金融机构管理习题答案009

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金融学09金融机构(参考答案)

第九章金融机构一、选择题1、B2、A3、B4、B5、C6、A7、A8、B9、C 10、C11、A12、D 13、D 14、A15、C二、判断题1、√2、√3、×4、×5、√6、√7、×8、√9、×三、名词解释1、金融机构是资金盈余者与资金需求者之间融通资金的信用中介，是金融体系的重要组成部分，在整个国民经济运行中起着举足轻重的作用。

2、在特定的环境下，如果关于某一方面的信息只有一部分人知道，这种信息就是“非对称信息”。

3、逆向选择是指财务状况恶劣的劣质借款人更愿意为获取资金而支付相对较高利率，最终导致借款市场上充斥劣质借款人。

4、国家管理型金融机构是在金融领域代表国家，受国家监督，直接对国家负责，制定并执行国家金融政策，具有中央银行职能作用的金融机构。

5、政策性金融机构是由政府投资设立的，根据政府的决策意向专门从事政策性金融业务的银行。

6、商业银行是主要从事资产、负债业务，在所有金融机构中最大，也是最重要的银行。

7、中央银行是代表国家进行金融调控与管理，具有国家机构性质的特殊金融机构。

8、契约型储蓄机构是通过长期契约协议获得资金并把所获资金主要投向资本市场的商业性金融机构。

9、投资型金融机构主要包括共同基金、金融公司和货币市场共同基金等，其优势是有较低的交易成本、较丰富的金融经验、易做到分散经营。

10、投资银行是专门从事发行长期融资证券和企业资产重组的金融机构。

11、国际货币基金组织是根据1944年联合国国际货币金融会议通过的《国际货币基金协定》建立的，为协调国际间的货币政策，加强货币合作而建立的政府间的金融机构。

12、世界银行是国际复兴开发银行的简称，是在1944年联合国国际货币金融会议后，与国际货币基金组织同时产生的两个国际性金融机构之一。

13、利率风险是金融机构的财务状况在市场利率出现不利波动时面临的风险。

14、汇率发生变化时，金融机构持有的外币资产减值，或外币负债负担增大。

金融机构管理第九章中文版课后习题答案(1、2、3、6、11、12、13、16)

金融机构管理第九章课后习题部分答案（1、2、3、6、11、12、13、16）1. 有效期限衡量的是经济定义中资产和负债的平均期限。

有效期限的经济含义是资产价值对于利率变化的利率敏感性（或利率弹性）。

有效期限的严格定义是一种以现金流量的相对现值为权重的加权平均到期期限。

有效期限与到期期限的不同在于，有效期限不仅考虑了资产（或负债）的期限，还考虑了期间发生的现金流的再投资利率。

2.息票债券面值价值= $1,00利率= 0.10 每年付一次息到期收益率=0.08 期限= 2时间现金流PVIF PV ofCF PV*CF *T1 $100.00 0.92593$92.59 $92.592 $1,100.00 0.85734$943.07 $1,886.15价格=$1,035.67分子= $1,978.74有效期限=1.9106= 分子/价格到期收益率=0.10时间现金流PVIF PV ofCF PV*CF *T1 $100.00 0.90909$90.91 $90.912 $1,100.00 0.82645$909.09 $1,818.18价格=$1,000.00分子= $1,909.09有效期限=1.9091= 分子/价格到期收益率=0.12时间现金流PVIF PV ofCF PV*CF *T1 $100.00 0.892$89.29 $89.292 $1,100.00 0.79719$876.91 $1,753.83价格=$966.20分子= $1,843.11有效期限=1.9076= 分子/价格b. 到期收益率上升时，有限期限减少。

c.零息债券面值价值= $1,00利率= 0.00到期收益率=0.08 期限= 2时间现金流PVIF PV ofCF PV*CF *T1 $0.00 0.92593$0.00 $0.002 $1,000.00 0.85734$857.34 $1,714.68价格=$857.34分子= $1,714.68有效期限=2.000= 分子/价格到期收益率=0.10时间现金流PVIF PV ofCF PV*CF *T1 $0.00 0.90909$0.00 $0.002 $1,000.00 0.82645$826.45 $1,652.89价格=$826.45分子= $1,652.89有效期限=2.000= 分子/价格到期收益率=0.12时间现金流PVIF PV ofCF PV*CF *T1 $0.00 0.892$0.00 $0.002 $1,000.00 0.79719 $797.19 $1,594.39价格 = $797.19分子 =$1,594.39有效期限 =2.0000= 分子/价格d.到期收益率的变化不影响零息债券的有效期限。

金融学金融监管习题与答案

一、单选题 1、由于金融产品的市场价格（如证券价格、金融衍生产品价格）的变动，而使金融机构面临损失的风险是（）A.操作风险B.市场风险C/匚率风险D.流动性风险正确答案：B2、世界上正式建立存款保险制度最早的国家是（）A.美国B.德国C.英国D.法国正确答案：A3、1988年7月巴塞尔委员会通过的《关于统一国际银行的资本计算和资本标准的协定》（即《巴塞尔协议I》）不包括以下哪项内容（）A.规定资本充足率B.确定了资本的构成C.规定资产的风险权重D.规定操作风险内容正确答案：D4、2003年3月，我国的金融监管体制进行了一次大的调整。

