金融机构管理课件2.07.第21章 习题
《金融风险管理》习题集
《金融风险管理》习题集第一章、中国金融业概论一、名词解释1、“大一统”的银行体系2、双重银行体系3、政策性银行4、信用合作社5、汇率并轨二、单项选择1、在中国银行业的分类中，下列选项属于“国有银行”的是（）A.商业银行B.农村商业银行C.政策性银行D.信用合作社2、2001年中国成立了第一家政策性保险公司，它是（）A.中国人民保险公司B.太平洋保险公司C.平安保险公司D.中国进出口信用保险公司3、下列选项中不属于我国按照债券品种分类的市场是（）A.银行间债券市场B.债券柜台交易市场C.交易所债券市场D.凭证式债券市场4、下列监管职能中，自2003年4月起不属于人民银行监管范围的有（）A.不良贷款及银行的资本充足率B.银行间拆借市场C.银行间债券市场D.执行存款准备金的管理5、根据中国对世贸组织的承诺下列城市中，属于第一批开放的城市是（）A.成都B.大连C.南京D.北京6、《境外金融机构投资入股中金融机构管理办法》中规定，境外金融投资机构中资机构入股比例的上限是（）A.15%B.20%C.25%D.30%7、下列选项中，不属于中国银行业三个有待解决的问题是（）A.使应该中国银行的资本充足率达到《巴塞尔协议Ⅱ》的要求B.改革四大国有银行C.改革农村信用合作社D.充足小型银行和困难银行8、保监会对设立中外合资寿险公司中外资参股比例的规定是（）A.不得超过25%B.不得超过30%C.不得超过50%D.不得超过51%9、1995年《中国商业银行法》中第一次明确规定所有商业银行的资本充足率不得低于（）A.2%B.4%C.6%D.8%10、下列选项中，不属于《巴塞尔协尔Ⅱ》的三大核心内容的是（）A.信息披露B.资本充足率要求C.金融监管D.市场约束三、简答题1、请简要回答中国金融业的发展过程。
2、请简要回答中国银监会的主要职能与目标。
3、请简要回答外资银行进入中国的五个阶段。
4、请简要回答中国监管当局目前关于资本充足率的规定。
Chap007金融机构管理课后题答案说课材料
C h a p007金融机构管理课后题答案Chapter SevenRisks of Financial IntermediationChapter Outline IntroductionInterest Rate RiskMarket RiskCredit RiskOff-Balance-Sheet RiskTechnology and Operational RiskForeign Exchange RiskCountry or Sovereign RiskLiquidity RiskInsolvency RiskOther Risks and the Interaction of RisksSummarySolutions for End-of-Chapter Questions and Problems: Chapter Seven1.What is the process of asset transformation performed by a financial institution? Whydoes this process often lead to the creation of interest rate risk? What is interest rate risk?Asset transformation by an FI involves purchasing primary assets and issuing secondary assets as a source of funds. The primary securities purchased by the FI often have maturity and liquidity characteristics that are different from the secondary securities issued by the FI. For example, a bank buys medium- to long-term bonds and makes medium-term loans with funds raised by issuing short-term deposits.Interest rate risk occurs because the prices and reinvestment income characteristics of long-term assets react differently to changes in market interest rates than the prices and interest expense characteristics of short-term deposits. Interest rate risk is the effect on prices (value) and interim cash flows (interest coupon payment) caused by changes in the level of interest rates during the life of the financial asset.2.What is refinancing risk? How is refinancing risk part of interest rate risk? If an FI fundslong-term fixed-rate assets with short-term liabilities, what will be the impact on earnings of an increase in the rate of interest? A decrease in the rate of interest?Refinancing risk is the uncertainty of the cost of a new source of funds that are being used to finance a long-term fixed-rate asset. This risk occurs when an FI is holding assets with maturities greater than the maturities of its liabilities. For example, if a bank has a ten-year fixed-rate loan funded by a 2-year time deposit, the bank faces a risk of borrowing new deposits, or refinancing, at a higher rate in two years. Thus, interest rate increases would reduce net interest income. The bank would benefit if the rates fall as the cost of renewing the deposits would decrease, while the earning rate on the assets would not change. In this case, net interest income would increase.3.What is reinvestment risk? How is reinvestment risk part of interest rate risk? If an FIfunds short-term assets with long-term liabilities, what will be the impact on earnings of a decrease in the rate of interest? An increase in the rate of interest?Reinvestment risk is the uncertainty of the earning rate on the redeployment of assets that have matured. This risk occurs when an FI holds assets with maturities that are less than the maturities of its liabilities. For example, if a bank has a two-year loan funded by a ten-year fixed-rate time deposit, the bank faces the risk that it might be forced to lend or reinvest the money at lower rates after two years, perhaps even below the deposit rates. Also, if the bank receives periodic cash flows, such as coupon