Numerator = $1,861.62 Duration = 1.8616 = Numerator/Priceb. What conclusions can you reach about the relationship of duration and the time tomaturity? Plot the relationship.As maturity decreases, duration decreases at a decreasing rate. Although the graph below does not illustrate with great precision, the change in duration is less than the cha nge in time to maturity.6. A six-year, $10,000 CD pays 6 percent interest annually. What is the duration of the CD? What would be the duration if interest were paid semiannually? What is the relationship of duration to the relative frequency of interest payments?Six-year CDPar value = $10,000 Coupon = 0.06 Annual payments YTM = 0.06 Maturity = 6Time Cash Flow PVIF PV of CF PV*CF*T 1 $600.00 0.94340 $566.04 $566.04 PVIF = 1/(1+YTM)^(Time) 2 $600.00 0.89000 $534.00 $1,068.00 3 $600.00 0.83962 $503.77 $1,511.31 4 $600.00 0.79209 $475.26 $1,901.02 5 $600.00 0.74726 $448.35 $2,241.77 6 $10,600 0.70496 $7,472.58 $44,835.49Price = $10,000.00Numerator = $52,123.64 Duration = 5.2124 = Numerator/PriceSix-year CDPar value = $10,000 Coupon = 0.06 Semiannual payments YTM = 0.06 Maturity = 6Time Cash Flow PVIF PV of CF PV*CF*T 0.5 $300.00 0.970874 $291.26 $145.63 PVIF = 1/(1+YTM/2)^(Time*2) 1 $300.00 0.942596 $282.78 $282.78 1.5 $300.00 0.915142 $274.54$411.812 $300.00 0.888487 $266.55 $533.092.5 $300.00 0.862609 $258.78 $646.963 $300.00 0.837484 $251.25 $753.743.5$300.00 0.813092 $243.93 $853.754$300.00 0.789409 $236.82 $947.294.5 $300.00 0.766417 $229.93 $1,034.665 $300.00 0.744094 $223.23 $1,116.145.5 $300.00 0.722421 $216.73 $1,192.006 $10,300 0.701380 $7,224.21 $43,345.28Price = $10,000.00Numerator = $51,263.12 Duration = 5.1263 = Numerator/Price Duration decreases as the frequency of payments increases. This relationship occurs because (a) cash is being received more quickly, and (b) reinvestment income will occur more quickly from the earlier cash flows.7. What is the duration of a consol bond that sells at a YTM of 8 percent? 10 percent? 12percent? What is a consol bond? Would a consol trading at a YTM of 10 percent have agreater duration than a 20-year zero-coupon bond trading at the same YTM? Why?A consol is a bond that pays a fixed coupon each year forever. A consol Consol Bond trading at a YTM of 10 percent has a duration of 11 years, while a zero- YTM D = 1 + 1/R coupon bond trading at a YTM of 10 percent, or any other YTM, has a 0.08 13.50 years duration of 20 years because no cash flows occur before the twentieth 0.10 11.00 years year. 0.12 9.33 years8. Maximum Pension Fund is attempting to balance one of the bond portfolios under itsmanagement. The fund has identified three bonds which have five-year maturities andwhich trade at a YTM of 9 percent. The bonds differ only in that the coupons are 7 percent,9 percent, and 11 percent.a. What is the duration for each bond?Five-year BondPar value = $1,000 Coupon = 0.07 Annual payments YTM = 0.09 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $70.00 0.917431 $64.22 $64.22 PVIF = 1/(1+YTM)^(Time)2 $70.00 0.841680 $58.92 $117.843 $70.00 0.772183 $54.05 $162.164 $70.00 0.708425 $49.59 $198.365 $1,070.00 0.649931 $695.43 $3,477.13Price = $922.21Numerator = $4,019.71 Duration = 4.3588 = Numerator/PriceFive-year BondPar value = $1,000 Coupon = 0.09 Annual payments YTM = 0.09 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $90.00 0.917431 $82.57 $82.57 PVIF = 1/(1+YTM)^(Time)2 $90.00 0.841680 $75.75 $151.503 $90.00 0.772183 $69.50 $208.494 $90.00 0.708425 $63.76 $255.035 $1,090.00 0.649931 $708.43 $3,542.13Price = $1,000.00Numerator = $4,239.72 Duration = 4.2397 = Numerator/Price Five-year BondPar value = $1,000 Coupon = 0.11 Annual payments YTM = 0.09 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $110.00 0.917431 $100.92 $100.92 PVIF = 1/(1+YTM)^(Time)2 $110.00 0.841680 $92.58 $185.173 $110.00 0.772183 $84.94 $254.824 $110.00 0.708425 $77.93 $311.715 $1,110.00 0.649931 $721.42 $3,607.12Price = $1,077.79Numerator = $4,459.73 Duration = 4.1378 = Numerator/Priceb. What is the relationship between duration and the amount of coupon interest that is paid?Plot the relationship.9. An insurance company is analyzing three bonds and is using duration as the measure ofinterest rate risk. All three bonds trade at a YTM of 10 percent and have $10,000 parvalues. The bonds differ only in the amount of annual coupon interest that they pay: 8, 10, or 12 percent.a. What is the duration for each five-year bond?Five-year BondPar value = $10,000 Coupon = 0.08 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $800.00 0.909091 $727.27 $727.27 PVIF = 1/(1+YTM)^(Time)2 $800.00 0.826446 $661.16 $1,322.313 $800.00 0.751315 $601.05 $1,803.164 $800.00 