根据第十届全国人民代表大会第一次会议的批准，国务院决定设立（）A.资产管理公司B.银监会C.证监会D.保监会正确答案：B5、下面不属于金融监管的目标的是（）A.维护金融业的安全和稳定B.保护银行业的利益C.维护金融业的运作秩序和公平竞争D.保护公众利益正确答案：B6、按照《巴塞尔协议3》，若某银行风险加权资产为20000亿元，则其核心一级资本不得（），一级资本不得（）A.低于900亿元，低于1200亿B.低于400亿元，低于1200亿C.低于400亿元，低于800亿D.低于800亿元，低于1200亿正确答案：A7、与利率波动的不确定性相关的风险，称为（）A.操作风险B.道德风险C.利率风险D.信用风险正确答案：C8、按照国际通行的贷款风险分类方法，将银行贷款资产的质量从高到低依次分为（）A.正常类、次级类、关注类、可疑类、损失类B.正常类、关注类、可疑类、次级类、损失类C.正常类、关注类、次级类、可疑类、损失类D.正常类、关注类、损失类、可疑类、次级类正确答案：C9、1988年通过的《巴塞尔协议I》将银行资本分为（）儿核心资本与附属资本B.注册资本与实缴资本C.普通股与优先股D.国有股与私人股正确答案：A10、按照《巴塞尔协议III》对银行业的要求，由普通股构成的核心一级资本占风险加权资产的比重由原来的2%提高到了（）A.4%B.4.5%C.5%D.8%正确答案：B11、按照《巴塞尔协议I》的规定，国际银行核心资本占总资本的比例不得低于（）A.55%B.50%C.60%D.40%正确答案：B12、按照《巴塞尔协议I》的规定，资本总额与风险加权资产的比例不得低于（）A.4%B.6%C.8%D.10%正确答案：C13、美国次贷危机中的“次级”是指（）A.放贷机构的信用等级较低B.贷款人的收人较低，信用等级较低C.放贷机构的实力和规模较小D.贷款人的第二次贷款正确答案：B14、如果金融机构资产负债的期限不匹配，即“借短放长”会导致的风险属于（）A.市场风险B.操作风险C.流动性风险D.信用风险正确答案：C15、在我国当前监管体制中，负责“宏观审慎监管“发挥独特作用的机构是（）A.证监会B.国资委C.银保监会D.中国人民银行正确答案：D二、多选题1、根据监管主体的多少，金融监管体制大致可区分为（）A. 一元多头监管体制B.二元多头监管体制C.复合监管体制D.集中单一监管体制正确答案：A、B、D2、政府监管的政府安全网由（）组成A.保证金制度B.最后贷款人制度C.谨慎性监管体系D.存款保险制度正确答案：B、D3、存款保险制度的主要作用是（）A.保护存款者利益B.保证存款者的最低收益水平C.稳定金融体系D.避免银行破产正确答案：A、C4、次贷危机爆发的直接原因是（）A.房地产价格下降B.美国提高利率水平C.“911”恐怖袭击引发的恐慌D.美国攻打伊拉克正确答案：A、B5、2000年-2006年期间，美国次级住房抵押贷款市场迅猛发展，原因包括（）A.放贷机构通过信贷资产证券化转移风险B.购房贷款需求旺盛C.美联储的低利率政策D.房地产价格快速上涨正确答案：A、B、C、D6、金融机构在经营活动中常见的风险有（）A.市场风险B.声誉风险C.流动性风险D.信用风险正确答案：A、B、C、D7、《巴塞尔新资本协议》的三大支柱是（）A.外部监管B.内部控制C.市场约束D.最低资本要求正确答案：A、C、D8、我国金融行业主要的专业监管机构包括（）A.国务院金融稳定发展委员会B.中国证监会C.中国人民银行D.中国银行保险监督管理委员会（银保监会）正确答案：A、B、C、D9、金融监管的一般理论有（）A.管制供求论B.社会利益论C.投资者利益保护论D.金融风险论正确答案：A、B、C、D10、西方国家统称为金融监管的“三道防线”是指（）A.存款保险制度B.市场约束C.预防性管理D.紧急救援正确答案：A、C、D三、判断题26、信用风险是指交易对手不愿或者不能履行合同而造成的风险正确答案：J27、操作风险是指银行由于不完善或有问题的内部程序、员工和信息科技系统，以及外部事件而给银行造成损失的风险正确答案：J28、金融风险论认为金融业是一个特殊的高风险行业，这种特殊性决定了国际特别需要对该行业进行监管正确答案：J29、设立存款保险制度是为了保护存款人利益和保证一国金融稳定，因此必须要由政府设立存款保险机构才能保证目的的实现正确答案：X30、金融业的特殊性表现在其是一个低负债的行业正确答案：X31、存款保险制度的积极作用在于它能更好地保护大银行正确答案：X 32、通常，建立存款保险制度的国家，存款保险机构对每一位存款户承担全部赔偿责任正确答案：X33、“最后贷款人”制度的主要目标是防止单个金融机构的破产正确答案：X34、中央银行作为“最后贷款人”会为银行提供中长期贷款正确答案：X35、1988年的《巴塞尔协议I》突出强调了市场风险正确答案：X36、在金融混业经营的背景下，各国金融监管体制趋向于分散的多头监管正确答案：X37、次级住房抵押贷款的放款对象是信用记录良好的购房者正确答案：X38、次级住房抵押贷款的利率一般低于优质住房抵押贷款，以确保贷款购房者能够按时还本付息正确答案：X39、次贷危机前，美国实行的是一元多头监管体制正确答案：X40、金融风险论认为金融业是一个特殊的高风险行业，这种特性决定了国家特别需要对该行业进行监管正确答案：J。

风险管理与金融机构第二版课后习题答案

风险管理与金融机构第二版课后习题答案第八章8.1VaR是指在一定的知心水平下损失不能超过的数量；预期亏损是在损失超过VaR的条件下损失的期望值，预期亏损永远满足次可加性（风险分散总会带来收益）条件。

8.2一个风险度量可以被理解为损失分布的分位数的某种加权平均。

VaR对于第某个分位数设定了100%的权重，而对于其它分位数设定了0权重，预期亏损对于高于某%的分位数的所有分位数设定了相同比重，而对于低于某%的分位数的分位数设定了0比重。

我们可以对分布中的其它分位数设定不同的比重，并以此定义出所谓的光谱型风险度量。

当光谱型风险度量对于第q个分位数的权重为q的非递减函数时，这一光谱型风险度量一定满足一致性条件。

8.3有5%的机会你会在今后一个月损失6000美元或更多。

8.4在一个不好的月份你的预期亏损为60000美元，不好的月份食指最坏的5%的月份8.5(1)由于99.1%的可能触发损失为100万美元，故在99%的置信水平下，任意一项损失的VaR为100万美元。

（2）选定99%的置信水平时，在1%的尾部分布中，有0.9%的概率损失1000万美元，0.1%的概率损失100万美元，因此，任一项投资的预期亏损是0.1%1%1000.9%1%1000910万美元（3）将两项投资迭加在一起所产生的投资组合中有0.0090.009=0.000081的概率损失为2000万美元，有0.9910.991=0.982081的概率损失为200万美元，有20.0090.991=0.017838的概率损失为1100万美元，由于99%=98.2081%+0.7919%，因此将两项投资迭加在一起所产生的投资组合对应于99%的置信水平的VaR是1100万美元。

