金融机构管理习题答案009
Chapter Nine
Interest Rate Risk II
Chapter Outline Introduction
Duration
A 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 Interest
The Economic Meaning of Duration
?Semiannual Coupon Bonds
Duration and Immunization
?Duration and Immunizing Future Payments
?Immunizing the Whole Balance Sheet of an FI Immunization and Regulatory Considerations
Difficulties in Applying the Duration Model
?Duration Matching can be Costly
?Immunization is a Dynamic Problem
?Large Interest Rate Changes and Convexity
Summary
Appendix 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 Claims
Solutions for End-of-Chapter Questions and Problems: Chapter Nine
1. What are the two different general interpretations of the concept of duration, and what is
the 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 rate
sensitivity because duration takes into account the time of arrival and the rate of reinvestment of
all 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 8
percent? 10 percent? 12 percent? (Hint: You may wish to create a spreadsheet
program to assist in the calculations.)
Coupon Bond
Par value = $1,000 Coupon = 0.10 Annual payments YTM = 0.08 Maturity = 2
Time Cash Flow PVIF PV of CF PV*CF*T
1 $100.00 0.92593 $92.59 $92.59
2 $1,100.00 0.85734 $943.07 $1,886.15
Price = $1,035.67
Numerator = $1,978.74 Duration = 1.9106 = Numerator/Price YTM = 0.10
Time Cash Flow PVIF PV of CF PV*CF*T
1 $100.00 0.90909 $90.91 $90.91
2 $1,100.00 0.82645 $909.09 $1,818.18
Price = $1,000.00
Numerator = $1,909.09 Duration = 1.9091 = Numerator/Price YTM = 0.12
Time Cash Flow PVIF PV of CF PV*CF*T
1 $100.00 0.89286 $89.29 $89.29
2 $1,100.00 0.79719 $876.91 $1,753.83
Price = $966.20
Numerator = $1,843.11 Duration = 1.9076 = Numerator/Price
b. 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 Bond
Par value = $1,000 Coupon = 0.00
YTM = 0.08 Maturity = 2
Time Cash Flow PVIF PV of CF PV*CF*T
1 $0.00 0.92593 $0.00 $0.00
2 $1,000.00 0.85734 $857.34 $1,714.68
Price = $857.34
Numerator = $1,714.68 Duration = 2.0000 = Numerator/Price YTM = 0.10
Time Cash Flow PVIF PV of CF PV*CF*T
1 $0.00 0.90909 $0.00 $0.00
2 $1,000.00 0.82645 $826.45 $1,652.89
Price = $826.45
Numerator = $1,652.89 Duration = 2.0000 = Numerator/Price YTM = 0.12
Time Cash Flow PVIF PV of CF PV*CF*T
1 $0.00 0.89286 $0.00 $0.00
2 $1,000.00 0.79719 $797.19 $1,594.39
Price = $797.19
Numerator = $1,594.39 Duration = 2.0000 = Numerator/Price
d. 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 until
maturity.
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*CVIF
1 $56,000 0.943396 $52,830.19 $52,830.19
2 $53,000 0.889996 $47,169.81 $94,339.62
Price = $100,000.00 $147,169.81 = Numerator
735849.02
1
00.000,100$81.169,147$==
x D years
b. 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 CF
d. 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 semiannual
coupon selling at par? Selling with a YTM of 12 percent? 14 percent? What can you
conclude about the relationship between duration and yield to maturity? Plot the
relationship. Why does this relationship exist?
Five-year Treasury Bond
Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
0.5 $50.00 0.95238 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)
1 $50.00 0.90703 $45.35 $45.35
1.5 $50.00 0.86384 $43.19 $64.79
2 $50.00 0.8227 $41.14 $82.27
2.5 $50.00 0.78353 $39.18 $97.94
3 $50.00 0.74622 $37.31 $111.93
3.5$50.00 0.71068 $35.53 $12
4.37
4$50.00 0.67684 $33.84 $135.37
4.5 $50.00 0.64461 $32.23 $14
5.04
5 $1,050.00 0.61391 $644.61 $3,223.04
Price = $1,000.00
Numerator = $4,053.91 Duration = 4.0539 = Numerator/Price Five-year Treasury Bond
Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.12 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
0.5 $50.00 0.9434 $47.17 $23.58 Duration YTM
1 $50.00 0.89 $44.50 $44.50 4.0539 0.10
1.5 $50.00 0.83962 $41.98 $6
2.97 4.0113 0.12
2 $50.00 0.79209 $39.60 $79.21 3.9676 0.14
2.5 $50.00 0.74726 $37.36 $9
3.41
3 $50.00 0.70496 $35.25 $105.74
3.5$50.00 0.66506 $33.25 $116.38
4$50.00 0.62741 $31.37 $125.48
4.5 $50.00 0.5919 $29.59 $133.18
5 $1,050.00 0.55839 $586.31 $2,931.57 .