payments from a bond or monthly payments on a loan, these periodic cash flows will also be reinvested at the new lower (or higher) interest rates. Besides the effect on the income statement, this reinvestment risk may cause the realized yields on the assets to differ from the a priori expected yields.4. The sales literature of a mutual fund claims that the fund has no risk exposure since itinvests exclusively in federal government securities that are free of default risk. Is thisclaim true? Explain why or why not.Although the fund's asset portfolio is comprised of securities with no default risk, the securities remain exposed to interest rate risk. For example, if interest rates increase, the market value of the fund's Treasury security portfolio will decrease. Further, if interest rates decrease, the realized yield on these securities will be less than the expected rate of return because of reinvestment risk. In either case, investors who liquidate their positions in the fund may sell at a Net Asset Value (NAV) that is lower than the purchase price.5. What is economic or market value risk? In what manner is this risk adversely realized inthe economic performance of an FI?Economic value risk is the exposure to a change in the underlying value of an asset. As interest rates increase (or decrease), the value of fixed-rate assets decreases (or increases) because of the discounted present value of the cash flows. To the extent that the change in market value of the assets differs from the change in market value of the liabilities, the difference is realized in the market value of the equity of the FI. For example, for most depository FIs, an increase in interest rates will cause asset values to decrease more than liability values. The difference will cause the market value, or share price, of equity to decrease.6. A financial institution has the following balance sheet structure:Assets Liabilities and EquityCash $1,000 Certificate of Deposit $10,000 Bond $10,000 Equity $1,000 Total Assets $11,000 Total Liabilities and Equity $11,000 The bond has a 10-year maturity and a fixed-rate coupon of 10 percent. The certificate of deposit has a 1-year maturity and a 6 percent fixed rate of interest. The FI expects noadditional asset growth.a. What will be the net interest income (NII) at the end of the first year? Note: Netinterest income equals interest income minus interest expense.Interest income $1,000 $10,000 x 0.10Interest expense 600 $10,000 x 0.06Net interest income (NII) $400b. If at the end of year 1 market interest rates have increased 100 basis points (1 percent),what will be the net interest income for the second year? Is the change in NII causedby reinvestment risk or refinancing risk?Interest income $1,000 $10,000 x 0.10Interest expense 700 $10,000 x 0.07Net interest income (NII) $300The decrease in net interest income is caused by the increase in financing cost without a corresponding increase in the earnings rate. Thus, the change in NII is caused byrefinancing risk. The increase in market interest rates does not affect the interest income because the bond has a fixed-rate coupon for ten years. Note: this answer makes noassumption about reinvesting the first year’s interest income at the new higher rate.c. Assuming that market interest rates increase 1 percent, the bond will have a value of$9,446 at the end of year 1. What will be the market value of the equity for the FI?Assume that all of the NII in part (a) is used to cover operating expenses or isdistributed as dividends.Cash $1,000 Certificate of deposit $10,000Bond $9,446 Equity $ 446Total assets $10,446 $10,446d. If market interest rates had decreased 100 basis points by the end of year 1, would themarket value of equity be higher or lower than $1,000? Why?The market value of the equity would be higher ($1,600) because the value of the bond would be higher ($10,600) and the value of the CD would remain unchanged.e. What factors have caused the change in operating