（4）选定99%的置信水平时，在1%的尾部分布中,有0.0081%的概率损失2000万美元，有0.9919%的概率损失1100万美元，因此两项投资迭加在一起所产生的投资组合对应于99%的置信水平的预期亏损是0.0000810.0120000.0099190.0111001107万美元（5）由于11001002=200，因此VaR不满足次可加性条件，11079102=1820，因此预期亏损满足次可加性条件。

金融机构考试题及答案详解

金融机构考试题及答案详解一、单项选择题（每题1分，共10分）1. 以下哪项不是金融机构的类型？A. 商业银行B. 保险公司C. 证券交易所D. 房地产开发商答案：D2. 金融市场的基本功能不包括以下哪项？A. 资金融通B. 风险管理C. 信息提供D. 产品制造答案：D3. 以下哪个是中央银行的职能？A. 制定货币政策B. 经营商业银行业务C. 销售保险产品D. 提供投资咨询答案：A4. 以下哪项不是金融市场的特点？A. 高效性B. 流动性C. 稳定性D. 灵活性答案：C5. 金融机构在进行风险管理时，通常不采用以下哪种方法？A. 风险分散化B. 风险对冲C. 风险转移D. 风险接受答案：D6. 以下哪个不是金融监管的目的？A. 保护投资者利益B. 维护金融市场秩序C. 促进金融机构盈利D. 防范金融风险答案：C7. 以下哪种货币形式属于电子货币？A. 纸币B. 硬币C. 信用卡D. 支票答案：C8. 以下哪个是金融衍生品的特点？A. 低风险B. 高杠杆C. 无风险D. 低杠杆答案：B9. 以下哪个不是金融创新的驱动因素？A. 技术进步B. 市场需求C. 监管政策D. 金融产品过剩答案：D10. 以下哪个是金融中介机构的职能？A. 吸收存款B. 生产商品C. 提供咨询服务D. 销售房地产答案：A二、多项选择题（每题2分，共10分）11. 金融机构可以提供哪些服务？（ABCDE）A. 信贷服务B. 投资服务C. 保险服务D. 咨询服务E. 资产管理服务答案：ABCDE12. 以下哪些是金融监管机构的职责？（ABCD）A. 制定监管政策B. 监督金融机构的合规性C. 处理违规行为D. 维护金融市场稳定E. 为金融机构提供咨询服务答案：ABCD13. 金融市场的参与者包括哪些？（ABCE）A. 个人投资者B. 机构投资者C. 政府D. 房地产开发商E. 金融机构答案：ABCE14. 以下哪些是金融市场的分类？（ABD）A. 货币市场B. 资本市场C. 商品市场D. 外汇市场E. 房地产市场答案：ABD15. 以下哪些是金融风险的类型？（ABC）A. 信用风险B. 市场风险C. 操作风险D. 技术风险E. 法律风险答案：ABC三、判断题（每题1分，共5分）16. 所有金融机构都必须接受金融监管机构的监管。

金融管理试题(带参考答案)

金融管理试题(带参考答案)1. 基础概念题1. 什么是金融管理？- 答：金融管理是指对各种金融资源和资产进行有效配置、利用和监督的管理活动。

2. 金融管理的目标是什么？- 答：金融管理的目标是实现资金的最优配置，提高资金使用效率，维护金融稳定，促进经济发展。

3. 举例说明金融管理的职能有哪些？- 答：金融管理的职能包括资金筹集、资金配置、风险管理、财务管理等。

2. 决策题1. 你在公司中的金融管理部门，需要选择一个投资项目来获取收益并降低风险。

请描述你会采取的决策策略。

- 答：我将采取多样化投资策略，将资金分散投资于不同的项目，以降低整体风险。

同时，将进行详细的风险评估和收益预测，选择具有良好前景和可行性的项目进行投资。

2. 在金融管理中，财务分析扮演着重要的角色。

请描述你会如何进行财务分析来评估一家公司的健康状况。

- 答：我将通过分析公司的财务报表，包括利润表、资产负债表和现金流量表，来评估公司的财务状况。

我会关注公司的盈利能力、偿债能力、运营能力和现金流状况等指标，并进行比较和趋势分析，以得出对公司健康状况的评价。

3. 批判性思考题1. 就当前金融市场的风险管理情况发表你的看法。

- 答：当前金融市场的风险管理情况存在一定的挑战。

尽管监管机构加强了监管和风险管理措施，但市场波动性和不确定性的增加，仍对风险管理提出了新的要求。

尤其是在新兴领域，如数字货币和区块链技术，需要建立切实可行的风险管理框架和工具。

2. 你认为金融管理在未来的发展方向是什么？- 答：我认为金融管理的未来发展方向将更加注重数据分析和科技创新。

随着技术的进步，人工智能、大数据和区块链等技术将在金融管理中发挥重要作用。

同时，对环境、社会和治理等可持续发展因素的考虑也将成为金融管理的重要内容。

参考答案1. 基础概念题- 什么是金融管理？- 答：金融管理是指对各种金融资源和资产进行有效配置、利用和监督的管理活动。

- 金融管理的目标是什么？- 答：金融管理的目标是实现资金的最优配置，提高资金使用效率，维护金融稳定，促进经济发展。

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.。

大学《金融管理概论》考试题库及答案

紧缩性货币政策的功能在于（）收藏A.刺激投资、抑制消费B.刺激投资和消费C.抑制投资和消费D.刺激消费、抑制投资回答错误!正确答案： C承销商在为发行人发行股票时需承担全部发行风险的方式是（）收藏A.代销B.余额保险C.全额包销D.推销回答错误!正确答案： C下列属于开放式基金的条件是（）收藏基金份额可以在证券交易所转让B.不能赎回C.基金份额总额不固定D.基金份额总额在基金合同期限内固定不变回答错误!正确答案：C凯恩斯把用于储存财富的资产划分为（）收藏A.现金与存款B.股票与债券C.储蓄与投资D.货币与债券回答错误!正确答案：D国际收支出现巨额逆差时，会导致下列哪种经济现象（）。