Price = $926.40
Numerator = $3,716.03 Duration = 4.0113 = Numerator/Price
Five-year Treasury Bond Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.14 Maturity = 5
Time 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 = $859.53
Numerator = $3,410.22 Duration = 3.9676 = Numerator/Price
5. 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 Bond
Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 4
Time Cash Flow PVIF PV of CF PV*CF*T
0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)
1 $50.00 0.907029 $45.35 $45.35
1.5 $50.00 0.863838 $43.19 $64.79
2 $50.00 0.822702 $41.14 $82.27
2.5 $50.00 0.783526 $39.18 $97.94
3 $50.00 0.746215 $37.31 $111.93
3.5$50.00 0.710681 $35.53 $12
4.37
4$1,050.00 0.676839 $710.68 $2,842.73
Price = $1,000.00
Numerator = $3,393.19 Duration = 3.3932 = Numerator/Price Three-year Treasury Bond
Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 3
Time Cash Flow PVIF PV of CF PV*CF*T
0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)
1 $50.00 0.907029 $45.35 $45.35
1.5 $50.00 0.863838 $43.19 $64.79
2 $50.00 0.822702 $41.14 $82.27
2.5 $50.00 0.783526 $39.18 $97.94
3 $1,050.00 0.746215 $783.53 $2,350.58
Price = $1,000.00
Numerator = $2,664.74 Duration = 2.6647 = Numerator/Price Two-year Treasury Bond
Par value = $1,000 Coupon = 0.10 Semiannual payments YTM = 0.10 Maturity = 2
Time Cash Flow PVIF PV of CF PV*CF*T
0.5 $50.00 0.952381 $47.62 $23.81 PVIF = 1/(1+YTM/2)^(Time*2)
1 $50.00 0.907029 $45.35 $45.35
1.5 $50.00 0.863838 $43.19 $64.79
2 $1,050.00 0.822702 $863.84 $1,727.68
Price = $1,000.00
Numerator = $1,861.62 Duration = 1.8616 = Numerator/Price
b. What conclusions can you reach about the relationship of duration and the time to
maturity? 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 CD
Par 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 $44,835.49
Price = $10,000.00
Numerator = $52,123.64 Duration = 5.2124 = Numerator/Price
Six-year CD
Par value = $10,000 Coupon = 0.06 Semiannual payments YTM = 0.06 Maturity = 6
Time 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
$411.81
2 $300.00 0.888487 $266.55 $533.09
2.5 $300.00 0.862609 $258.78 $646.96
3 $300.00 0.83748
4 $251.2
5 $753.74
3.5$300.00 0.813092 $243.93 $853.75
4$300.00 0.789409 $236.82 $947.29
4.5 $300.00 0.766417 $229.93 $1,034.66
5 $300.00 0.744094 $223.23 $1,116.14
5.5 $300.00 0.722421 $21
6.73 $1,192.00
6 $10,300 0.701380 $7,224.21 $43,345.28
Price = $10,000.00
Numerator = $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? 12
percent? What is a consol bond? Would a consol trading at a YTM of 10 percent have a
greater 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 its
management. The fund has identified three bonds which have five-year maturities and
which 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 Bond
Par value = $1,000 Coupon = 0.07 Annual payments YTM = 0.09 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $70.00 0.917431 $64.2
2 $64.22 PVIF = 1/(1+YTM)^(Time)
2 $70.00 0.841680 $58.92 $117.84
3 $70.00 0.772183 $54.05 $162.16
4 $70.00 0.70842
5 $49.59 $198.36
5 $1,070.00 0.649931 $695.43 $3,477.13
Price = $922.21
Numerator = $4,019.71 Duration = 4.3588 = Numerator/Price
Five-year Bond
Par value = $1,000 Coupon = 0.09 Annual payments YTM = 0.09 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $90.00 0.917431 $82.57 $82.57 PVIF = 1/(1+YTM)^(Time)
2 $90.00 0.841680 $75.75 $151.50
3 $90.00 0.772183 $69.50 $208.49
4 $90.00 0.70842
5 $63.7
6 $255.03
5 $1,090.00 0.649931 $708.43 $3,542.13
Price = $1,000.00
Numerator = $4,239.72 Duration = 4.2397 = Numerator/Price Five-year Bond
Par value = $1,000 Coupon = 0.11 Annual payments YTM = 0.09 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $110.00 0.917431 $100.9
2 $100.92 PVIF = 1/(1+YTM)^(Time)
2 $110.00 0.841680 $92.58 $185.17
3 $110.00 0.772183 $84.9
4 $254.82
4 $110.00 0.70842
5 $77.93 $311.71
5 $1,110.00 0.649931 $721.42 $3,607.12
Price = $1,077.79
Numerator = $4,459.73 Duration = 4.1378 = Numerator/Price
b. 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 of
interest rate risk. All three bonds trade at a YTM of 10 percent and have $10,000 par
values. 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 Bond
Par value = $10,000 Coupon = 0.08 Annual payments YTM = 0.10 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $800.00 0.909091 $727.27 $727.27 PVIF = 1/(1+YTM)^(Time)
2 $800.00 0.826446 $661.16 $1,322.31
3 $800.00 0.751315 $601.05 $1,803.16
4 $800.00 0.683013 $546.41 $2,185.64
5 $10,800.00 0.620921 $6,705.95 $33,529.75
Price = $9,241.84
Numerator = $39,568.14 Duration = 4.2814 = Numerator/Price Five-year Bond
Par value = $10,000 Coupon = 0.10 Annual payments YTM = 0.10 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $1,000.00 0.909091 $909.09 $909.09 PVIF = 1/(1+YTM)^(Time)
2 $1,000.00 0.826446 $826.45 $1,652.89
3 $1,000.00 0.751315 $751.31 $2,253.94
4 $1,000.00 0.683013 $683.01 $2,732.05
5 $11,000.00 0.620921 $6,830.13 $34,150.67
Price = $10,000.00
Numerator = $41,698.65 Duration = 4.1699 = Numerator/Price Five-year Bond
Par value = $10,000 Coupon = 0.12 Annual payments YTM = 0.10 Maturity = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $1,200.00 0.909091 $1,090.91 $1,090.91 PVIF = 1/(1+YTM)^(Time)
2 $1,200.00 0.826446 $991.74 $1,983.47
3 $1,200.00 0.751315 $901.58 $2,704.73
4 $1,200.00 0.683013 $819.62 $3,278.46
5 $11,200.00 0.620921 $6,954.32 $34,771.59
Price = $10,758.16
Numerator = $43,829.17 Duration = 4.0740 = Numerator/Price
b. 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 choice
of 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 = 2
Time 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 = $100,000.0
Numerator = 147,619.05 Duration = 1.4762 = Numerator/Price
b. Explain the difference in the two results?