performance and market value forthis firm?The operating performance has been affected by the changes in the market interest rates that have caused the corresponding changes in interest income, interest expense, and net interest income. These specific changes have occurred because of the unique maturities of the fixed-rate assets and fixed-rate liabilities. Similarly, the economic market value of the firm has changed because of the effect of the changing rates on the market value of the bond.7. How does the policy of matching the maturities of assets and liabilities work (a) tominimize interest rate risk and (b) against the asset-transformation function for FIs?A policy of maturity matching will allow changes in market interest rates to have approximately the same effect on both interest income and interest expense. An increase in rates will tend to increase both income and expense, and a decrease in rates will tend to decrease both income and expense. The changes in income and expense may not be equal because of different cash flow characteristics of the assets and liabilities. The asset-transformation function of an FI involves investing short-term liabilities into long-term assets. Maturity matching clearly works against successful implementation of this process.8. Corporate bonds usually pay interest semiannually. If a company decided to change fromsemiannual to annual interest payments, how would this affect the bond’s interest rate risk?The interest rate risk would increase as the bonds are being paid back more slowly and therefore the cash flows would be exposed to interest rate changes for a longer period of time. Thus any change in interest rates would cause a larger inverse change in the value of the bonds.9. Two 10-year bonds are being considered for an investment that may have to be liquidatedbefore the maturity of the bonds. The first bond is a 10-year premium bond with a coupon rate higher than its required rate of return, and the second bond is a zero-coupon bond that pays only a lump-sum payment after 10 years with no interest over its life. Which bond would have more intere st rate risk? That is, which bond’s price would change by a larger amount for a given change in interest rates? Explain your answer.The zero-coupon bond would have more interest rate risk. Because the entire cash flow is not received until the bond matures, the entire cash flow is exposed to interest rate changes over the entire life of the bond. The cash flows of the coupon-paying bond are returned with periodic regularity, thus allowing less exposure to interest rate changes. In effect, some of the cash flows may be received before interest rates change. The effects of interest rate changes on these two types of assets will be explained in greater detail in the next section of the text.10. Consider again the two bonds in problem (9). If the investment goal is to leave the assetsuntouched until maturity, such as for a child’s education or for one’s retirement, which of the two bonds has more interest rate risk? What is the source of this risk?In this case the coupon-paying bond has more interest rate risk. The zero-coupon bond will generate exactly the expected return at the time of purchase because no interim cash flows will be realized. Thus the zero has no reinvestment risk. The coupon-paying bond faces reinvestment risk each time a coupon payment is received. The results of reinvestment will be beneficial if interest rates rise, but decreases in interest rate will cause the realized return to be less than the expected return.11. A money market mutual fund bought $1,000,000 of two-year Treasury notes six monthsago. During this time, the value of the securities has increased, but for tax reasons themutual fund wants to postpone any sale for two more months. What type of risk does the mutual fund face for the next two months?The mutual fund faces the risk of interest rates rising and the value of the securities falling.12. A