收藏A.本币汇率升值，资本流出本币汇率升值，资本流入C.本币汇率贬值，资本流入D.本币汇率贬值，资本流出回答错误!正确答案：D面向整个社会公开发行的股票方式是（）收藏A.折价发行B.私募C.溢价发行D.公募回答错误!正确答案： D通常判断一国国际收支是否平衡，主要看其（）是否平衡收藏A.经常项目B.自主性交易资本和金融项目D.调节性交易回答错误!正确答案：B工商企业之间以赊销方式提供的信用是（）收藏A.银行信用B.消费信用C.商业信用D.国家信用回答错误!正确答案： C货币政策的调节对象主要是（）收藏A.货币需求量B.社会总需求C.货币供给量社会总供给回答错误!正确答案：C从法律角度看，保险是一种（）收藏A.保险人与被保险人的商品交换关系B.保险人与被保险人之间的收入分配关系C.损失分摊方法D.合同行为回答错误!正确答案： D提交商业银行最基本的、最能反映其经营活动特征的功能是（）收藏A.信用创造功能B.支付中介功能C.信用中介功能D.金融服务功能回答错误!正确答案：C我国当前的金融监管体制属于（）。

收藏A.单一监管体制B.分权多头式监管体制C.以上都不正确D.集权多头式监管体制回答错误!正确答案： B保险人和被保险人是保险合同要素中的（）收藏A.客体B.主体C.保险责任D.基本条款回答错误!正确答案： B融资性租赁中出租人承担的责任是（）收藏A.承担设备老化风险B.负责保养和维修设备C.对设备质量负责D.为承租人购置设备回答错误!正确答案： D题型描述: 单选题货币均衡的主要标志是（）收藏A.物价下跌B.物价持续上涨C.商品滞销D.币值稳定回答错误!正确答案： D《巴塞尔协议》中银行资本（核心资本加附属资本）和风险资产的比率为（）。

