商业银行管理彼得S.罗斯英文原书第8版-英语试题库Chap007

Chapter 7

Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques

Fill in the Blank Questions

1. The ___________________ view of assets and liabilities held that the amount and

types of deposits was primarily determined by customers and hence the key decision

a bank needed to make was with the assets.

Answer: asset management

2. Recent decades have ushered in dramatic changes in banking. The goal of

__________________ was simply to gain control of the bank's sources of funds.

Answer: liability management

3. The__________________________ is the interest rate that equalizes the current

market price of a bond with the present value of the future cash flows.

Answer: yield to maturity (YTM)

4. The __________________ risk premium on a bond allows the investor to be compensated

for their projected loss in purchasing power from the increase in the prices of goods and services in the future.

Answer: inflation

5. The __________________ shows the relationship between the time to maturity and the

yield to maturity of a bond. It is usually constructed using treasury securities since they are assumed to have no default risk.

Answer: yield curve

6. The __________________ risk premium on a bond reflects the differences in the ease

and ability to sell the bond in the secondary market at a favorable price.

Answer: liquidity

7. __________________________ are those assets which mature or must be repriced within

the planning period.

Answer: Interest-sensitive assets

8. __________________________ is the difference between interest-sensitive assets and

interest-sensitive liabilities.

Answer: Dollar interest-sensitive gap

9. A(n)__________________________ means that the bank has more interest-sensitive

liabilities than interest-sensitive assets.

Answer: negative interest-sensitive gap (liability sensitive)

10. The bank's__________________________ takes into account the idea that the speed

(sensitivity) of interest rate changes will differ for different types of assets and liabilities.

Answer: weighted interest-sensitive gap

11. __________________________ is the coordinated management of both the bank's assets

and its liabilities.

Answer: Funds management

12. __________________________ is the risk due to changes in market interest rates which

can adversely affect the bank's net interest margin, assets and equity.

Answer: Interest rate risk

13. The__________________________ is the rate of return on a financial instrument using

a 360 day year relative to the instrument's face value.

Answer: bank discount rate

14. The __________________________ component of interest rates is the risk premium due

to the probability that the borrower will miss some payments or will not repay the loan.

Answer: default risk premium

15. __________________ is the weighted average maturity for a stream of future cash

flows. It is a direct measure of price risk.

Answer: Duration

16. __________________________ is the difference between the dollar-weighted duration

of the asset portfolio and the dollar-weighted duration of the liability portfolio.

Answer: Duration gap

17. A(n)__________________________ duration gap means that for a parallel increase in

all interest rates the market value of net worth will tend to decline.

Answer: positive