bank invested $50 million in a two-year asset paying 10 percent interest per annum andsimultaneously issued a $50 million, one-year liability paying 8 percent interest per annum.What will be the bank’s net interest income each year if at the end of the first year allinterest rates have increased by 1 percent (100 basis points)?Net interest income is not affected in the first year, but NII will decrease in the second year.Year 1 Year 2Interest income $5,000,000 $5,000,000Interest expense $4,000,000 $4,500,000Net interest income $1,000,000 $500,00013. What is market risk? How do the results of this risk surface in the operating performanceof financial institutions? What actions can be taken by FI management to minimize theeffects of this risk?Market risk is the risk of price changes that affects any firm that trades assets and liabilities. The risk can surface because of changes in interest rates, exchange rates, or any other prices of financial assets that are traded rather than held on the balance sheet. Market risk can be minimized by using appropriate hedging techniques such as futures, options, and swaps, and by implementing controls that limit the amount of exposure taken by market makers.14. What is credit risk? Which types of FIs are more susceptible to this type of risk? Why?Credit risk is the possibility that promised cash flows may not occur or may only partially occur. FIs that lend money for long periods of time, whether as loans or by buying bonds, are more susceptible to this risk than those FIs that have short investment horizons. For example, life insurance companies and depository institutions generally must wait a longer time for returns to be realized than money market mutual funds and property-casualty insurance companies.15. What is the difference between firm-specific credit risk and systematic credit risk? Howcan an FI alleviate firm-specific credit risk?Firm-specific credit risk refers to the likelihood that specific individual assets may deteriorate in quality, while systematic credit risk involves macroeconomic factors that may increase the default risk of all firms in the economy. Thus, if S&P lowers its rating on IBM stock and if an investor is holding only this particular stock, she may face significant losses as a result of this downgrading. However, portfolio theory in finance has shown that firm-specific credit risk can be diversified away if a portfolio of well-diversified stocks is held. Similarly, if an FI holds well-diversified assets, the FI will face only systematic credit risk that will be affected by the general condition of the economy. The risks specific to any one customer will not be a significant portion of the FIs overall credit risk.16. Many banks and S&Ls that failed in the 1980s had made loans to oil companies inLouisiana, Texas, and Oklahoma. When oil prices fell, these companies, the regionaleconomy, and the banks and S&Ls all experienced financial problems. What types of risk were inherent in the loans that were made by these banks and S&Ls?The loans in question involved credit risk. Although the geographic risk area covered a large region of the United States, the risk more closely characterized firm-specific risk than systematic risk. More extensive diversification by the FIs to other types of industries would have decreased the amount of financial hardship these institutions had to endure.17. What is the nature of an off-balance-sheet activity? How does an FI benefit from suchactivities? Identify the various risks that these activities generate for an FI and explain how these risks can create varying degrees of financial stress for the FI at a later time.Off-balance-sheet activities are contingent commitments to undertake future on-balance-sheet investments. The usual benefit of committing to a future activity is the generation of immediate fee income without the normal recognition of the activity on the balance sheet. As such, these contingent investments may be