0.683013 $546.41 $2,185.645 $10,800.00 0.620921 $6,705.95 $33,529.75Price = $9,241.84Numerator = $39,568.14 Duration = 4.2814 = Numerator/Price Five-year BondPar value = $10,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $1,000.00 0.909091 $909.09 $909.09 PVIF = 1/(1+YTM)^(Time)2 $1,000.00 0.826446 $826.45 $1,652.893 $1,000.00 0.751315 $751.31 $2,253.944 $1,000.00 0.683013 $683.01 $2,732.055 $11,000.00 0.620921 $6,830.13 $34,150.67Price = $10,000.00Numerator = $41,698.65 Duration = 4.1699 = Numerator/Price Five-year BondPar value = $10,000 Coupon = 0.12 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $1,200.00 0.909091 $1,090.91 $1,090.91 PVIF = 1/(1+YTM)^(Time)2 $1,200.00 0.826446 $991.74 $1,983.473 $1,200.00 0.751315 $901.58 $2,704.734 $1,200.00 0.683013 $819.62 $3,278.465 $11,200.00 0.620921 $6,954.32 $34,771.59Price = $10,758.16Numerator = $43,829.17 Duration = 4.0740 = Numerator/Priceb. What is the relationship between duration and the amount of coupon interest that is paid?10. You can obtain a loan for $100,000 at a rate of 10 percent for two years. You have a choiceof either paying the principal at the end of the second year or amortizing the loan, that is, paying interest and principal in equal payments each year. The loan is priced at par. a. What is the duration of the loan under both methods of payment?Two-year loan: Principal and interest at end of year two. Par value = 100,000 Coupon = 0.00 No annual payments YTM = 0.10 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T 1 $0.00 0.90909 $0.00 $0.00 PVIF = 1/(1+YTM)^(Time) 2 $121,000 0.82645 $100,000.0 200,000.00 Price = $100,000.0 Numerator = 200,000.00 Duration = 2.0000 = Numerator/Price Two-year loan: Interest at end of year one, P & I at end of year two. Par value = 100,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 2 Time Cash Flow PVIF PV of CF PV*CF*T 1 $10,000 0.909091 $9,090.91 $9,090.91 PVIF = 1/(1+YTM)^(Time) 2 $110,000 0.826446 $90,909.09 181,818.18 Price = $100,000.0 Numerator = 190,909.09 Duration = 1.9091 = Numerator/Price Two-year loan: Amortized over two years. Amortized payment of $57.619.05 Par value = 100,000 Coupon = 0.10 YTM = 0.10 Maturity = 2 Time Cash Flow PVIF PV of CF PV*CF*T 1 $57,619.05 0.909091 $52,380.95 $52,380.95 PVIF = 1/(1+YTM)^(Time) 2 $57,619.05 0.826446 $47,619.05 $95,238.10 Price = $100,000.0Numerator = 147,619.05 Duration = 1.4762 = Numerator/Priceb. Explain the difference in the two results?11. How is duration related to the interest elasticity of a fixed-income security? What is therelationship between duration and the price of the fixed-income security?Taking the first derivative of a bond’s (or any fixed -income security) price (P) with respect to the yield to maturity (R) provides the following:D R dRPdP-=+)1( The economic interpretation is that D is a measure of the percentage change in price of a bond for a given percentage change in yield to maturity (interest elasticity). This equation can be rewritten to provide a practical application:P R dR D dP ⎥⎦⎤⎢⎣⎡+-=1In other words, if duration is known, then the change in the price of a bond due to small changes in interest rates, R, can be estimated using the above formula.12. You have discovered that the price of a bond rose from $975 to $995 when the YTM fellfrom 9.75 percent to 9.25 percent. What is the duration of the bond?We know years D years R RPPD 5.45.40975.1005.97520)1(=⇒-=-=+∆∆=-13. Calculate the duration of a 2-year, $1,000 bond that pays an annual coupon of 10 percentand trades at a yield of 14 percent. What is the expected change in the price of the bond if interest rates decline by 0.50 percent (50 basis points)?Two-year Bond Par value = $1,000 Coupon = 0.10 Annual payments YTM = 0.14 Maturity = 2 Time Cash Flow PVIF PV of CF PV*CF*T 1 $100.00 0.87719 $87.72 $87.72 PVIF = 1/(1+YTM)^(Time) 2 $1,100.00 0.76947 $846.41 $1,692.83 Price = $934.13Numerator = $1,780.55 Duration = 1.9061 = Numerator/PriceExpected change in price = 81.7$13.934$14.1005.9061.11=--=+∆-P RR D. This implies a newprice of $941.94. The actual price using conventional bond price discounting would be $941.99. The difference of $0.05 is due to convexity, which was not considered in this solution.14. The duration of an 11-year, $1,000 Treasury bond paying a 10 percent semiannual couponand selling at par has been estimated at 6.9 years. a. What is the modified duration of the bond (Modified Duration = D/(1 + R))? MD = 6.9/(1 + .10/2) = 6.57 years b. What will be the estimated price change of the bond if market interest rates increase0.10 percent (10 basis points)? If rates decrease 0.20 percent (20 basis points)?Estimated change in price = -MD x ∆R x P = -6.57 x 