11. How is duration related to the interest elasticity of a fixed-income security? What is the
relationship 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 fell
from 9.75 percent to 9.25 percent. What is the duration of the bond?
We know years D years R R P P
D 5.45.40975
.1005.97520)1(=?-=-=+??=
-
13. Calculate the duration of a 2-year, $1,000 bond that pays an annual coupon of 10 percent
and trades at a yield of 14 percent. What is the expected change in the price of the bond if interest rates decline by 0.50 percent (50 basis points)?
Two-year Bond Par value = $1,000 Coupon = 0.10 Annual payments YTM = 0.14 Maturity = 2
Time Cash Flow PVIF PV of CF PV*CF*T 1 $100.00 0.87719 $87.72 $87.72 PVIF = 1/(1+YTM)^(Time) 2 $1,100.00 0.76947 $846.41 $1,692.83 Price = $934.13
Numerator = $1,780.55 Duration = 1.9061 = Numerator/Price
Expected change in price = 81.7$13.934$14
.1005
.9061.11=--=+?-P R R D . This implies a new
price 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 coupon
and 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 increase
0.10 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 -$0.14
15. 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 = 5
Time Cash Flow PVIF PV of CF PV*CF*T
1 $137.60 0.909091 $125.09 $125.09 PVIF = 1/(1+YTM)^(Time)
2 $137.60 0.826446 $113.72 $227.44
3 $137.60 0.751315 $103.38 $310.14
4 $137.60 0.683013 $93.98 $375.93
5 $1,137.60 0.620921 $706.3
6 $3,531.80
Price = $1,142.53
Numerator = $4,570.40 Duration = 4.0002 = Numerator/Price
b. Show that, if interest rates rise to 11 percent within the next year and that if your
investment horizon is four years from today, you will still earn a 10 percent yield on
your 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 $550.40
Interest on interest at 11 percent 97.66
Value of bond at end of year four $1,024.86
Total future value of investment $1,672.92
Yield 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 9
percent.
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 $550.40
Interest on interest at 9 percent 78.86
Value of bond at end of year four $1,043.67
Total future value of investment $1,672.93
Yield 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 the
duration 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 the
original required rate of return? Explain.
In this case the actual return earned would exceed the yield expected at the time of
purchase. The benefits from a higher reinvestment rate would exceed the price reduction
effect 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 all
five 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 $688.00
Interest on interest at 11 percent 168.95
Value of bond at end of year five $1,000.00
Total future value of investment $1,856.95
Yield 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 $688.00
Interest on interest at 9 percent 135.50
Value of bond at end of year five $1,000.00
Total future value of investment $1,823.50
Yield 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, why
would 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 is
a 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 of
10.20 percent over five years is not a sufficient return to offset the possibility that rates
could 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 of
their balance sheets. Bank A has assets composed solely of a 10-year, 12 percent, $1
million 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 is
financed with a 10-year, 8.275 percent coupon, $1,000,000 face value CD with a YTM of
10 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 values
of the assets and liabilities of each bank change? That is, what will be the net affect on
the 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 between
the two banks?
The assets and liabilities of Bank A change in value by different amounts because the
durations of the assets and liabilities are not the same, even though the face values and
maturities 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 of
each 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 = 10
Time Cash Flow PVIF PV of CF PV*CF*T
1 $82.75 0.909091 $75.23 $75.23 PVIF = 1/(1+YTM)^(Time)
2 $82.75 0.826446 $68.39 $136.78
3 $82.75 0.751315 $62.17 $186.51
4 $82.7
5 0.683013 $56.52 $226.08
5 $82.75 0.620921 $51.38 $256.91
6 $82.75 0.564474 $46.71 $280.26
7 $82.75 0.513158 $42.46 $297.25
8 $82.75 0.466507 $38.60 $308.83
9 $82.75 0.424098 $35.09 $315.85
10 $1,082.75 0.385543 $417.45 $4,174.47
Price = $894.006
Numerator = $6,258.15 Duration = 7.0001 = Numerator/Price
The 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 D
CD:
?Value = 43.899,56$22.006,894$10
.101
.0001.71-=-=+?-P R R D
The difference in the change in value of the assets and liabilities for Bank B is $1,024.04
using the duration estimation model. The small difference in this estimate and the estimate found in part a above is due to the convexity of the two financial assets.
The duration estimates for the loan and CD for Bank A are presented below:
Ten-year Loan: Bank A (Calculation in millions)
Par value = $1,000 Coupon = 0.12 Annual payments YTM = 0.12 Maturity = 10
Time 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 = $1,000.00
Numerator = $6,328.25 Duration = 6.3282 = Numerator/Price
Ten-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
6 $100.00 0.564474 $56.45 $338.68
7 $100.00 0.513158 $51.32 $359.21 8 $100.00 0.466507 $46.65 $373.21 9 $100.00 0.424098 $42.41 $381.69 10 $1,100.00 0.385543 $424.10
$4,240.98
Price = $1,000.00
Numerator = $6,759.02 Duration = 6.7590 = Numerator/Price
Using the duration formula to estimate the change in value:
Loan: ?Value = 79.501,56$000,000,1$12.101
.3282.61-=-=+?-P R R D
CD:
?Value = 45.445,61$000,000,1$10
.101
.7590.61-=-=+?-P R R D
The difference in the change in value of the assets and liabilities for Bank A is $4,943.66
using the duration estimation model. The small difference in this estimate and the estimate found in part a above is due to the convexity of the two financial assets. The reason the change in asset values for Bank A is considerably larger than for Bank B is because of the difference in the durations of the loan and CD for Bank A.