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Chapter NineInterest Rate Risk IIChapter Outline IntroductionDurationA General Formula for Duration•The Duration of Interest Bearing Bonds•The Duration of a Zero-Coupon Bond•The Duration of a Consol Bond (Perpetuities)Features of Duration•Duration and Maturity•Duration and Yield•Duration and Coupon InterestThe Economic Meaning of Duration•Semiannual Coupon BondsDuration and Immunization•Duration and Immunizing Future Payments•Immunizing the Whole Balance Sheet of an FI Immunization and Regulatory ConsiderationsDifficulties in Applying the Duration Model•Duration Matching can be Costly•Immunization is a Dynamic Problem•Large Interest Rate Changes and ConvexitySummaryAppendix 9A: Incorporating Convexity into the Duration Model •The Problem of the Flat Term Structure•The Problem of Default Risk•Floating-Rate Loans and Bonds•Demand Deposits and Passbook Savings•Mortgages and Mortgage-Backed Securities•Futures, Options, Swaps, Caps, and Other Contingent ClaimsSolutions for End-of-Chapter Questions and Problems: Chapter Nine1. What are the two different general interpretations of the concept of duration, and what isthe technical definition of this term? How does duration differ from maturity?Duration measures the average life of an asset or liability in economic terms. As such, duration has economic meaning as the interest sensitivity (or interest elasticity) of an asset’s value to changes in the interest rate. Duration differs from maturity as a measure of interest ratesensitivity because duration takes into account the time of arrival and the rate of reinvestment ofall cash flows during the assets life. Technically, duration is the weighted-average time to maturity using the relative present values of the cash flows as the weights.2. Two bonds are available for purchase in the financial markets. The first bond is a 2-year,$1,000 bond that pays an annual coupon of 10 percent. The second bond is a 2-year,$1,000, zero-coupon bond.a. What is the duration of the coupon bond if the current yield-to-maturity (YTM) is 8percent? 10 percent? 12 percent? (Hint: You may wish to create a spreadsheetprogram to assist in the calculations.)Coupon BondPar value = $1,000 Coupon = 0.10 Annual payments YTM = 0.08 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T1 $100.00 0.92593 $92.59 $92.592 $1,100.00 0.85734 $943.07 $1,886.15Price = $1,035.67Numerator = $1,978.74 Duration = 1.9106 = Numerator/Price YTM = 0.10Time Cash Flow PVIF PV of CF PV*CF*T1 $100.00 0.90909 $90.91 $90.912 $1,100.00 0.82645 $909.09 $1,818.18Price = $1,000.00Numerator = $1,909.09 Duration = 1.9091 = Numerator/Price YTM = 0.12Time Cash Flow PVIF PV of CF PV*CF*T1 $100.00 0.89286 $89.29 $89.292 $1,100.00 0.79719 $876.91 $1,753.83Price = $966.20Numerator = $1,843.11 Duration = 1.9076 = Numerator/Priceb. How does the change in the current YTM affect the duration of this coupon bond?Increasing the yield-to-maturity decreases the duration of the bond.c. Calculate the duration of the zero-coupon bond with a YTM of 8 percent, 10 percent,and 12 percent.Zero Coupon BondPar value = $1,000 Coupon = 0.00YTM = 0.08 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T1 $0.00 0.92593 $0.00 $0.002 $1,000.00 0.85734 $857.34 $1,714.68Price = $857.34Numerator = $1,714.68 Duration = 2.0000 = Numerator/Price YTM = 0.10Time Cash Flow PVIF PV of CF PV*CF*T1 $0.00 0.90909 $0.00 $0.002 $1,000.00 0.82645 $826.45 $1,652.89Price = $826.45Numerator = $1,652.89 Duration = 2.0000 = Numerator/Price YTM = 0.12Time Cash Flow PVIF PV of CF PV*CF*T1 $0.00 0.89286 $0.00 $0.002 $1,000.00 0.79719 $797.19 $1,594.39Price = $797.19Numerator = $1,594.39 Duration = 2.0000 = Numerator/Priced. How does the change in the current YTM affect the duration of the zero-coupon bond?Changing the yield-to-maturity does not affect the duration of the zero coupon bond.e. Why does the change in the YTM affect the coupon bond differently than the zero-coupon bond?Increasing the YTM on the coupon bond allows for a higher reinvestment income that more quickly recovers the initial investment. The zero-coupon bond has no cash flow untilmaturity.3. A one-year, $100,000 loan carries a market interest rate of 12 percent. The loan requires payment of accrued interest and one-half of the principal at the end of six months. The remaining principal and accrued interest are due at the end of the year. a. What is the duration of this loan?Cash flow in 6 months = $100,000 x .12 x .5 + $50,000 = $56,000 interest and principal. Cash flow in 1 year = $50,000 x 1.06 = $53,000 interest and principal. Time Cash Flow PVIF CF*PVIF T*CF*CVIF1 $56,000 0.943396 $52,830.19 $52,830.192 $53,000 0.889996 $47,169.81 $94,339.62Price = $100,000.00 $147,169.81 = Numerator735849.02100.000,100$81.169,147$==x D yearsb. What will be the cash flows at the end of 6 months and at the end of the year? Cash flow in 6 months = $100,000 x .12 x .5 + $50,000 = $56,000 interest and principal. Cash flow in 1 year = $50,000 x 1.06 = $53,000 interest and principal.c. What is the present value of each cash flow discounted at the market rate? What is the total present value? $56,000 ÷ 1.06 = $52,830.19 = PVCF 1$53,000 ÷ (1.06)2 = $47,169.81 = PVCF 2=$100,000.00 = PV Total CFd. What proportion of the total present value of cash flows occurs at the end of 6 months? What proportion occurs at the end of the year? Proportion t=.5 = $52,830.19 ÷ $100,000 x 100 = 52.830 percent. Proportion t=1 = $47,169.81 ÷ $100,000 x 100 = 47.169 percent.e. What is the weighted-average life of the cash flows on the loan?D = 0.5283 x 0.5 years + 0.47169 x 1.0 years = 0.26415 + 0.47169 = 0.73584 years. f. How does this weighted-average life compare to the duration calculated in part (a) above? The two values are the same.4. What is the duration of a five-year, $1,000 Treasury bond with a 10 percent semiannualcoupon selling at par? Selling with a YTM of 12 percent? 