0.001 x $1,000 = -$6.57. Estimated change in price = -MD x ∆R x P = -6.57 x -0.002 x $1,000 = $13.14. c. What would be the actual price of the bond under each rate change situation in part (b)using the traditional present value bond pricing techniques? What is the amount of error in each case?Rate Price Actual Change Estimated Price Error + 0.001 $993.43 $993.45 $0.02 - 0.002 $1,013.14 $1,013.28 -$0.1415. Suppose you purchase a five-year, 13.76 percent bond that is priced to yield 10 percent. a. Show that the duration of this annual payment bond is equal to four years.Five-year Bond Par value = $1,000 Coupon = 0.1376 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $137.60 0.909091 $125.09 $125.09 PVIF = 1/(1+YTM)^(Time)2 $137.60 0.826446 $113.72 $227.443 $137.60 0.751315 $103.38 $310.144 $137.60 0.683013 $93.98 $375.935 $1,137.60 0.620921 $706.36 $3,531.80Price = $1,142.53Numerator = $4,570.40 Duration = 4.0002 = Numerator/Priceb. Show that, if interest rates rise to 11 percent within the next year and that if yourinvestment horizon is four years from today, you will still earn a 10 percent yield onyour investment.Value of bond at end of year four: PV = ($137.60 + $1,000) ÷ 1.11 = $1,024.86.Future value of interest payments at end of year four: $137.60*FVIF n=4, i=11% = $648.06.Future value of all cash flows at n = 4:Coupon interest payments over four years $550.40Interest on interest at 11 percent 97.66Value of bond at end of year four $1,024.86Total future value of investment $1,672.92Yield on purchase of asset at $1,142.53 = $1,672.92*PVIV n=4, i=?% ⇒ i = 10.002332%.c. Show that a 10 percent yield also will be earned if interest rates fall next year to 9percent.Value of bond at end of year four: PV = ($137.60 + $1,000) ÷ 1.09 = $1,043.67.Future value of interest payments at end of year four: $137.60*FVIF n=4, i=9% = $629.26.Future value of all cash flows at n = 4:Coupon interest payments over four years $550.40Interest on interest at 9 percent 78.86Value of bond at end of year four $1,043.67Total future value of investment $1,672.93Yield on purchase of asset at $1,142.53 = $1,672.93*PVIV n=4, i=?% ⇒ i = 10.0025 percent. 16. Consider the case where an investor holds a bond for a period of time longer than theduration of the bond, that is, longer than the original investment horizon.a. If market interest rates rise, will the return that is earned exceed or fall short of theoriginal required rate of return? Explain.In this case the actual return earned would exceed the yield expected at the time ofpurchase. The benefits from a higher reinvestment rate would exceed the price reductioneffect if the investor holds the bond for a sufficient length of time.b. What will happen to the realized return if market interest rates decrease? Explain.If market rates decrease, the realized yield on the bond will be less than the expected yield because the decrease in reinvestment earnings will be greater than the gain in bond value.c. Recalculate parts (b) and (c) of problem 15 above, assuming that the bond is held for allfive years, to verify your answers to parts (a) and (b) of this problem.The case where interest rates rise to 11 percent, n = five years:Future value of interest payments at end of year five: $137.60*FVIF n=5, i=11% = $856.95.Future value of all cash flows at n = 5:Coupon interest payments over five years $688.00Interest on interest at 11 percent 168.95Value of bond at end of year five $1,000.00Total future value of investment $1,856.95Yield on purchase of asset at $1,142.53 = $1,856.95*PVIF n=5, i=?%The case where interest rates fall to 9 percent, n = five years:Future value of interest payments at end of year five: $137.60*FVIF n=5, i=9% = $823.50.Future value of all cash flows at n = 5:Coupon interest payments over five years $688.00Interest on interest at 9 percent 135.50Value of bond at end of year five $1,000.00Total future value of investment $1,823.50Yield on purchase of asset at $1,142.53 = $1,823.50*PVIV n=5, i=?% ⇒ i = 9.8013 percent.d. If either calculation in part (c) is greater than the original required rate of return, whywould an investor ever try to match the duration of an asset with his investment horizon?The answer has to do with the ability to forecast interest rates. Forecasting interest rates isa very difficult task, one that most financial institution money managers are unwilling to do.For most managers, betting that rates would rise to 11 percent to provide a realized yield of10.20 percent over five years is not a sufficient return to offset the possibility that ratescould fall to 9 percent and thus give a yield of only 9.8 percent over five years.17. Two banks are being examined by the