18. If you use only duration to immunize your portfolio, what three factors affect changes in
the net worth of a financial institution when interest rates change?
The change in net worth for a given change in interest rates is given by the following equation:
[]A
L
k where R R A k D D E L A =+?--=?1**
Thus, three factors are important in determining ?E. 1) [D A - D L k ] or the leveraged adjusted duration gap. The larger this gap, the more
exposed is the FI to changes in interest rates.
2) A, or the size of the FI. The larger is A , the larger is the exposure to interest rate
changes.
3) R /1 + R , or interest rate shocks. The larger is the shock, the larger is the exposure.
19. Financial Institution XY has assets of $1 million invested in a 30-year, 10 percent
semiannual coupon Treasury bond selling at par. The duration of this bond has been estimated at 9.94 years. The assets are financed with equity and a $900,000, 2-year, 7.25 percent semiannual coupon capital note selling at par. a. What is the leverage-adjusted duration gap of Financial Institution XY? The duration of the capital note is 1.8975 years.
Two-year Capital Note Par value = $900 Coupon = 0.0725 Semiannual payments YTM = 0.0725 Maturity = 2 Time Cash Flow PVIF PV of CF PV*CF*T 0.5 $32.63 0.965018 $31.48 $15.74 PVIF = 1/(1+YTM/2)^(Time*2) 1 $32.63 0.931260 $30.38 $30.38 1.5 $32.63 0.898683 $29.32 $43.98 2 $932.63 0.867245 $808.81 $1,617.63 Price = $900.00
Numerator = $1,707.73 Duration = 1.8975 = Numerator/Price The leverage-adjusted duration gap can be found as follows:
[]years k D D gap duration adjusted Leverage L A 23.8000
,000,1$000
,900$8975.194.9=-=-=- b. What is the impact on equity value if the relative change in all market interest rates is a
decrease of 20 basis points? Note, the relative change in interest rates is ?R/(1+R/2) = -0.0020.
The change in net worth using leverage adjusted duration gap is given by:
[][]
464,16$)000,000,1)(002.(109)8975.1(94.92
1**=---=+
?--=?R
R
A k D D E L A c. Using the information that you calculated in parts (a) and (b), infer a general statement
about the desired duration gap for a financial institution if interest rates are expected to increase or decrease.
If the FI wishes to be immune from the effects of interest rate risk, that is, either positive or
negative changes in interest rates, a desirable leverage-adjusted duration gap (LADG) is zero. If the FI is confident that interest rates will fall, a positive LADG will provide the greatest benefit. If the FI is confident that rates will increase, then negative LADG would be beneficial. d. Verify your inference by calculating the change in market value of equity assuming that