14 percent? What can youconclude about the relationship between duration and yield to maturity? Plot therelationship. Why does this relationship exist?Five-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.95238 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.90703 $45.35 $45.351.5 $50.00 0.86384 $43.19 $64.792 $50.00 0.8227 $41.14 $82.272.5 $50.00 0.78353 $39.18 $97.943 $50.00 0.74622 $37.31 $111.933.5$50.00 0.71068 $35.53 $124.374$50.00 0.67684 $33.84 $135.374.5 $50.00 0.64461 $32.23 $145.045 $1,050.00 0.61391 $644.61 $3,223.04Price = $1,000.00Numerator = $4,053.91 Duration = 4.0539 = Numerator/Price Five-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.12 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.9434 $47.17 $23.58 Duration YTM1 $50.00 0.89 $44.50 $44.50 4.0539 0.101.5 $50.00 0.83962 $41.98 $62.97 4.0113 0.122 $50.00 0.79209 $39.60 $79.21 3.9676 0.142.5 $50.00 0.74726 $37.36 $93.413 $50.00 0.70496 $35.25 $105.743.5$50.00 0.66506 $33.25 $116.384$50.00 0.62741 $31.37 $125.484.5 $50.00 0.5919 $29.59 $133.185 $1,050.00 0.55839 $586.31 $2,931.57 .Price = $926.40Numerator = $3,716.03 Duration = 4.0113 = Numerator/PriceFive-year Treasury Bond Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.14 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T 0.5 $50.00 0.93458 $46.73 $23.36 1 $50.00 0.87344 $43.67 $43.67 1.5 $50.00 0.8163 $40.81 $61.22 2 $50.00 0.7629 $38.14 $76.29 2.5 $50.00 0.71299 $35.65 $89.12 3 $50.00 0.66634 $33.32 $99.95 3.5 $50.00 0.62275 $31.14 $108.98 4 $50.00 0.58201 $29.10 $116.40 4.5 $50.00 0.54393 $27.20 $122.39 5 $1,050.00 0.50835 $533.77 $2,668.83 Price = $859.53Numerator = $3,410.22 Duration = 3.9676 = Numerator/Price5. Consider three Treasury bonds each of which has a 10 percent semiannual coupon and trades at par.a. Calculate the duration for a bond that has a maturity of 4 years, 3 years, and 2 years? Please see the calculations on the next page.a. Four-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 4Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.907029 $45.35 $45.351.5 $50.00 0.863838 $43.19 $64.792 $50.00 0.822702 $41.14 $82.272.5 $50.00 0.783526 $39.18 $97.943 $50.00 0.746215 $37.31 $111.933.5$50.00 0.710681 $35.53 $124.374$1,050.00 0.676839 $710.68 $2,842.73Price = $1,000.00Numerator = $3,393.19 Duration = 3.3932 = Numerator/Price Three-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 3Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.907029 $45.35 $45.351.5 $50.00 0.863838 $43.19 $64.792 $50.00 0.822702 $41.14 $82.272.5 $50.00 0.783526 $39.18 $97.943 $1,050.00 0.746215 $783.53 $2,350.58Price = $1,000.00Numerator = $2,664.74 Duration = 2.6647 = Numerator/Price Two-year Treasury BondPar value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)1 $50.00 0.907029 $45.35 $45.351.5 $50.00 0.863838 $43.19 $64.792 $1,050.00 0.822702 $863.84 $1,727.68Price = $1,000.00Numerator = $1,861.62 Duration = 1.8616 = Numerator/Priceb. What conclusions can you reach about the relationship of duration and the time tomaturity? Plot the relationship.As maturity decreases, duration decreases at a decreasing rate. Although the graph below does not illustrate with great precision, the change in duration is less than the change in time to maturity.6. A six-year, $10,000 CD pays 6 percent interest annually. What is the duration of the CD? What would be the duration if interest were paid semiannually? What is the relationship of duration to the relative frequency of interest payments?Six-year CDPar value = $10,000 Coupon = 0.06 Annual payments YTM = 0.06 Maturity = 6 Time Cash Flow PVIF PV of CF PV*CF*T 1 $600.00 0.94340 $566.04 $566.04 PVIF = 1/(1+YTM)^(Time) 2 $600.00 0.89000 $534.00 $1,068.00 3 $600.00 0.83962 $503.77 $1,511.31 4 $600.00 0.79209 $475.26 $1,901.02 5 $600.00 0.74726 $448.35 $2,241.77 6 $10,600 0.70496 $7,472.58 $44,835.49Price = $10,000.00Numerator = $52,123.64 Duration = 5.2124 = Numerator/PriceSix-year CDPar value = $10,000 Coupon = 0.06 Semiannual payments YTM = 0.06 Maturity = 6Time Cash Flow PVIF PV of CF PV*CF*T 0.5 $300.00 0.970874 $291.26 $145.63 PVIF = 1/(1+YTM/2)^(Time*2) 1 $300.00 0.942596 $282.78 $282.78 1.5 $300.00 0.915142 $274.54$411.812 $300.00 0.888487 $266.55 $533.092.5 $300.00 0.862609 $258.78 $646.963 $300.00 0.837484 $251.25 $753.743.5$300.00 0.813092 $243.93 $853.754$300.00 0.789409 $236.82 $947.294.5 $300.00 0.766417 $229.93 $1,034.665 $300.00 0.744094 $223.23 $1,116.145.5 $300.00 0.722421 $216.73 $1,192.006 $10,300 0.701380 $7,224.21 $43,345.28Price = $10,000.00Numerator = $51,263.12 Duration = 5.1263 = Numerator/Price Duration decreases as the frequency of payments increases. This relationship occurs because (a) cash is being received more quickly, and (b) reinvestment income will occur more quickly from the earlier cash flows.7. What is the duration of a consol bond that sells at a YTM of 8 percent? 10 percent? 12percent? What is a consol bond? Would a consol trading at a YTM of 10 percent have agreater duration than a 20-year zero-coupon bond trading at the same YTM? Why?A consol is a bond that pays a fixed coupon each year forever. A consol Consol Bond trading at a YTM of 10 percent has a duration of 11 years, while a zero- YTM D = 1 + 1/R coupon bond trading at a YTM of 10 percent, or any other YTM, has a 0.08 13.50 years duration of 20 years because no cash flows occur before the twentieth 0.10 11.00 years year. 0.12 9.33 years 8. Maximum Pension Fund is attempting to balance one of the bond portfolios under itsmanagement. The fund has identified three bonds which have five-year maturities andwhich trade at a YTM of 9 percent. The bonds differ only in that the coupons are 7 percent,9 percent, and 11 percent.a. What is the duration for each bond?Five-year BondPar value = $1,000 Coupon = 0.07 Annual payments YTM = 0.09 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $70.00 0.917431 $64.22 $64.22 PVIF = 1/(1+YTM)^(Time)2 $70.00 0.841680 $58.92 $117.843 $70.00 0.772183 $54.05 $162.164 $70.00 0.708425 $49.59 $198.365 $1,070.00 0.649931 $695.43 $3,477.13Price = $922.21Numerator = $4,019.71 Duration = 4.3588 = Numerator/PriceFive-year BondPar value = $1,000 Coupon = 0.09 Annual payments YTM = 0.09 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $90.00 0.917431 $82.57 $82.57 PVIF = 1/(1+YTM)^(Time)2 $90.00 0.841680 $75.75 $151.503 $90.00 0.772183 $69.50 $208.494 $90.00 0.708425 $63.76 $255.035 $1,090.00 0.649931 $708.43 $3,542.13Price = $1,000.00Numerator = $4,239.72 Duration = 4.2397 = Numerator/Price Five-year BondPar value = $1,000 Coupon = 0.11 Annual payments YTM = 0.09 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $110.00 0.917431 $100.92 $100.92 PVIF = 1/(1+YTM)^(Time)2 $110.00 0.841680 $92.58 $185.173 $110.00 0.772183 $84.94 $254.824 $110.00 0.708425 $77.93 $311.715 $1,110.00 0.649931 $721.42 $3,607.12Price = $1,077.79Numerator = $4,459.73 Duration = 4.1378 = Numerator/Priceb. What is the relationship between duration and the amount of coupon interest that is paid?Plot the relationship.9. An insurance company is analyzing three bonds and is using duration as the measure ofinterest rate risk. All three bonds trade at a YTM of 10 percent and have $10,000 parvalues. The bonds differ only in the amount of annual coupon interest that they pay: 8, 10, or 12 percent.a. What is the duration for each five-year bond?Five-year BondPar value = $10,000 Coupon = 0.08 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $800.00 0.909091 $727.27 $727.27 PVIF = 1/(1+YTM)^(Time)2 $800.00 0.826446 $661.16 $1,322.313 $800.00 0.751315 $601.05 $1,803.164 $800.00 0.683013 $546.41 $2,185.645 $10,800.00 0.620921 $6,705.95 $33,529.75Price = $9,241.84Numerator = $39,568.14 Duration = 4.2814 = Numerator/Price Five-year BondPar value = $10,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $1,000.00 0.909091 $909.09 $909.09 PVIF = 1/(1+YTM)^(Time)2 $1,000.00 0.826446 $826.45 $1,652.893 $1,000.00 0.751315 $751.31 $2,253.944 $1,000.00 0.683013 $683.01 $2,732.055 $11,000.00 0.620921 $6,830.13 $34,150.67Price = $10,000.00Numerator = $41,698.65 Duration = 4.1699 = Numerator/Price Five-year BondPar value = $10,000 Coupon = 0.12 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $1,200.00 0.909091 $1,090.91 $1,090.91 PVIF = 1/(1+YTM)^(Time)2 $1,200.00 0.826446 $991.74 $1,983.473 $1,200.00 0.751315 $901.58 $2,704.734 $1,200.00 0.683013 $819.62 $3,278.465 $11,200.00 0.620921 $6,954.32 $34,771.59Price = $10,758.16Numerator = $43,829.17 Duration = 4.0740 = Numerator/Priceb. What is the relationship between duration and the amount of coupon interest that is paid?10. You can obtain a loan for $100,000 at a rate of 10 percent for two years. You have a choiceof either paying the principal at the end of the second year or amortizing the loan, that is, paying interest and principal in equal payments each year. The loan is priced at par. a. What is the duration of the loan under both methods of payment?Two-year loan: Principal and interest at end of year two. Par value = 100,000 Coupon = 0.00 No annual payments YTM = 0.10 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T 1 $0.00 0.90909 $0.00 $0.00 PVIF = 1/(1+YTM)^(Time) 2 $121,000 0.82645 $100,000.0 200,000.00 Price = $100,000.0 Numerator = 200,000.00 Duration = 2.0000 = Numerator/Price Two-year loan: Interest at end of year one, P & I at end of year two. Par value = 100,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 2 Time Cash Flow PVIF PV of CF PV*CF*T 1 $10,000 0.909091 $9,090.91 $9,090.91 PVIF = 1/(1+YTM)^(Time) 2 $110,000 0.826446 $90,909.09 181,818.18 Price = $100,000.0 Numerator = 190,909.09 Duration = 1.9091 = Numerator/Price Two-year loan: Amortized over two years. Amortized payment of $57.619.05 Par value = 100,000 Coupon = 0.10 YTM = 0.10 Maturity = 2 Time Cash Flow PVIF PV of CF PV*CF*T 1 $57,619.05 0.909091 $52,380.95 $52,380.95 PVIF = 1/(1+YTM)^(Time) 2 $57,619.05 0.826446 $47,619.05 $95,238.10 Price = $100,000.0Numerator = 147,619.05 Duration = 1.4762 = Numerator/Priceb. Explain the difference in the two results?11. How is duration related to the interest elasticity of a fixed-income security? What is therelationship between duration and the price of the fixed-income security?Taking the first derivative of a bond’s (or any fixed -income security) price (P) with respect to the yield to maturity (R) provides the following:D R dR P dP-=+)1( The economic interpretation is that D is a measure of the percentage change in price of a bond for a given percentage change in yield to maturity (interest elasticity). This equation can be rewritten to provide a practical application:P R dR D dP ⎥⎦⎤⎢⎣⎡+-=1 In other words, if duration is known, then the change in the price of a bond due to small changes in interest rates, R, can be estimated using the above formula.12. You have discovered that the price of a bond rose from $975 to $995 when the YTM fellfrom 9.75 percent to 9.25 percent. What is the duration of the bond?We know years D years R R P PD 5.45.40975.1005.97520)1(=⇒-=-=+∆∆=-13. Calculate the duration of a 2-year, $1,000 bond that pays an annual coupon of 10 percentand trades at a yield of 14 percent. What is the expected change in the price of the bond if interest rates decline by 0.50 percent (50 basis points)?Two-year Bond Par value = $1,000 Coupon = 0.10 Annual payments YTM = 0.14 Maturity = 2Time Cash Flow PVIF PV of CF PV*CF*T 1 $100.00 0.87719 $87.72 $87.72 PVIF = 1/(1+YTM)^(Time) 2 $1,100.00 0.76947 $846.41 $1,692.83 Price = $934.13Numerator = $1,780.55 Duration = 1.9061 = Numerator/PriceExpected change in price = 81.7$13.934$14.1005.9061.11=--=+∆-P R R D . This implies a newprice of $941.94. The actual price using conventional bond price discounting would be $941.99. The difference of $0.05 is due to convexity, which was not considered in this solution.14. The duration of an 11-year, $1,000 Treasury bond paying a 10 percent semiannual couponand selling at par has been estimated at 6.9 years. a. What is the modified duration of the bond (Modified Duration = D/(1 + R))? MD = 6.9/(1 + .10/2) = 6.57 years b. What will be the estimated price change of the bond if market interest rates increase0.10 percent (10 basis points)? If rates decrease 0.20 percent (20 basis points)?Estimated change in price = -MD x ∆R x P = -6.57 x 0.001 x $1,000 = -$6.57. Estimated change in price = -MD x ∆R x P = -6.57 x -0.002 x $1,000 = $13.14. c. What would be the actual price of the bond under each rate change situation in part (b)using the traditional present value bond pricing techniques? What is the amount of error in each case?Rate Price Actual Change Estimated Price Error + 0.001 $993.43 $993.45 $0.02 - 0.002 $1,013.14 $1,013.28 -$0.1415. Suppose you purchase a five-year, 13.76 percent bond that is priced to yield 10 percent. a. Show that the duration of this annual payment bond is equal to four years.Five-year Bond Par value = $1,000 Coupon = 0.1376 Annual payments YTM = 0.10 Maturity = 5Time Cash Flow PVIF PV of CF PV*CF*T1 $137.60 0.909091 $125.09 $125.09 PVIF = 1/(1+YTM)^(Time)2 $137.60 0.826446 $113.72 $227.443 $137.60 0.751315 $103.38 $310.144 $137.60 0.683013 $93.98 $375.935 $1,137.60 0.620921 $706.36 $3,531.80Price = $1,142.53Numerator = $4,570.40 Duration = 4.0002 = Numerator/Priceb. Show that, if interest rates rise to 11 percent within the next year and that if yourinvestment horizon is four years from today, you will still earn a 10 percent yield onyour investment.Value of bond at end of year four: PV = ($137.60 + $1,000) ÷ 1.11 = $1,024.86.Future value of interest payments at end of year four: $137.60*FVIF n=4, i=11% = $648.06.Future value of all cash flows at n = 4:Coupon interest payments over four years $550.40Interest on interest at 11 percent 97.66Value of bond at end of year four $1,024.86Total future value of investment $1,672.92Yield on purchase of asset at $1,142.53 = $1,672.92*PVIV n=4, i=?% ⇒ i = 10.002332%.c. Show that a 10 percent yield also will be earned if interest rates fall next year to 9percent.Value of bond at end of year four: PV = ($137.60 + $1,000) ÷ 1.09 = $1,043.67.Future value of interest payments at end of year four: $137.60*FVIF n=4, i=9% = $629.26.Future value of all cash flows at n = 4:Coupon interest payments over four years $550.40Interest on interest at 9 percent 78.86Value of bond at end of year four $1,043.67Total future value of investment $1,672.93Yield on purchase of asset at $1,142.53 = $1,672.93*PVIV n=4, i=?% ⇒ i = 10.0025 percent. 