regulators to determine the interest rate sensitivity oftheir balance sheets. Bank A has assets composed solely of a 10-year, 12 percent, $1million loan. The loan is financed with a 10-year, 10 percent, $1 million CD. Bank B has assets composed solely of a 7-year, 12 percent zero-coupon bond with a current (market)value of $894,006.20 and a maturity (principal) value of $1,976,362.88. The bond isfinanced with a 10-year, 8.275 percent coupon, $1,000,000 face value CD with a YTM of10 percent. The loan and the CDs pay interest annually, with principal due at maturity.a. If market interest rates increase 1 percent (100 basis points), how do the market valuesof the assets and liabilities of each bank change? That is, what will be the net affect onthe market value of the equity for each bank?For Bank A, an increase of 100 basis points in interest rate will cause the market values of assets and liabilities to decrease as follows:Loan: $120*PVIVA n=10,i=13% + $1,000*PVIV n=10,i=13% = $945,737.57.CD: $100*PVIVA n=10,i=11% + $1,000*PVIV n=10,i=11% = $941,107.68.Therefore, the decrease in value of the asset was $4,629.89 less than the liability.For Bank B:Bond: $1,976,362.88*PVIV n=7,i=13% = $840,074.08.CD: $82.75*PVIVA n=10,i=11% + $1,000*PVIV n=10,i=11% = $839,518.43.The bond value decreased $53,932.12, and the CD value fell $54,487.79. Therefore,the decrease in value of the asset was $555.67 less than the liability.b. What accounts for the differences in the changes of the market value of equity betweenthe two banks?The assets and liabilities of Bank A change in value by different amounts because thedurations of the assets and liabilities are not the same, even though the face values andmaturities are the same. For Bank B, the maturities of the assets and liabilities are different, but the current market values and durations are the same. Thus the change in interest rates causes the same (approximate) change in value for both liabilities and assets.c. Verify your results above by calculating the duration for the assets and liabilities ofeach bank, and estimate the changes in value for the expected change in interest rates.Summarize your results.Ten-year CD:Bank B (Calculation in millions)Par value = $1,000 Coupon = 0.08 Annual payments YTM = 0.10 Maturity = 10Time Cash Flow PVIF PV of CF PV*CF*T1 $82.75 0.909091 $75.23 $75.23 PVIF = 1/(1+YTM)^(Time)2 $82.75 0.826446 $68.39 $136.783 $82.75 0.751315 $62.17 $186.514 $82.75 0.683013 $56.52 $226.085 $82.75 0.620921 $51.38 $256.916 $82.75 0.564474 $46.71 $280.267 $82.75 0.513158 $42.46 $297.258 $82.75 0.466507 $38.60 $308.839 $82.75 0.424098 $35.09 $315.8510 $1,082.75 0.385543 $417.45 $4,174.47Price = $894.006Numerator = $6,258.15 Duration = 7.0001 = Numerator/PriceThe duration for the CD of Bank B is calculated above to be 7.001 years. Since the bond is a zero-coupon, the duration is equal to the maturity of 7 years. Using the duration formula to estimate the change in value: Bond:∆Value = 39.875,55$20.006,894$12.101.0.71-=-=+∆-P R R DCD: ∆Value = 43.899,56$22.006,894$10.101.0001.71-=-=+∆-P RR DThe difference in the change in value of the assets and liabilities for Bank B is $1,024.04 using the duration estimation model. The small difference in this estimate and the estimate found in part a above is due to the convexity of the two financial assets.The duration estimates for the loan and CD for Bank A are presented below:Ten-year Loan: Bank A (Calculation in millions)Par value = $1,000 Coupon = 0.12 Annual payments YTM = 0.12 Maturity = 10Time Cash Flow PVIF PV of CF PV*CF*T 1 $120.00 0.892857 $107.14 $107.14 PVIF = 1/(1+YTM)^(Time) 2 $120.00 0.797194 $95.66 $191.33 3 $120.00 0.711780 $85.41 $256.24 4 $120.00 0.635518 $76.26 $305.05 5 $120.00 0.567427 $68.09 $340.46 6 $120.00 0.506631 $60.80 $364.77 7 $120.00 0.452349 $54.28 $379.97 8 $120.00 0.403883 $48.47 $387.73 9 $120.00 0.360610 $43.27 $389.46 10 $1,120.00 0.321973 $360.61 $3,606.10 Price = $1,000.00Numerator = $6,328.25 Duration = 6.3282 = Numerator/PriceTen-year CD: Bank A (Calculation in millions) Par value = $1,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 10 Time Cash Flow PVIF PV of CF PV*CF*T 1 $100.00 0.909091 $90.91 $90.91 PVIF = 1/(1+YTM)^(Time) 2 $100.00 0.826446 $82.64 $165.29 3 $100.00 0.751315 $75.13 $225.39 4 $100.00 0.683013 $68.30 $273.21 5 $100.00 0.620921 $62.09 $310.46。
第五章 金融机构风险管理《金融机构管理》PPT课件
2. 商业银行风险管理压力测试
具体的测试方式包括两种，一种是历史回顾，另一种是 对未来进 行预测
3. 金融危机中美国银行的压力测试
4. 我国商业银行的压力测试
• 三、内部管理与控制制度
1. 内部控制的定义及原则
2007年7月，中国银监会颁布《商业银行内部控制指引》，明确内 部控制是商业银行为实现经营目标，通过制定和实施一系列制度、程 序和方法，对风险进行事前防范、事中控制、事后监督和纠正的动态 过程和机制。
金融创新是金融机构的“双刃剑”。具体表现在：
①金融衍生产品由金融基础产品衍生而来，其价格代表投资者对未来某 一时点上的收益预期，可以说，金融衍生产品是脱离基础金融资产的、 本身没有实际价值的“虚拟符号”，这无疑是金融衍生产品的风险本 质所在。