the relative change in all market interest rates is an increase of 30 basis points.
[][]697,24$)003)(.000,000,1(23225.82
1**-=-=+
?--=?R R
A k D D E L A e. What would the duration of the assets need to be to immunize the equity from changes
in market interest rates?
Immunizing the equity from changes in interest rates requires that the LADG be 0. Thus,
(D A -D L k) = 0 ? D A = D L k, or D A = 0.9*1.8975 = 1.70775 years.
国际金融期末试题试卷及答案
国际金融期末试题试卷 及答案 Document serial number【KKGB-LBS98YT-BS8CB-BSUT-BST108】
（本科）模拟试卷（第一套）及答案 《国际金融》试卷 一、名词解释（共 15 分，每题 3分） 1 汇率制度 2 普通提款权 3 套汇业务 4外汇风险 5 欧洲货币市场 1、汇率制度：是指一国货币当局对本国汇率真变动的基本规定。 2、普通提款权：是指国际货币基金组织的会员国需要弥补国际收支赤字， 按规定向基金组织申请贷款的权利。 3、套汇业务：是指利用同理时刻在不同外汇市场上的外汇差异，贱买贵卖，从中套取差价利 润的行为。 4、外汇风险：是指在国际贸易中心的外向计划或定值的债权债务、资产和负债，由于有关汇 率发生变动，使交易双方中的任何一方遭受经济损失的一种可能性。 5、欧洲货币市场：是指经营欧洲货币的市场。 二、填空题（共 10 分每题 1 分） 1、外汇是以外币表示的用于国际清偿的支付手段。 2、现货交易是期货交易的，期货交易能活跃交易市场。 3、按出票人的不同，汇票可分为和。 4、国际资本流动按投资期限长短分为和两种类型。 5、第一次世界大战前后，和是各国的储备资产。 三、判断题（共 10 分每题 1 分） 1、出口信贷的利率高于国际金融市场的利率。（）。 2、短期证券市场属于资本市场。（） 3、国际储备的规模越大越好。（） 4、国际借贷和国际收支是没有任何联系的概念。（） 5、信用证的开证人一般是出口商。（） 6、参与期货交易就等于参与赌博。（X ） 7、调整价格法不可以完全消灭外汇风险。（） 8、银行收兑现钞的汇率要高于外汇汇率。（ X ）
(完整版)国际金融学试题及参考答案(免费)
《国际金融学》 试卷A 一、单项选择题（每题1分，共15分） 1、特别提款权是一种（ ）。 A ．实物资产 B ．黄金 C ．账面资产 D ．外汇 2、在国际货币市场上经常交易的短期金融工具是（ ）。 A ．股票 B ．政府贷款 C ．欧洲债券 D ．国库券 3、外汇管制法规生效的范围一般以（ ）为界限。 A ．外国领土 B ．本国领土 C ．世界各国 D ．发达国家 4、如果一种货币的远期汇率低于即期汇率，称之为（ ）。 A ．升值 B ．升水 C ．贬值 D ．贴水 5、商品进出口记录在国际收支平衡表的（ ）。 A ．经常项目 B ．资本项目 C ．统计误差项目 D ．储备资产项目 6、货币性黄金记录在国际收支平衡表的（ ）。 A ．经常项目 B ．资本项目 C ．统计误差项目 D ．储备资产项目 7、套利者在进行套利交易的同时进行外汇抛补以防汇率风险的行为叫（ ）。 A ．套期保值 B ． 掉期交易 C ．投机 D ．抛补套利 8、衡量一国外债期限结构是否合理的指标是（ ）。 A ．偿债率 B ．负债率 C ．外债余额与GDP 之比 D ．短期债务比率 9、当一国利率水平低于其他国家时，外汇市场上本、外币资金供求的变化则会导致本国货币汇率的（ ）。 A ．上升 B ．下降 C ．不升不降 D ．升降无常 10、是金本位时期决定汇率的基础是（ ）。 A ．铸币平价 B ．黄金输入点 C ．黄金输出点 D ．黄金输送点 11、以一定单位的外币为标准折算若干单位本币的标价方法是（ ）。 A ．直接标价法 B ．间接标价法 C ．美元标价法 D ．标准标价法 12、外债余额与国内生产总值的比率，称为（ ）。
精选范文月金融管理综合应用试题及答案
2013年11月中英合作金融管理专业管理段证书课程考试 金融管理综合应用试题 （课程代码11753） 仔细阅读下列案列，回答第一、二题，共100分。 上品三明治公司 背景介绍 1989年，上品三明治公司（下文简称“上品公司”）在伦敦开设了第一家门店。上品公司的三明治品种丰富，为满足顾客的个性化需求提供了不同的面包、馅料组合。这种创意受到消费者的极大青睐，公司得以迅速扩张。下表显示了上品公司成立25年来迅速增长的门店数量。 上品公司在英国的门店数量 上品公司位列英国金融时报指数（FTSE）前250强，是一家公认的成功企业。 对于上品公司这样的企业来讲，近几年确实是发展的黄金时期。较低的利率意味着筹资成本低，而经济衰退又迫使人们生活节俭。在城市工作的人们开始喜欢便宜、快捷的午餐。上品公司成为这一潮流的受益者。 公司门店一直面向当地招聘备餐和服务人员，但主管和经理往往选自更广的区域。如果本地员工具备了晋升资格，他们可以在其他门店获得更高的职位。 自上品公司成立之日起，公司的使命陈述就未曾改变过。