16. Consider the case where an investor holds a bond for a period of time longer than theduration of the bond, that is, longer than the original investment horizon.a. If market interest rates rise, will the return that is earned exceed or fall short of theoriginal required rate of return? Explain.In this case the actual return earned would exceed the yield expected at the time ofpurchase. The benefits from a higher reinvestment rate would exceed the price reductioneffect if the investor holds the bond for a sufficient length of time.b. What will happen to the realized return if market interest rates decrease? Explain.If market rates decrease, the realized yield on the bond will be less than the expected yield because the decrease in reinvestment earnings will be greater than the gain in bond value.c. Recalculate parts (b) and (c) of problem 15 above, assuming that the bond is held for allfive years, to verify your answers to parts (a) and (b) of this problem.The case where interest rates rise to 11 percent, n = five years:Future value of interest payments at end of year five: $137.60*FVIF n=5, i=11% = $856.95.Future value of all cash flows at n = 5:Coupon interest payments over five years $688.00Interest on interest at 11 percent 168.95Value of bond at end of year five $1,000.00Total future value of investment $1,856.95Yield on purchase of asset at $1,142.53 = $1,856.95*PVIF n=5, i=?%The case where interest rates fall to 9 percent, n = five years:Future value of interest payments at end of year five: $137.60*FVIF n=5, i=9% = $823.50.Future value of all cash flows at n = 5:Coupon interest payments over five years $688.00Interest on interest at 9 percent 135.50Value of bond at end of year five $1,000.00Total future value of investment $1,823.50Yield on purchase of asset at $1,142.53 = $1,823.50*PVIV n=5, i=?% ⇒ i = 9.8013 percent.d. If either calculation in part (c) is greater than the original required rate of return, whywould an investor ever try to match the duration of an asset with his investment horizon?The answer has to do with the ability to forecast interest rates. Forecasting interest rates isa very difficult task, one that most financial institution money managers are unwilling to do.For most managers, betting that rates would rise to 11 percent to provide a realized yield of10.20 percent over five years is not a sufficient return to offset the possibility that ratescould fall to 9 percent and thus give a yield of only 9.8 percent over five years.17. Two banks are being examined by the regulators to determine the interest rate sensitivity oftheir balance sheets. Bank A has assets composed solely of a 10-year, 12 percent, $1million loan. The loan is financed with a 10-year, 10 percent, $1 million CD. Bank B has assets composed solely of a 7-year, 12 percent zero-coupon bond with a current (market) value of $894,006.20 and a maturity (principal) value of $1,976,362.88. The bond isfinanced with a 10-year, 8.275 percent coupon, $1,000,000 face value CD with a YTM of10 percent. The loan and the CDs pay interest annually, with principal due at maturity.a. If market interest rates increase 1 percent (100 basis points), how do the market valuesof the assets and liabilities of each bank change? That is, what will be the net affect onthe market value of the equity for each bank?For Bank A, an increase of 100 basis points in interest rate will cause the market values of assets and liabilities to decrease as follows:Loan: $120*PVIVA n=10,i=13% + $1,000*PVIV n=10,i=13% = $945,737.57.CD: $100*PVIVA n=10,i=11% + $1,000*PVIV n=10,i=11% = $941,107.68.Therefore, the decrease in value of the asset was $4,629.89 less than the liability.For Bank B:Bond: $1,976,362.88*PVIV n=7,i=13% = $840,074.08.CD: $82.75*PVIVA n=10,i=11% + $1,000*PVIV n=10,i=11% = $839,518.43.The bond value decreased $53,932.12, and the CD value fell $54,487.79. Therefore,the decrease in value of the asset was $555.67 less than the liability.b. What accounts for the differences in the changes of the market value of equity betweenthe two banks?The assets and liabilities of Bank A change in value by different amounts because thedurations of the assets and liabilities are not the same, even though the face values andmaturities are the same. For Bank B, the maturities of the assets and liabilities are different, but the current market values and durations are the same. Thus the change in interest rates causes the same (approximate) change in value for both liabilities and assets.c. Verify your results above by calculating the duration for the assets and liabilities ofeach bank, and estimate the changes in value for the expected change in interest rates.Summarize your results.Ten-year CD:Bank B (Calculation in millions)Par value = $1,000 Coupon = 0.08 Annual payments YTM = 0.10 Maturity = 10Time Cash Flow PVIF PV of CF PV*CF*T1 $82.75 0.909091 $75.23 $75.23 PVIF = 1/(1+YTM)^(Time)2 $82.75 0.826446 $68.39 $136.783 $82.75 0.751315 $62.17 $186.514 $82.75 0.683013 $56.52 $226.085 $82.75 0.620921 $51.38 $256.916 $82.75 0.564474 $46.71 $280.267 $82.75 0.513158 $42.46 $297.258 $82.75 0.466507 $38.60 $308.839 $82.75 0.424098 $35.09 $315.8510 $1,082.75 0.385543 $417.45 $4,174.47Price = $894.006Numerator = $6,258.15 Duration = 7.0001 = Numerator/PriceThe duration for the CD of Bank B is calculated above to be 7.001 years. Since the bond is a zero-coupon, the duration is equal to the maturity of 7 years.Using the duration formula to estimate the change in value:Bond: ∆Value = 39.875,55$20.006,894$12.101.0.71-=-=+∆-P R R DCD:∆Value = 43.899,56$22.006,894$10.101.0001.71-=-=+∆-P R R DThe difference in the change in value of the assets and liabilities for Bank B is $1,024.04using the duration estimation model. The small difference in this estimate and the estimate found in part a above is due to the convexity of the two financial assets.The duration estimates for the loan and CD for Bank A are presented below:Ten-year Loan: Bank A (Calculation in millions)Par value = $1,000 Coupon = 0.12 Annual payments YTM = 0.12 Maturity = 10Time Cash Flow PVIF PV of CF PV*CF*T 1 $120.00 0.892857 $107.14 $107.14 PVIF = 1/(1+YTM)^(Time) 2 $120.00 0.797194 $95.66 $191.33 3 $120.00 0.711780 $85.41 $256.24 4 $120.00 0.635518 $76.26 $305.05 5 $120.00 0.567427 $68.09 $340.46 6 $120.00 0.506631 $60.80 $364.77 7 $120.00 0.452349 $54.28 $379.97 8 $120.00 0.403883 $48.47 $387.73 9 $120.00 0.360610 $43.27 $389.46 10 $1,120.00 0.321973 $360.61 $3,606.10 Price = $1,000.00Numerator = $6,328.25 Duration = 6.3282 = Numerator/PriceTen-year CD: Bank A (Calculation in millions) Par value = $1,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 10 Time Cash Flow PVIF PV of CF PV*CF*T 1 $100.00 0.909091 $90.91 $90.91 PVIF = 1/(1+YTM)^(Time) 2 $100.00 0.826446 $82.64 $165.29 3 $100.00 0.751315 $75.13 $225.39 4 $100.00 0.683013 $68.30 $273.21 5 $100.00 0.620921 $62.09 $310.46。