②金融创新业务层出不穷，它们通常是技术性很强的产品或业务，其风 险与收益性质要比普通金融产品复杂得多，一旦金融机构的交易者或 管理人员判断或操作失误，可能导致较大的损失。
在建立内部控制的过程中，应遵循4个原则：有效性原则、审慎性 原则、独立性原则、激励性原则。
2. 商业银行内部控制内容
（1）组织结构控制 （2）合理的授权制度 （3）人事控制 （4）业务操作程序控制 （5）内部会计的控制
3. 商业银行的内部稽核
（1）内部稽核含义 内部稽核是商业银行内部由专职的稽核部门或稽核人员对各项经
• 一、内部风险管控制基础
建立基于风险价值（Value at Risk,VaR）的思想 所谓VaR是指在正常市场情况下，在给定的置信度内， 单一的金融资产或投资组合在给定时期内面临的最大可能 损失金额。
• 二、 采用VaR方法的意义和条件
意义。
条件：
（1）在企业组织上，成立独立于业务部门和结算部 门的风 险管理部门，这个部门应当在汇总了所有基层的风险数据 后，直接向最高管理当局呈报和负责。（2）在对外部监管 和股东的信息披露上，详细呈报企业级风险管理结构、绩 效和主要的风险数据。（3）在设备上，对于原有的数据库 和交易平台进行系统集成；引入VaR风险分析工具。
第七章 金融机构财务管理《金融机构管理》PPT课件
3.资金头寸的预测
三种方法：（1）资金来源和运用法（2）资金结构法（3）流动性指标法
4.其他金融机构的流动性管理
7.4 金融机构资产负债管理
• 一、商业银行资产负债管理理论
1.资产管理理论
（1）商业性贷款理论 （2）资产可转换理论 （3）预期收益理论
具体目标：安全性：保证资本金的安全 流动性：所形成的资产具有足够的流动性 盈利性：在经营管理中实现资本增值
• 三、 财务管理流程
7.2 金融机构的资金筹集
• 一、金融机构筹资渠道与筹资方式
1.股权筹资
（1）普通股筹资（优缺点） （2）优先股筹资（优缺点）
2.债务筹资
（1）债券筹资（优缺点） （2）长期借款筹资（优缺点）
（2）资本结构 资本结构是企业筹资决策的核心问题，企业应综合考虑有关影响
因素，运用适当的方法确定最佳资本结构。与资本结构相关的理论包 括MM定理、权衡理论和筹资顺序理论等
• 二、商业银行的资金来源
1.商业银行的股权融资
（1）股本：普通股和优先股 （2）盈余：资本盈余和留存收益
2.商业银行的债务融资
3.保险公司的承保盈余 4.其他投资资金来源
四、 证券公司的资金来源
7.3 金融机构的资金运用
• 一、银行信贷
1.贷款的分类
按贷款期限分类；按银行贷款的保障条件分类；按贷款偿还方式 分类；按贷款的质量分类
2.贷款规模与比例
评判银行贷款规模是否适度和结构是否合理，可用一些指标来衡 量：（1）贷款/存款比率；（2）贷款/资本比率；（3）贷款集中度
2.绩效评价方法
（1）比率分析法 （2）综合分析法
2金融机构与金融监管.ppt
▪ 但次贷危机爆发后，又实行宽松货币政策，存款准备金 率开始下调，2009年5月中国几家主要银行的存款准备 金率为14.5%。2010年起为了抑制银行过度放贷，又3次 提高存款准备金率，当年5月10日起调高为17%。
▪ 中国人民银行决定，从2011年6月20日起，上调存款类 金融机构人民币存款准备金率0.5个百分点。
截至2004年底，我国券商的证券营业部达2800多家，呈现各自 为战、无序竞争的状态。我国前三家券商注册资本占行业总额约10％， 利润占行业总额不足20％，这与几大投资银行纵横天下的发达国家相 比，行业集中度差距甚大。
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(4)风险管理体系不成熟 我国投资银行业起步较晚，配套法律法规不健全，在内部风险控
行或者通过代销、私募来协助发行人发行证券。 承销定价能力是投行的核心竞争力之一。 ❖ 分销职能：利用其投资者网络，把承销的证券出 售给最终投资者。投资者网络和分销能力也是投 资银行的核心竞争力之一。
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二、投资银行的扩展业务
❖ 投资管理业务：私人银行业务、共同投资服务、风险 管理服务。
❖ 兼并收购业务：收购兼并与反收购兼并。 ❖ 证券投资与交易：自己从事证券投资，充当交易中介
❖ 股票市场：1）投资银行进行股票承销、代客买卖股票， 并作为客户顾问建议其买卖何种股票；2）为其自身的证 券组合购买股票。
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▪ 期货市场：1）投行作为其客户的顾问，建议其如何 利用期货市场进行套期保值防范风险；2)作为经纪人 帮助客户进行期货交易；3）直接参与金融期货交易。
▪ 期权市场：1）投行建议客户如何利用期权市场进行 风险防范；2）作为经纪人 帮客户进行期权交易。
金融学概论课后练习题
金融学概论课后练习题一、基本概念理解1. 请简述金融市场的定义及其功能。
2. 解释货币的时间价值及其在金融决策中的作用。
3. 分别阐述直接融资和间接融资的特点。
4. 简述金融资产的主要类型及其特点。
5. 解释什么是利率，并说明影响利率变动的因素。
二、金融机构与市场6. 列举我国主要的金融机构及其职能。
7. 简述中央银行的主要职能。
8. 分析商业银行的资产负债业务及其作用。
9. 介绍股票市场的运作机制及其在资源配置中的作用。
10. 阐述债券市场的功能及其分类。
三、金融工具与产品11. 解释股票、债券和基金的区别。
12. 简述金融衍生品的概念及其主要类型。
13. 介绍保险的基本原理及其在风险管理中的作用。
14. 阐述贷款的种类及其审批流程。
15. 分析金融租赁业务的优势及其适用场景。
四、金融市场实务16. 计算单利和复利的终值与现值。
17. 估算股票的市盈率和市净率，并说明其含义。
18. 分析企业财务报表，判断其偿债能力和盈利能力。
19. 阐述如何进行金融资产的配置与优化。
20. 讨论金融创新对金融市场发展的影响。
五、金融政策与监管21. 简述货币政策的四大工具及其作用。
22. 介绍金融监管的主要目标和手段。
23. 分析宏观审慎监管在金融稳定中的作用。
24. 阐述金融市场化改革的主要内容及其影响。
25. 讨论国际金融体系改革的主要方向。
六、金融热点问题探讨26. 分析我国影子银行的风险及其监管措施。
27. 讨论互联网金融对传统金融业务的影响。
28. 阐述绿色金融的发展现状及其意义。
29. 分析金融科技在金融行业中的应用及其挑战。
30. 探讨金融开放对我国金融市场的影响。
七、国际金融与汇率31. 解释国际收支平衡表的主要项目及其经济意义。
32. 简述汇率制度的主要类型及其特点。
33. 分析影响汇率变动的因素。
34. 讨论外汇市场的功能及其主要参与者。
35. 阐述外汇风险管理的基本策略。
八、投资分析与决策36. 介绍投资组合理论的基本原理。
金融机构管理知识及业务管理知识(PPT29张)
7.1.4 向人民银行借款的核算 商业银行在经营过程中资金清算头寸 不足时，可向人民银行借款，从人民银 行的角度又称再贷款。人民银行通过对 商业银行的再贷款，对于信贷资金的调 控、货币供应量和商业银行的业务发展， 都具有重要意义。 一、借款种类 商业银行从人民银行取得的借款， 主要有以下几种： 年度性贷款 季节性贷款 日拆性贷款 再贴现
该科目要按照款项的性质分别设置下列三个 性质不同的存款账户： （ 1 ）备付金存款户。用来核算本行在中央银 行的用于清算业务资金头寸的备付金存款的情 况，凡本行与中央银行的资金账务往来均通过 该账户进行核算。 （ 2 ）准备金存款户。用于核算本行缴存中央 银行一般性存款的法定存款准备金的情况。向 中央银行存入准备金时记在本账户借方；由于 一般性存款余额变动而调缴存款，需从中央银 行退回法定存款准备金时记在本账户贷方；余 额在借方，表明本行在中央银行法定存款准备 金的结余数。 （ 3 ）财政性存款户。用于核算本行缴存中央 银行财政性存款的情况。凡本行按规定向中央 银行缴存或调增财政性存款时记借方，调减财 政性存款时记贷方，余额在借方，表明本行在 中央银行财政性存款的结余数。
2、各商业银行之间的资金占用要及时 清算。 3、各商业银行在中央银行开立的往来 帐户应严格掌握。 4、要有利于畅通汇路。
三、金融机构往来业务的科目设置
1）“存放中央银行款项” 2）“向中央银行借款” 3）“拆出资金” 4）“拆入资金”
7.1 人民银行往来业务的核算 7.1.1 科目设置
为了核算人民银行往来业务，各级商 业银行行处要按照规定设置两个主要科 目，即“存放中央银行款项”和“向中 央银行借款”。 一、存放中央银行款项 该科目是资产类科目，用来核算商业 银行存放在中央银行的款项。当在中央 银行的存款增加时记在该科目的借方， 存款减少时记在该科目的贷方；余额在 借方，表明本行在中央银行存款的结余 数。
金融学金融机构体系习题与答案
一、单选题1、下列金融机构中属于我国管理类金融机构是（）。
A.中国人民银行B.商业银行C.证券公司、保险公司及信托投资公司D.政策性银行正确答案：A2、下列机构中既属于金融管理机关又属于管理类金融机构的是（）。
A.中国银行业监督管理委员会B.中国人民银行C.中国保险监督管理委员会D.中国证券监督管理委员会正确答案：B3、中国境内最早设立的本国新式银行是（）。
A.中国通商银行B.户部银行C.丽如银行D.交通银行正确答案：A4、新中国金融体系开始的标志是1948年12月1日成立了（）。
A.北海银行B.华北银行C.中国人民银行D.西北农民银行正确答案：C5、由中国主导建立的新的国际金融机构是（）。
A.国际货币基金组织B.世界银行集团C.国际清算银行D.亚洲基础设施投资银行正确答案：D6、当今世界号称是“中央银行的中央银行”的国际金融机构是（）。
A.亚洲开发银行B.世界银行集团C.国际清算银行D.国际货币基金组织正确答案：C7、金融机构划分为营业性金融机构和管理性金融机构所依据的标准是其（）。
A.业务性质的不同8.经营规模的大小C.职能作用的差异D.能否吸收存款正确答案：C8、管理性金融机构与金融管理机关的最主要区别是（）。
A.是否从事特定的金融业务B.是否以贯彻落实政府的经济政策为目标C,是否具有金融管理职能D.是否以营利为目的正确答案：A9、下列国际金融机构中历史最悠久、现在还在运营的国际金融机构是（）。
A.亚洲基础设施投资银行B.国际清算银行C.非洲开发银行D.泛美开发银行正确答案：B10、目前港元最大的发钞银行是（）。
A.中国银行B.中国工商银行C.汇丰银行D.英格兰银行正确答案：C二、多选题1、中国在1984年形成了以中国人民银行为核心，以下列四大专业银行为主体、其它各种金融机构并存和分工协作的金融机构体系（）。
A.中国建设银行B.中国银行C.中国工商银行D.中国交通银行正确答案：A、B、C2、下列国际金融机构中属于区域性金融机构的是（）。