制度上享有良好的声誉。英国多地的官员都认为上品公司能遵守英国雇佣法，能采取积极的措施避免由种族、宗教、性别、性取向或残疾偏见引起的法律纠纷。并且，公司所有级别的员工都享有同等的晋升机会。 此外，上品公司力争在环境问题上作出表率。公司在减少污染和使用可持续产品上付出的努力得到了公众认可，被认为是一家承担了社会责任的公司。同事，公司因捐助当地的公益活动和慈善机构赢得了人们的尊重。 由于上述原因，上品公司收到了利益相关者的拥护。股东对高额股利和持续上升的股价表示满意，而雇员对这个公认的好雇主十分忠诚和拥戴。顾客喜欢公司的产品，社会总体上对公司富有社会责任感的经营方式表示赞赏。 经期的变化 上品公司在英国开设新门店的速度开始下降，因为很多合适的地点都已开店，当地的竞争也愈加激烈。公司董事们认为在英国进一步发展的机会有限，正在考虑公司未来发展的各种选择。其中一个可能的举措是打入欧洲其他国家市场。然而，上品公司的声誉仅限于英国国内，并不具有国际知名度，因此无法依靠它的品牌来促进销售。相关研究表明，在欧洲其他较发达的国家，同类公司已经存在，而且当地的商业地产价格高，竞争激烈。在欧洲不太富裕的国家，城市里已有类似的商家，而偏远的乡村仍保持传统的生活方式，能购买这种食品的人数有限，对上品公司这样的企业而言缺乏明显的商机。亚洲市场是另一个具有发展潜力的地区。 下表列示了上品公司当前的财务状况。 上品三明治公司年度利润表截止到2013年6月30日（单位：千英镑）
国际金融学期末试卷
国际金融学 一．选择题 1.国际收支反映了哪些关系（ABC ） A．货币收支的综合状况 B.一定时期的流量 C .居民与非居民间的交易 D.其他 2.经常项目账户包括哪些（ABCD） A．货物 B. 服务 C. 收入 D. 经常转移 3.金融账户包括哪些（ABCD ） A．直接投资 B. 证券投资 C. 其他投资 D. 储备资产 4.国际收支储备资产项目数据记录差额1000亿表示（A ）Ａ．国际收支储备增加1000亿Ｂ．国际收支储备减少1000亿Ｃ．外汇储备增加1000亿Ｄ．外汇储备减少1000亿 ５.下列哪些交易活动在国际收支平衡表中可记入借方（ＡＢＣＤＥ）Ａ从外国获得商品与劳务Ｂ向外国私人或政府提供捐赠或援助Ｃ从国外获得长期资产（长期外国负债的减少） Ｄ国内私人获得短期外国资产（外国私人短期负债的减少） Ｅ国内官方货币当局获得短期外国资产（外国官方货币当局短期负债减少） ６. 下列哪些交易活动在国际收支平衡表中可记入贷方（ＡＢＣＤＥ）Ａ．向外国提供商品与劳务Ｂ．接受外国人的捐赠与援助Ｃ．放弃长期外国资产（引起长期外国负债增加） Ｄ．国内私人放弃短期外国资产（引起对外国私人的国内短期负债
增加） Ｅ．国内官方货币当局放弃短期外国资产（引起对外国官方货币当局的国内短期负债增加） ７.国际收支平衡表平衡意味着（Ｄ） Ａ．ＣＡ＝０Ｂ．ＫＡ＝０ Ｃ．ＣＡ＋ＫＡ＝０Ｄ．ＣＡ＋ＫＡ＋ＥＱＯ＝０ ８.美国财政部部长说。。。。。。ＣＡ与ＧＤＰ之比不应超过（４％）９.新版外汇管理条例规定外汇包括（ＡＢＣＤ） Ａ．外币现钞Ｂ．外汇支付凭证Ｃ外汇有价证券Ｄ．ＳＤＲ10．现钞买入价与现汇买入价的关系（银行的现钞买入价要低于现汇买入价） 11.远期差价用什么来表示（ＡＢＣ） Ａ．升水Ｂ．贴水Ｃ．平价 12.直接标价法（远期汇率＝即期汇率＋升水 远期汇率＝即期汇率－贴水） 13.多点套汇不成立的条件是（不等于1） 14.成立的前提条件是（两地利差须大于掉期成本，即利率差大于高利率货币的远期贴水率，利率差大于低利率货币的远期升水率。） 15.外汇风险种类（ABC） A.交易风险 B.会计风险 C.经济风险 16.金本位制包括哪些形式（ABC） A.金铸币本位制 B.金块（砖）本位制 C.金汇兑（虚金）本位制
国际金融学试题及参考答案(201916整理) (1)
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国际金融新编期末考试试题
一、选择（共15题，每题2分，共30分） 1、按照浮动汇率制度下国际收支的自动调节机制，当一国国际收支出现逆差，则汇率变动 情况为（C） A外汇汇率下降B本币汇率上升 C外汇汇率上升，本币汇率下降D外汇汇率下降，本币汇率上升2、国际储备最基本的作用是（C） A干预外汇市场B充当支付手段 C弥补国际收支逆差D作为偿还外债的保证 3、布雷顿森林体系瓦解后，主要资本主义国家普遍实行（B） A固定汇率制B浮动汇率制 C钉住汇率制D联合浮动 4、如果一国货币贬值，则会引起（D） A有利于进口B货币供给减少 C国内物价下跌D出口增加 5、下列关于升水和贴水的正确说法是（C） A升水表示即期外汇比远期汇率高B贴水表示远期外汇比即期汇率高C升水表示远期外汇比即期汇率高D贴水表示即期外汇比远期外汇低6、国际贷款最重要的基础利率是（A） A伦敦同业拆借利率B纽约银行同业拆放利率 C美国优惠利率D纽约同业拆借利率 7、一国在一定时期内同其他国家或地区之间资本流动总的情况，主要反映在该国国际收支 平衡表的（D） A经常项目中B储备与相关项目中 C平衡项目中D资本金融账户中 8、一国外汇储备最主要的来源为（B） A资本项目顺差B经常项目收支顺差 C官方储备增加D错误与遗漏减少 9、一国调节国际收支的财政货币政策属于（A） A支出变更政策B支出转换政策 C外汇缓冲政策D直接管制政策
10、布雷顿森林体系下的汇率制度为（D） A自由浮动汇率制B可调整的有管理的浮动汇率制C固定汇率制D国际金汇兑本位制 11、国际货币基金组织标准格式中的国际收支差额是（D） A经常项目与长期资本账户之和 B经常项目与资本和金融项目之和 C经常项目与短期资本项目之和 D经常项目、资本和金融项目及错误和遗漏之和 12、汇率的标价采用直接标价法的国家是（B） A英国B中国C美国D澳大利亚13、我国外汇体制改革的最终目标是（D） A实现经常项目下人民币可兑换 B实现经常项目下人民币有条件可兑换 C实现人民币的完全可兑换 D使人民币成为可自由兑换的货币 14、欧洲大额可转让定期存单的发行条件是（D） A记名发行B采用固定利率 C利率与欧洲同业拆借市场的利率相似D利率与欧洲定期存单相似15、造成国际收支长期失衡的是（A）因素。 A经济结构B货币价值C国民收入D政治导向16、固定汇率制（A） A有利于消除进出口企业的汇率风险 B有利于本国货币政策的执行 C不利于抑制国内通货膨胀 D不利于稳定外汇市场 17、根据国际借贷理论，一国货币汇率下降是因为（D） A对外流动债权减少B对外流动债务减少 C对外流动债权大于对外流动债务D对外流动债权小于对外流动债务18、在固定价格下，蒙代尔—弗莱明模型中（A） A固定汇率制下财政政策有效B固定汇率制下货币政策有效
国际金融习题(答案)