exposed to credit risk (if there is some default risk probability), interest rate risk (if there is some price and/or interest rate sensitivity) and foreign exchange rate risk (if there is a cross currency commitment).18. What is technology risk? What is the difference between economies of scale andeconomies of scope? How can these economies create benefits for an FI? How can these economies prove harmful to an FI?Technology risk occurs when investment in new technologies does not generate the cost savings expected in the expansion in financial services. Economies of scale occur when the average cost of production decreases with an expansion in the amount of financial services provided. Economies of scope occur when an FI is able to lower overall costs by producing new products with inputs similar to those used for other products. In financial service industries, the use of data from existing customer databases to assist in providing new service products is an example of economies of scope.19. What is the difference between technology risk and operational risk? How doesinternationalizing the payments system among banks increase operational risk?Technology risk refers to the uncertainty surrounding the implementation of new technology in the operations of an FI. For example, if an FI spends millions on upgrading its computer systems but is not able to recapture its costs because its productivity has not increased commensurately or because the technology has already become obsolete, it has invested in a negative NPV investment in technology.Operational risk refers to the failure of the back-room support operations necessary to maintain the smooth functioning of the operation of FIs, including settlement, clearing, and other transaction-related activities. For example, computerized payment systems such as Fedwire, CHIPS, and SWIFT allow modern financial intermediaries to transfer funds, securities, and messages across the world in seconds of real time. This creates the opportunity to engage in global financial transactions over a short term in an extremely cost-efficient manner. However, the interdependence of such transactions also creates settlement risk. Typically, any given transaction leads to other transactions as funds and securities cross the globe. If there is either a transmittal failure or high-tech fraud affecting any one of the intermediate transactions, this could cause an unraveling of all subsequent transactions.20. What two factors provide potential benefits to FIs that expand their asset holdings andliability funding sources beyond their domestic economies?FIs can realize operational and financial benefits from direct foreign investment and foreign portfolio investments in two ways. First, the technologies and firms across various economies differ from each other in terms of growth rates, extent of development, etc. Second, exchange rate changes may not be perfectly correlated across various economies.21. What is foreign exchange risk? What does it mean for an FI to be net long in foreign assets?What does it mean for an FI to be net short in foreign assets? In each case, what musthappen to the foreign exchange rate to cause the FI to suffer losses?Foreign exchan ge risk involves the adverse affect on the value of an FI’s assets and liabilities that are located in another country when the exchange rate changes. An FI is net long in foreign assets when the foreign currency-denominated assets exceed the foreign currency denominated liabilities. In this case, an FI will suffer potential losses if the domestic currency strengthens relative to the foreign currency when repayment of the assets will occur in the foreign currency. An FI is net short in foreign assets when the foreign currency-denominated liabilities exceed the foreign currency denominated assets. In this case, an FI will suffer potential losses if the domestic currency weakens relative to the foreign currency when repayment of the liabilities will occur in the domestic currency.22. If the Swiss franc is expected to depreciate in the near future, would a U.S.