公司金融学第二章和第三章习题及答案
第二章１、某企业２005年初向银行借入50，000元贷款，为期10年期,在每年末等额偿还。
已知年利率为1２%,年金现值系数(P/Ａ，１２%，１0）为5．650２,试计算每年应偿还多少钱？8849２、某企业计划租用一设备，租期为５年，合同规定每年年初支付租金1000元,年利率为5％,试计算5年租金的现值是多少?3、甲公司年初存入银行一笔现金,从第3年年末起，每年取出１0000元，第６年年末取完，若存款利率为10％，则甲公司现存入了多少钱？1、某项永久性奖学金,每年计划颁发50，0００元，若年利率为8%,采用复利方式计息, 该奖学金的本金为多少钱？2、某企业2005年初向银行借入50,000元贷款,为期10年期,在每年末等额偿还。
已知年利率为1２％，年金现值系数（P／A,１2%，10）为5.6５02,试计算每年应偿还多少钱？３、王某年20０４年初存入银行10，０00元,假设银行按每年8%的复利计息,他可以在每年年末取出20０0元,在最后一次能够足额提款200０元的时间是在什么时候？4、某公司向其员工集资,按照合约规定,每人集资5000元，从第三年年末开始偿还，还期为5年,假设前3年的贴现率为３％，8年期的存款利率为5%，那么该公司所支付给每个员工的年金的现值为多少?５、该公司计划存入银行一笔钱,年复利利率为10%，希望在今后1０年中每年年末获得1000元钱,那么该公司现在应存入银行多少钱？6、某公司正处于成长期，发展迅速,2005年一年的现金流量达800，0０0元,此后会以５%的速度增长,这样的速度可持续５年，如果现在的利率为10%，那么该公司的现金流量的现值为多少？7、某人采用分期付款方式购买一套住房,货款共计为100,０0０元,在20年内等额偿还,年利率为8%,按复利计算,计算他每年应偿还的金额为多少？８、政府计算建立一项永久性的科研奖学金基金，奖励对研究作出突出贡献的学者，每年年末计划发放金额为1,00０，00０元，如果银行长期利率为8％，那么这笔奖学金的现值为多少?如果改为年初发放，其现值是多少？如果每年发放的奖学金以4％的速度增长，现值又是多少？9、甲公司年初存入银行一笔钱，从第三年年末起,每年取出10,０0０元,第六年年末取完,若存款利率为10%,则甲公司现存入了多少钱？1０、某公司有一张应收带息票据,票面金额为5000元,票面利率为6％,出票日期为2005年３月1日，于2005年5月1日到期，共计6０天。
金融机构管理课后答案
金融机构管理课后答案金融机构管理课后答案【篇一：金融机构管理习题答案020】txt>capital adequacychapter outlineintroductioncapital and insolvency riskcapitalthe market value of capitalthe book value of capitalthe discrepancy between the market and book values of equityarguments against market value accountingcapital adequacy in the commercial banking and thrift industryactual capital rulesthe capital-assets ratio (or leverage ratio)risk-based capital ratioscalculating risk-based capital ratioscapital requirements for other fissecurities firmslife insuranceproperty-casualty insurancesummaryappendix 20a: internal ratings based approach to measuring credit risk-adjusted assetssolutions for end-of-chapter questions and problems: chapter twenty1. identify and briefly discuss the importance of the fivefunctions of an fi’s capital?capital serves as a primary cushion against operating losses and unexpected losses in the value of assets (such as the failure of a loan). fis need to hold enough capital to provide confidence to uninsured creditors that they can withstand reasonable shocks to the value of their assets. in addition, the fdic, which guarantees deposits, is concerned that sufficient capital is held so that their funds are protected, because they are responsible for paying insured depositors in the event of a failure. this protection of the fdic funds includes the protectionof the fi owners against increases in insurance premiums. finally, capital also serves as a source of financing to purchase and invest in assets.financial institution?regulators are concerned with the levels of capital held by an fi because of its special role in society. a failure of an fi can have severe repercussions to the local or national economy unlike non-financial institutions. such externalities impose a burden on regulators to ensure that these failures do not impose major negative externalities on the economy. higher capital levels will reduce the probability of such failures.3. what are the differences between the economic definitionof capital and the book valuedefinition of capital?the book value definition of capital is the value of assets minus liabilities as found on the balance sheet. this amount often is referred to as accounting net worth. the economic definition of capital is the difference between the market value of assets and the market value of liabilities.a. how does economic value accounting recognize theadverse effects of credit andinterest rate risk?the loss in value caused by credit risk and interest rate risk is borne first by the equityholders, and then by the liability holders. in market value accounting, the adjustments to equity value are made simultaneously as the losses due to these risk elements occur. thus economic insolvency may be revealed before accounting value insolvency occurs.b. how does book value accounting recognize the adverse effects of credit and interestrate risk?because book value accounting recognizes the value of assets and liabilities at the timethey were placed on the books or incurred by the firm, losses are not recognized until the assets are sold or regulatory requirements force the firm to make balance sheet accounting adjustments. in the case of credit risk, these adjustments usually occur after all attempts tocollect or restructure the loans have occurred. in the case of interest rate risk, the change in interest rates will not affect the recognized accounting value of the assets or the liabilities.4. a financial intermediary has the following balance sheet (in millions) with all assets and liabilities in market values:6 percent semiannual 4-year 5 percent 2-year subordinated debt treasury notes (par value $12) $10(par value $25) $207 percent annual 3-yearaa-rated bonds (par=$15) $159 percent annual 5-yearbbb rated bonds (par=$15) equity capital total assets totalliabilities equitya. under fasb statement no. 115, what would be the effect on equity capital (net worth)if interest rates increase by 30 basis points? the t-notes are held for trading purposes, the rest are all classified as held to maturity.only assets that are classified for trading purposes or available-for-sale are to be reported atmarket values. those classified as held-to-maturity are reported at book values. thechange in value of the t-notes for a 30 basis points change in interest rates is:$10 = pvan=8,k=?