金融机构风险管理练习习题

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金融机构风险管理练习题

第七章金融中介机构的风险

练习1.

描述下列金融机构在交易中遇到的风险敞口，请选出下面的一种或几种。

a利率风险

b信用风险

c表外风险

d技术风险

e汇率风险

f国家风险

(1)银行通过出售一年期CD为价值$2000万的五年期固定汇率的商业贷款融资。

(2)保险公司把保险费投在长期政府债券组合中。

(3)一家德国银行出售2年期、固定利率债券为波兰公司提供的2年期、固定利率贷款融资。

(4)英国银行收购澳大利亚银行减少结算操作的麻烦。

(5)使用远期或有合约对利率风险敝口进行了完全的套期保值。

(6)债券经纪人公司用自己的股本在LDC债券市场上购买巴西债务。

(7)银行出售一组抵押贷款作为抵押证券。

练习2

公司特有信用风险与系统信用风险的区别是什么金融机构如何减少公司特有信用风险

第八章：利率风险：重定价模型

练习1：

下面哪一项资产或负债符合一年期利率或重定价的敏感性条件

天期美国国库券

年期美国国库券

年期美国国库券

bank repurchases $100000 of common stock

bank issues $2000000 of CDs and uses the proceeds for loans to home-owners.

bank receives $500000 in deposits and invests them in T-bills.

bank issued $800000 in common stock and lends it to help finance a new shopping mall.

bank issued $1000000 in nonqualifying perpetual preferred stock and purchases general obligation municipal bonds.

pay back $4000000 of mortgages, and the bank used the proceeds to build new ATMs.

练习3：

What is the bank’s capital adequacy level (unde r Basel I and Basel II)

Off-balance-sheet items:

Risk weight 100%:

1.$80m in 2-year loan commitments to a large BB+ rated . corporation.

2.$10m direct credit substitute standby letters of credit issued to a BBB rated . corporation.

3.$50m in commercial letters of credit issued to a BBB- rated . corporation.

Risk weight 50%:

fixed-floating interest rate swap for 4 year with notional dollar value of $100m and replacement cost of $3m.

two year Euro$ contract for $40m with a replacement cost of -$1m

练习4：

Third bank has following balance sheet (in millions) with the risk weights in parentheses.

Assets Liabilities and Equity

Cash(0%)$20 Deposits$175

OECD interbank deposits(20%)25Subordinated debt years)3

Mortgage loans(50%)70cumulative preferred stock5