-based FI inBern City prefer to be net long or net short in its asset positions? Discuss.The U.S. FI would prefer to be net short (liabilities greater than assets) in its asset position. The depreciation of the franc relative to the dollar means that the U.S. FI would pay back the net liability position with fewer dollars. In other words, the decrease in the foreign assets in dollar value after conversion will be less than the decrease in the value of the foreign liabilities in dollar value after conversion.23. If international capital markets are well integrated and operate efficiently, will banks beexposed to foreign exchange risk? What are the sources of foreign exchange risk for FIs?If there are no real or financial barriers to international capital and goods flows, FIs can eliminate all foreign exchange rate risk exposure. Sources of foreign exchange risk exposure include international differentials in real prices, cross-country differences in the real rate of interest (perhaps, as a result of differential rates of time preference), regulatory and government intervention and restrictions on capital movements, trade barriers, and tariffs.24. If an FI has the same amount of foreign assets and foreign liabilities in the same currency,has that FI necessarily reduced to zero the risk involved in these international transactions?Explain.Matching the size of the foreign currency book will not eliminate the risk of the international transactions if the maturities of the assets and liabilities are mismatched. To the extent that the asset and liabilities are mismatched in terms of maturities, or more importantly durations, the FI will be exposed to foreign interest rate risk.25. A U.S. insurance company invests $1,000,000 in a private placement of British bonds.Each bond pays £300 in interest per year for 20 years. If the current exchange rate is£1.7612/$, what is the nature of the insurance company’s exchange rate risk? Specifically, what type of exchange rate movement concerns this insurance company?In this case, the insurance company is worried about the value of the £ falling. If this happens, the insurance company would be able to buy fewer dollars with the £ received. This would happen if the exchange rate rose to say £1.88/$ since now it would take more £ to buy one dollar, but the bond contract is paying a fixed amount of interest and principal.26. Assume that a bank has assets located in London worth £150 million on which it earns anaverage of 8 percent per year. The bank has £100 million in liabilities on which it pays an average of 6 percent per year. The current spot rate is £1.50/$.a. If the exchange rate at the end of the year is £2.00/$, will the dollar have appreciated ordevalued against the mark?The dollar will have appreciated, or conversely, the £ will have depreciated.b. Given the change in the exchange rate, what is the effect in dollars on the net interestincome from the foreign assets and liabilities? Note: The net interest income is interestincome minus interest expense.Measurement in £Interest received = £12 millionInterest paid = £6 millionNet interest income = £6 millionMeasurement in $ before £ devaluationInterest received in dollars = $8 millionInterest paid in dollars = $4 millionNet interest income = $4 millionMeasurement in $ after £ devaluationInterest received in dollars = $6 millionInterest paid in dollars = $3 millionNet interest income = $3 millionc. What is the effect of the exchange rate change on the value of assets and liabilities indollars?The assets were worth $100 million (£150m/1.50) before depreciation, but afterdevaluation they are worth only $75 million. The liabilities were worth $66.67 millionbefore depreciation, but they are worth only $50 million after devaluation. Since assetsdeclined by $25 million and liabilities by $16.67 million, net worth declined by $8.33million using spot rates at the end of the year.27. Six months ago, Qualitybank, LTD., issued a $100 million, one-year maturity CDdenominated in Euros. On the same date, $60 million was invested in a €-denominated loan and $40 million was invested in a U.S. Treasury bill. The exchange rate six months ago was €1.7382/$. Assume no repayment of principal, and an exchange rate today of €1.3905/$.a. What is the current value of the Euro CD principal (in dollars and €)?Today's principal value on the Euro CD is €173.82 and $125m (173.82/1.3905).b. What is the current value of the Euro-denominated loan principal (in dollars and €)?Today's principal value on the loan is DM104.292 and $75 (104.292/1.3905).c. What is the current value of the U.S. Treasury bil l (in dollars and €)?Today's principal value on the U.S. Treasury bill is $40m and €55.62 (40 x 1.3905),although for a U.S. bank this does not change in value.d.What is Qualitybank’s profit/loss from this transaction (in dollars and €)?Qualitybank's loss is $10m or €13.908.Solution matrix for problem 27:At Issue Date:Dollar Transaction Values (in millions) Euro Transaction Values (in millions)Euro Euro Euro EuroLoan $60 CD $100 Loan DM104.292 CD DM173.82 U.S T-bill $40 U.S. T-bill DM69.528$100 $100 DM173.82 DM173.82 Today:Dollar Transaction Values (in millions) €Transaction Values (in millions)Euro Euro Euro EuroLoan $75 CD $125 Loan €104.292CD €173.82 U.S. T-bill $40 U.S. T-bill €55.620$115 $125 €159.912 €173.82 28. Suppose you purchase a 10-year, AAA-rated Swiss bond for par that is paying an annualcoupon of 8 percent. The bond has a face value of 1,000 Swiss francs (SF). The spot rate at the time of purchase is SF1.50/$. At the end of the year, the bond is downgraded to AA and the yield increases to 10 percent. In addition, the SF appreciates to SF1.35/$.a. What is the loss or gain to a Swiss investor who holds this bond for a year? What portion of this loss or gain is due to foreign exchange risk? What portion is due to interest rate risk?Beginning of the Year000,1*000,1*6010,610,6SF PV SF PVA SF Bond of Price n i n i =+=====End of the Year06.875*000,1*609,89,8SF PV SF PVA SF Bond of Price n i n i =+=====The loss to the Swiss investor (SF875.06 + SF60 - SF1,000)/$1,000 = -6.49 percent. The entire amount of the loss is due to interest rate risk.b. What is the loss or gain to a U.S. investor who holds this bond for a year? What portion of this loss or gain is due to foreign exchange risk? What portion is due to interest rate risk?Price at beginning of year = SF1,000/SF1.50 = $666.67Price at end of year = SF875.06/SF1.35 = $648.19Interest received at end of year = SF60/SF1.35 = $44.44Gain to U.S. investor = ($648.19 + $44.44 - $666.67)/$666.67 = +3.89%.The U.S. investor had an equivalent loss of 6.49 percent from interest rate risk, but he had again of 10.38 percent (3.89 - (-6.49)) from foreign exchange risk. If the Swiss franc haddepreciated, the loss to the U.S. investor would have been larger than 6.49 percent.29. What is country or sovereign risk ? What remedy does an FI realistically have in the eventof a collapsing country or currency?Country risk involves the interference of a foreign government in the transmission of funds transfer to repay a debt by a foreign borrower. A lender FI has very little recourse in this situation unless the FI is able to restructure the debt or demonstrate influence over the future supply of funds to the country in question. This influence likely would involve significant working relationships with the IMF and the World Bank.30. Characterize the risk exposure(s) of the following FI transactions by choosing one or moreof the risk types listed below:a. Interest rate risk d. Technology riskb. Credit risk e. Foreign exchange rate riskc. Off-balance-sheet risk f. Country or sovereign risk(1) A bank finances a $10 million, six-year fixed-rate commercial loan by selling one-year certificates of deposit. a, b(2) An insurance company invests its policy premiums in a long-term municipal bondportfolio. a, b。