($0.36) + pvn=8,k=?($12) ? k = 5.6465 x 2 = 11.293%if k =11.293% + 0.30% =11.593/2 = 5.7965%, the value of the notes will decline to: pvan=8,k=5.7965($0.36) +pvn=3,k=5.7965($12) = $9.8992. and the change in value is $9.8992 -$10 = -0.1008 x $1,000,000 = $100,770.396% semiannual 4-year 5% 2-year subordinatedt-notes (par value $12) $9.8992 debt (par value $25) $20.0000 7% annual 3-yearaa-rated bonds (par=$15) $15.0000 equity capital $20.0000 9% annual 5-yearbbb rated bonds (par=$15) adj. to equity total $39.8992 $39.8992b. under fasb statement no. 115, how are the changes in the market value of assetsadjusted in the income statements and balance sheets of fis?under fasb statement no. 115 assets held till maturity will bekept in book value. assetsavailable for sale and for trading purposes will always be reported in market values except by securities firms, which will have all assets and liabilities reported in market values. also, all uealized and realized income gains and losses will be reflected in both incomestatements and balance sheets for trading purposes. adjustments to assets available for sale will be reflected only through equity adjustments.5. why is the market value of equity a better measure of a banks ability to absorb losses thanbook value of equity?the market value of equity is more relevant than book value because in the event of abankruptcy, the liquidation (market) values will determine the fis ability to pay the various claimants.6. state bank has the following year-end balance sheet (in millions):cash $10 deposits $90loans equitytotal assetsthe loans primarily are fixed-rate, medium-term loans, while the deposits are either short-term or variable-rate. rising interest rates have caused the failure of a key industrialcompany, and as a result, 3 percent of the loans are considered to be uncollectable and thus have no economic value. one-third of these uncollectable loans will be charged off.further, the increase in interest rates has caused a 5 percent decrease in the market value of the remaining loans.a. what is the impact on the balance sheet after the necessaryadjustments are madeaccording to book value accounting? according to market value accounting?under book value accounting, the only adjustment is to charge off 1 percent of the loans.thus the loan portfolio will decrease by $0.90 and a corresponding adjustment will occur in the equity account.the new book value of equity will be $9.10. we assume no tax affects since the tax rate is not given.under market value accounting, the 3 percent decrease inloan value will be recognized, aswill the 5 percent decrease in market value of the remaining loans. thus equity willdecrease by 0.03 x $90 + 0.05 x $90(1 – 0.03) = $7.065. the new market value of equity will be $2.935.b. what is the new market to book value ratio if state bank has $1 million sharesoutstanding?the new market to book value ratio is $2.935/$9.10 = 0.3225.7. what are the arguments for and against the use of market value accounting for fis?market values produce a more accurate picture of the bank’s current financial position for both stockholders and regulators. stockholders can more easily see the effects of changes in interest rates on the bank’s equity, and they can evalua te more clearly the liquidation value of adistressed bank. among the arguments against market value accounting are that market values sometimes are difficult to estimate, particularly for small banks with non-traded assets. this argument is countered by the increasing use of assetsecuritization as a means to determine value of even thinly traded assets. in addition, some argue that market value accounting can produce higher volatility in the earnings of banks. a significant issue in this regard is that regulators may close a bank too quickly under the prompt corrective action requirements of fdicia.8. how is the leverage ratio for an fi defined?the leverage ratio is the ratio of book value of core capital to the book value of total