《国际金融》习题集 第（1-2）讲国际收支和国际储备 一、名词解释 1、国际收支 2、居民 3、一国经济领土 4、国际收支平衡表 5、经常账户 6、经常转移 7、贸易收支 8、服务交易 9、收入交易 10、资本账户 11、金融账户 12、储备资产 13、错误和遗漏账户 14、自主性交易 15、补偿性交易 16、国际收支平衡 17、贸易收支差额 18、经常项目收支差额 19、资本和金融账户差额 20、总差额 21、国际储备 22、黄金储备 23、外汇储备 24、在IMF的储备头寸 25、特别提款权（SDR） 二、判断题 1、国际收支是一个流量的，事后的概念。(√) 2、国际货币基金组织采用的是狭义国际收支概念。( X ) 3、资产减少、负债增加的项目记入借方。( X ) 4、由于一国国际收支不可能正好收支相抵，所以国际收支平衡表的最终差额绝不恒为零。 ( X ) 5、资本和金融账户可以无限制的为经常账户提供融资。(X ) 6、总差额比较综合的反映了一国自主性国际收支状况，对于全面衡量和分析国际收支状况 具有重大意义。( √) 7、一国的国际储备就是该国外国资产的总和。( X ) 8、IMF规定黄金不再列入一国的国际储备。( X ) 9、根据国际储备的性质，所有可兑换货币表示的资产都可以成为国际储备。( X )
10、国际储备的过分增长会引发世界性通货膨胀。(√) 三：选择题（单选或多选） 1、我国编制国际收支平衡表的机构是（ C ） A: 外汇管理局和中国银行 B：中国银行与国家进出口银行 C：中国人民银行与外汇管理局 D：外汇管理局与国家统计局 2、IMF规定，会员国的国际收支平衡表中进出口商品的统计应以各国海关统计为准，且计 价按（ A ） A：FOB B：CIF C：CFR D：CIP 3、国际收支平衡表借贷双方的总额有时并不一致，以下是对其原因的解释，正确的是（ABCD ） A：国际经济交易的统计资料来源不一 B：有些数据来自估算，并不精确 C：统计者工作不细心 D：走私等地下经济的存在 4、以下表述不正确的是（D ） A：国际收支平衡表采用复式记帐法进行分录编制 B：引起外汇收入的交易应记入贷方 C：借方科目属于资金来源类科目 D：国际收支顺差又称为黑字 5、若在国际收支平衡表中，储备资产项目为-100亿美元，则表示该国（ A ） A：增加了100亿美元的储备 B：减少了100亿美元的储备 C：人为的账面平衡，不说明问题 D：无法判断 6、下列项目应记入贷方的是（ B D ） A：反映进口实际资源的经常项目 B：反映出口实际资源的经常项目 C：反映资产增加或负债减少的金融项目 D：反映资产减少或负债增加的金融项目 7、以下哪个项目应记入国际收支平衡表的借方（B ） A：在国外某大学读书的本科生获得该大学颁发的奖学金 B：本国向国际组织缴纳的会费 C：本国居民在国外工作获取的劳务报酬 D：本国外汇储备的减少 8、一国对外证券投资产生的股息汇回国内，应记入国际收支平衡表哪个项目下（A ） A：经常项目B：资本项目 C：平衡项目D：金融项目 9、以下哪些项目应列入本国的国际收支平衡表（BC ） A：在本国驻外使馆工作的本国工作人员的工资收入 B：本国在国外投资建厂，该厂产品在本国市场销售 C：债权国对债务国的债务减免 D：留学生在海外购买生活必需品
金融管理综合应用重点
PART1 考试情况介绍 1.考试时间：3小时 2.考试形式：满分100分，60分及格 3.考试题型： 一个案例，包括两个大题，每题50分（全是主观题★★★） 4.考试时间：2013.11.16.14:30-17:30 5.知识点的考核目标： A.解决问题能力：40% B.决策能力：40% C.人际交往能力：10% D.数据处理能力：10%（实际要求要比这个比例高，重要★★★） 6.考试涉及的重点课程：1.《企业组织与经营环境》2.《商务沟通方法与技能》3.《会计学原理与实务》4. 《市场与市场营销》5.《国际商务金融》6.《企业成本管理会计》（最为核心的是前面四门课程★★★） PART2：涉及各学科重要知识点汇总 一、企业组织与经营环境★★★ 1、公共部门：是指那些由国家所有并控制为了社会公众利益而运营的组织。 私营部门：是指由个人或股东所有为了营利而运营的组织。 2、生产要素：是指使产品和服务的生产得以进行的那些资源，最基本的四要素是土地、劳动力、资本和 企业家。 3、产业类型：★★★ 第一产业是主要是指采集业，是指从土地这类要素中提取产品，包括采矿业、采石业、捕鱼业、林业以及 农牧业等，第一产业的产品是第二产业的基本原材料。 第二产业是指制造业和建筑业，例如化学品、纺织服装等加工制造业以及房子、公路、桥梁的建造等，该 产业将原材料转化为制成品。 第三产业不生产产品而是提供服务，例如公交、物流、银行、汽车维修、理发、学校等，第三产业的活动 可分为商业服务和个人服务。
4、企业使命：是企业存在的根本目的和理由，决定了企业从事什么业务，该生产什么产品或提供什么服 务。 5、利益相关者★★★：是指与企业有着某种直接或间接联系的所有群体。包括了股东、员工、管理者、 顾客、供应商、当地社区、政府等，不同的利益相关者追求不同的目标。 6、企业经营计划书:是指一份解释企业经营理念并指出如何将这些经营理念付诸实施的文件，常用来获取 贷款。 7、企业的战略目标：应具有长远性、整体性、可测量性、可实现性，企业需要对其所设定的目标定期考 察和审核，保证目标的恰当性和现实性。 8、企业利益相关者：★★★ （1）股东：期望能获得红利，追求企业未来利润的可持续性。 （2）员工：提高薪水，接受培训以发展全部潜力，追求良好而公平的待遇。 （3）管理者：实现企业的目标，完成股东委派的事情，获得报酬和升迁等。 （4）供应商：及时付款、获得更多的订单，以及来自采购方对技术、人员等方面的指导，能满足彼此需 要。 （5）顾客：得到尊重，获得性价比高的有保证的产品，遇到问题能及时解决。 （6）当地社区：希望企业对社区的人和事情关心，成为社区中负责任的一员，送货、取货安排在适当的 时间，不扰乱当地居民的正常生活，不污染当地环境，能提高当地的就业、税收等问题。（7）政府：通过立法、征税、获得贷款的难易程度等，来对企业造成影响。 （8）环境：企业经营对全球污染和气候变暖等问题造成的影响，如企业制定节能减排政策。 9、企业的主要经营目标：★★★ （1）利润最大化（高利润）（2）市场领导者（高市场份额）（3）销售收入最大化（高收入）（4）企业 成长（高成长率）（5）在不同市场上开展经营活动（降低单一市场经营风险）（6）自我满