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.。
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。
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（）。
金融学(金融机构体系)习题与答案
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5、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B. 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9、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（）。
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。
金融学课后习题答案(已打印)
1•价值2•时间3•复利4•贴现率5•普通年金6•终值1.ABCD2.ABE3.A4.B5.A6.A7.C8.C 1•什么是货币的时间价值，怎样计算货币的时间价值？货币资金的时间价值是指货币经历一定时间的投资和再投资所增加的价值。
货币时间价值有两种表示方法：(1)绝对数，即增值额(△G)： (2)相对数，即增值额(△G)和本金(P)的比率，它是相当于在没有风险和通货膨胀条件下的社会平均资金利润率。
计算利息有两种方法，单利法和复利法单利是指在计算利息时，不论期限长短，仅对本金计算利息，本金所生利息不再加入本金计算下期利息。
单利计算公式为：I=P • r•nS=P(l+r • n)式中，I表示利息额,P表示本金,r表示利息率,n表示借贷期限,S表示本金和利息Z 和，简称本息和。
复利是指计算利息时，不仅对本金计息，而且对本金在上一时期所生利息加入木金一并计算利息，逐期滚算。
其计算公式为：S=P - (1+r)*I=S - P在复利计息方式下，在到期R之前每一年所生的利息将被进行再投资并获得利息，即利滚利。
由于复利计息有利于加强资金的时间观念，而且便于比较不同期限的资金使用效益，更符合资金的时间价值概念a2.如何理解终值和现值？利率的变动对现值和终值有什么影响？终值是指现在的一定资金按复利计息方法计算在将来某一时期结束后获得的本金和利息之和，用FV表示。
如果我们用PV表示初始的资金，用r表示利率, 用n表示计息的期数，则FV二PV(l+r)%现值是在复利计息方式下，未來一定金额按照某一利率折算到现在的价值，或者说为取得将来一定的本利和，现在需要付出的本金。
通过复利的终值计算公式FV=PVX(l+r)^我们可以倒推出现值的计算公式：由公式可知，终值同利率同方向变动，现值同利率反方向变动。
3.年度百分率和有效年利率之间的关系是怎样的？年度百分比率（annual percent age rate, APR ）是指银行等金融机构提供 的利率，也叫做报价利率。
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
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。
第六章 金融机构创新管理《金融机构管理》PPT课件
1. 金融机构创新
2. 金融制度创新
金融制度是关于资金融通的体系或系统，它主要包括构成金融体 系的金融组织制度和规范金融秩序的金融监管制度。金融制度创新就 是为了适应金融效率提高的要求，而在金融资源分配制度方面发生的 变革和创新，它是一国经济制度的必要组成部分。
3. 金融技术创新
4. 金融工具创新
金融工具创新是指各种要素重新组合和创造性变革的一种活动方 式，通过创新活动，金融市场可以用新的金融产品或服务来代替或补 充已有的金融工具，并在实践中被市场广泛接受。金融工具创新可以 分为两大类：一是根据新的金融理论而生产出来的新的金融产品，比 如根据期权定价理论而出现的各类金融期权；二是对现有金融产品进 行“再造”，对生产流程进行重构，使金融活动更有效率。更多的金 融创新产品属于后一类。
• 三、 金融创新的动因
1. 规避管制 2. 竞争加剧 3. 金融自由化 4. 技术推动 5. 转移风险
• 四、金融创新的效应
1. 积极效应
A金融创新有利于提高金融资产与金融机构的多样化程度，丰富金融 市场交易品种，促进金融市场一体化 B金融创新促进社会资产信用化 C金融创新有利于中央银行的公开市场业务操作
第六章 金融机构创新管理
6.1 金融创新概述
• 一、金融创新的定义
金融创新是指变更现有的金融体制和增加新的金融工具， 以获取现有的金融体制和金融工具所无法取得的潜在利润，它 是一个受盈利动机推动、持续不断的发展过程。
• 二、 金融创新的内容
一般对金融创新的理解有广义和狭义两个层面。 狭义的金融创新主要是融资方式和金融产品的创新，它们 是金融创新的核心和本质所在；广义的金融创新不仅包括金融 技术和产品的创新，而且包括新的金融机构的出现和金融制度 的创新。本课采用广义层面的金融创新。
第二十一章金融监管
6.分散监管体制----- f．通过中央银行的监管，创造一个平等合作、有序竞争的金融环境，鼓励金融机构在公平竞争的基础上，增强经营活力，提高经营效率和生存发展能力。
7.竞争的公平性----- g．由于法定的理由，如由法院宣布破产或因严重违规、资不抵债等原因被监管当局依法关闭，金融机构因此而退出市场。
8.政策的一致性----- h．根据金融业内不同的机构主体及其业务范围的划分而分别进行监管的体制，通常由多个金融监管机构共同承担监管责任。
9.主动退出----- i．中央银行或监管当局根据国家规定的稽核职责，对金融业务活动进行的监督和检查。
10.被动退出----- j．通过监管使金融机构的经营行为与中央银行的货币政策目标保持一致。
11.金融稽核----- k．金融机构因分立、合并或者出现公司章程规定的事由需要解散，因此而退出市场。
（二）单项选择1.金融监管的最基本出发点是（）。
A. 维护国家利益B. 维护社会公众利益C. 维护金融机构利益D. 控制金融机构经营规模2.按机构的设立划分，由中央银行和监管机构共同承担监管职责的是（）。
A. 多元监管B.一元监管C. 二元监管D. 三元监管3.我国目前规定商业银行资产流动性比率，即流动性资产平均余额与流动性负债平均余额之比不得低于（）。
A. 15%B. 20%C. 25%D. 30%4.市场经济国家的金融监管制度都是通过（）确定的。
A. 民主讨论B. 立法程序C. 公众投票D. 领导决定5.我国目前金融监管体制采用的是（）。
A. 分业监管B. 集中监管C. 混合监管D. 交叉监管6.我国的下列金融市场监管机构中属于外部监管机构的是（）。
A. 深圳证券交易所B. 上海证券交易所C. 中国证券业协会D. 证监会7.我国《商业银行法》规定可计入附属资本的是（）。
A. 一级债务B. 次级债务C. 长期贷款D. 长期投资8.金融市场监管中公开原则的含义包括价格形成公开和（）。
《金融机构管理Ⅱ》
《金融机构管理Ⅱ》1、“经理国库、充当最后贷款人”表示中心银行在行使( B )本能机能。
A．调剂本能机能B．办事本能机能C．治理本能机能D．操纵本能机能2、我国公平易近经济核算新体系由( C )构成。
A．资产负债表和资金流量表B．国际进出均衡表和投入产出表C．社会再临盆核算表和经济轮回帐户D．资产负债表和投入产出表3、鄙人列泉币政策对象中，属于一样性泉币政策对象的有( B )。
A．道义劝说B．公布市场营业C．利率最高限额D．流淌性比率4、中心银行治理外债是指对( D )的治理。
A．借的方面B．用的方面C．还的方面D．借、用、还三方面5、具有最强烈和精确的宣示效应的泉币政策对象是( A )。
A．预备金政策B．再贴现政策C．公布市场营业D．中心银行贷款6、流淌性最强的资产是( C )A．固定资产B．无形资产C．现金资产D．递延资产7、下列构成投资银行永久性本钱的是( C )A．按期优先股B．经久信用C．通俗股D．从属债券8、我国规定，基金收益分派应当采取现金情势，每年一次，基金收益分派比例不得低于基金净收益的( D )A．50%B．60%C．80%D．90%9、保险公司的全然本能机能是( A )A．经济补偿B．资金应用C．防灾D．减损10、依照我国现行规定，在直辖市设立信任机构，事实上收本金最低限额为( B ) A．5000万元B．1000万元C．500万元D．100万元11、我国实施的金融体系市（A）A.复合银行体系B.单一银行体系C.没有中心银行的金融体系12、下列特点中不属于金融机构营业的全然特点的是（C）A.无形性B.非鄙视性C.差别性D.专业性13、下列营业中属于银行的资家当务的是（C）A.按期存款B.期货交易C.购买国库券D.发行经久债券14、下列构成银行核心本钱的是（B）A.通俗预备金B.公布贮备C.未公布贮备D.次级经久债券15、投资银行财务治理的目标是使（B）A.公司利润最大年夜化B.股东财宝最大年夜化C.每股收益最大年夜化16、资产治理理论重要有__ CDE __。