assets, where core capital is book value of equity plus qualifying cumulative perpetual preferred stock plus minority interests in equity accounts of consolidated subsidiaries.9. what is the significance of prompt corrective action as specified by the fdicia legislation?the prompt corrective action provision requires regulators to appoint a receiver for the bank when the leverage ratio falls below 2 percent. thus even though the bank is technically not insolvent in terms of book value of equity, the institution can be placed into receivorship.10. identify and discuss the weaknesses of the leverage ratio as a measure of capital adequacy.first, closing a bank when the leverage ratio falls below 2 percent does not guarantee that the depositors are adequately protected. in many cases of financial distress, the actual market value of equity is significantly negative by the time the leverage ratio reaches 2 percent. second, using total assets as the denominator does not consider the different credit and interest rate risks of the individual assets. third, the ratio does not capture the contingent risk of the off-balance sheet activities of the bank.11. what is the basel agreement?the basel agreement identifies the risk-based capital ratios agreed upon by the member countries of the bank forinternational settlements. the ratios are to be implemented for all commercial banks under their jurisdiction. further, most countries in the world now have accepted the guidelines of this agreement for measuring capital adequacy.12. what is the major feature in the estimation of credit risk under the basel i capitalrequirements?the major feature of the basel agreement is that the capital of banks must be measured as an average of credit-risk-adjusted total assets both on and off the balance sheet.13. what is the total risk-based capital ratio?the total risk-based capital ratio divides total capital by the total of risk-adjusted assets. this ratio must be at least 8 percent for a bank to be considered adequately capitalized. further, at least 4 percent of the risk-based assets must be supported by core capital.【篇二：银行管理章节练习题(附答案)】以下关于金融工具的分类，错误的是（）。
我国金融机构的管理讲义
我国金融机构的管理讲义一、直截了当融资与间接融资直截了当融资是指资金供给者与资金需求者通过一定的金融工具直截了当形成债权债务关系的金融行为。
在直截了当融资中，金融媒介的作用是关心资金供给者与资金需求者形成债权债务关系。
直截了当融资的工具有：商业票据和直截了当借贷凭证；股票和债券。
直截了当融资的优点：资金供求双方联系紧密，有利于合理配置资金，提高资源使用效率，筹资成本较低而投资收益较大。
直截了当融资的局限：直截了当融资的双方在资金数量、期限、利率等方面受到较多限制。
直截了当融资工具的流淌性和变现能力受金融市场的发育程度的限制，一样低于间接融资工具；资金供给方所承担的风险和责任较大。
间接融资是指资金供给者与资金需求者通过金融中介机构间接实现资金融通的行为。
在间接融资中，资金的供求双方不直截了当形成债权债务关系，而是由金融中介机构分别与资金供求双方形成两个各自独立的债权债务关系。
对资金的供给方来说，中介机构是债务人；对资金的需求方来说，中介机构是债权人。
间接融资的工具是金融机构发行的各种融资工具，如存单、贷款合约等。
间接融资的优点：多样化的融资工具能够灵活方便的满足资金供需双方的融资需求。
金融机构能够通过多样化的策略降低风险，安全性较高，有利于提高金融活动的规模效益，提高全社会资金的使用效率。
间接融资的局限：资金的供需双方的直截了当联系被割断，不利于供给方监督和约束资金的使用。
对需求方来说，增加了筹资成本；对供给方来说，降低了收益。
金融机构是从事融资活动的经济组织。
从目前各国来看，金融体系差不多上以中央银行为中心，以商业银行为主体，各类银行和非银行的金融机构并存构成的。
二、我国的金融机构〔一〕银行机构1、中央银行——中国人民银行。
中央银行是指在一国金融体系中居于主导地位,负责制定和执行国家的金融政策,调剂货币流通与信用活动,对国家负责,在对外金融活动中代表国家,并对国内整个金融体系和金融活动实行治理和监督的金融中心机构。
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第3章 习题
第 9 题： 10 年期息票债券，面值 1000 美元，息票利率 7%， 当前售价 871.65 美元，如果第二年以 880.1 美元 出售，计算回报率。
R=(C+ Pt+1-Pt)/Pt =(70+880.1-871.65) /871.65 =0.09
9
第3章 习题
第 10 题： 5 年期债券，息票利率 8%，面值 1000 美元，当 前以 980.30 美元购买，若在 1 年后售出，回报率 为 9%，求售出价。
^3+1000/(1+0.05)^3 =1054.46
3
第3章 习题
第 6 题： 一种永续债券年支付 50 美元，到期收益率为 2.5%，求当前价格。如果到期收益率翻倍，当 前价格为多少。
Pc= c/ ic=50/2.5%=2000 Pc= c/ ic=50/5%=1000
6
第3章 习题
第 7 题： 10 万美元的房产，财产税为每年 2.66%，求财 产税的现值。（假设房产价值不变，财产税率不 变，贴现率为 9%）
1
60
56.07
0.06
2
60
52.41
0.11
3
1060 865.28
2.67
总和
973.76
2.： 第 11 题中，如果利率跌至 6.75%，计算预期价格变动。 两种方法
12
第3章 习题
方法一： %P DUR i 1 i
=-2.83*(6.75%-7%)/(1+7%)=0.66% P P *0.66%=6.44
D*(4000/14000)+10*(10000/14000)=12.5 D=18.75
14
每年财产税=10 万*2.66%=2660 美元 Pc= c/ ic=2660/9%=29555.56
7
第3章 习题
第 8 题： 实际利率 2%，下一年预期通货膨胀率 6%，名 义利率是多少？以名义利率存款 1000 美元，一 年后能否购买 1050 美元的音响。
i=ir+πe =0.02+0.06=0.08 CF=PV*(1+ i)=1000*1.08=1080 P=1050*(1+πe)=1050*1.06=1113
R=(C+Pt+1-Pt)/Pt 9%=(80+Pt+1-980.30)/ 980.30 Pt+1=988.53
10
第3章 习题
第 11 题： 期限 3 年，面值 1000 美元，息票利率 6% 的息票债券久期。（到期收益率 7%）
t
CPt
CPt (1 i)t
t
CPt (1 i)t
n CPt
t1 (1 i)t
第3章 习题
第 1 题： 计算 5 年期，到期收益率为 6%的 1000 美元零息债券的现值。
PV=FV/(1+i)n =1000/(1+0.06)^5 =747.25
1
第3章 习题
第 2 题： 一种彩票头奖每年偿付 50 万，共付 20 年， 贴现率为 6%，这份头奖的实际价值是多少？
LV= FP+FP/(1+i)+FP/(1+i)2+…+FP/(1+i)19
方法二： P1
3 t 1
CPt (1 i)t
=973.76
（i=7%）
P2
3 t 1
CPt (1 i)t
=980.23
（i=6.75%）
P P2 P1 =980.23-973.76=6.47
13
第3章 习题
第 13 题： 一种价值为 1 亿美元的资产组合久期为 10 年，4000 万证券加入该组合后久期变为 12.5 年，求 4000 万证 券的久期？
=500000+500000/(1+0.06)+500000/(1+0.06)^2+
…+500000/(1+0.06)^19 =6079058.25
2
第3章 习题
第 3 题： 年息票利率为 7%，面值 1000 美元，到期 期限 3 年，到期收益率 5%，计算当期价格。
P=C/(1+i)+C/(1+i)2+…+C/(1+i)n+F/(1+i)n =70/(1+0.05)^1+70/(1+0.05)^2+70/(1+0.05)