金融机构管理习题答案009
Chapter Nine Interest Rate Risk II Chapter Outline Introduction Duration A 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 Interest The Economic Meaning of Duration ?Semiannual Coupon Bonds Duration and Immunization ?Duration and Immunizing Future Payments ?Immunizing the Whole Balance Sheet of an FI Immunization and Regulatory Considerations Difficulties in Applying the Duration Model ?Duration Matching can be Costly ?Immunization is a Dynamic Problem ?Large Interest Rate Changes and Convexity Summary Appendix 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 Claims
国际金融考试试题
文华学院国际金融学期末试卷 A 卷一、单项选择题（在每小题的四个备选答案中选出一个正确答案，并将其号码填在题干的括号内。每小题 1 分，共20分） 1. 投资收益在国际收支平衡表中应列入（A ） A. 经常账户 B. 资本账户 C. 金融账户 D. 储备与相关项目 2. 欧洲货币市场的币种交易中比重最大的是（D ） A. 欧洲英镑 B. 欧洲马克 C. 欧洲日元 D. 欧洲美元 3. 即期外汇交易在外汇买卖成交后，原则上的交割时间是（D ） A. 三个营业日 B. 五个工作日 C. 当天 D. 两个营业日 4. 在国际金融市场进行外汇交易时，习惯上使用的标价法是（B ） A. 直接标价法 B. 美元标价法 C. 间接标价法 D. 一揽子货币标价法 5. 当远期外汇比即期外汇贵时，两者之间的差额称为（A ） A. 升水 B. 贴水 C. 平价 D. 中间价 6. 根据国际借贷理论，外汇的供给与需求取决于（C ） A. 该国对外流动债权的状况 B. 该国对外流动债务的状况
C. 该国对外流动借贷的状况 D. 该国对外固定借贷的状况 7. 在采用直接标价的前提下，如果需要比原来更少的本币就能兑换一定数量的外国货币，这表明（ A ） A 本币币值上升，外币币值下降，本币升值外币贬值 B 本币币值下降，外币币值上升，本币贬值外币升值 C 本币币值上升，外币币值下降，外币升值本币贬值 D 本币币值下降，外币币值上升，外币贬值本币升值 8. 我国外汇体制改革的最终目标是使人民币实现（D ） A. 经常项目的自由兑换 B. 资本项目的自由兑换 C. 金融项目的自由兑换 D. 完全自由兑换 9. 中国国际信托投资公司在新加坡市场上发行的，以美元标明面值的债券属于（ B ） A. 外国债券 B. 欧洲债券 C. 扬基债券 D. 固定债券
国际金融学习题与答案
一、单选题 1、下列哪个帐户能够较好地衡量国际收支对国际储备造成的压力。 A.贸易收支差额 B.经常项目收支差额 C.资本与金融帐户差额 D.综合帐户差额 正确答案：D 2、国际收支逆差会使一国（）。 A.外汇储备减少或官方短期债务增加 B.外汇储备增加或官方短期债务增加 C.外汇储备增加或官方短期债权减少 D.外汇储备减少或官方短期债权增加 正确答案：A 3、如果在国际收支平衡表中，储备资产项目余额为380亿美元，则表示该国（）。 A.增加了380亿美元的储备资产 B.减少了380亿美元的储备资产 C.该年的储备资产余额为380亿美元 D.人为制造的账面平衡 正确答案：B 4、在一国的国际收支平衡表上该国对外证券投资记( )号，对外证券投资收益记 （）号。 A.+，+ B.+，－ C.-，+
D.-，- 正确答案：C 5、国际收支反映的内容是（）。 A.与国外的现金交易 B.与国外的金融资产交易 C.全部对外经济交易 D.一国的外汇收支 正确答案：C 6、国际收支中人为的平衡项目是（）。 A.经常项目 B.资本和金融项目 C.综合项目 D.错误与遗漏 正确答案：D 7、如果A国允许本币贬值的幅度大于本国物价上涨的幅度，在没有其他因素干扰的条件下，你推测在一段时间内，该国的（）。 A.国际收支将先好转后恶化 B.国际收支将持续恶化 C.国际收支将先恶化再好转 D.国际收支将持续好转 正确答案：C 解析：本币贬值的幅度大于本国物价上涨的幅度，说明以外币计价的出口商品的价格下降，根据弹性论思想，在没有其他因素的干扰下，国际收支将先恶化再好转 8、价格-现金流动机制是（）货币制度下的国际手指的自动调节机制。
金融管理综合应用试题及答案已排版
2015年11月中英合作金融管理专业管理段证书课程考试 金融管理综合应用试题 （课程代码11753） 姓名：准考证号： 考生注意事项 1.严格遵守考场规则，考生得到监考人员的指令后方可开始答题。 2.考生须将自己的姓名和准考证号写在本试卷上。 3.作答前，考生务必将自己的姓名、考点名称、课程名称、座位号、准考证号、课程 代码用黑色字迹的签字笔填写在答案卡指定位置，并将准考证号。课程代码对应的信息点用2B铅笔涂黑。 4.全部试题均在答题卡上作答，在试卷上作答无效。选择题部分，用2B铅笔把答题卡 上对应题目的答案标号涂黑。如需改动，用橡皮擦干净后，再涂选其他答案。非选择题部分，用黑色字迹的签字笔在答题卡的“非选择题答题区”内按试题题号顺序直接答题，并在题号栏标明大题题号和小题题号。 5.可使用计算器、直尺等文具。 6.考试结束后，考生将试题和答题卡放在桌上，不得带走，待监考人员收毕清点后， 方可离场。 任何人或机构不得保留、复制和出版本试卷，不得以任何形式传播试卷内容。违者必究。 教育部考试中心 2015年11月 金融管理综合应用试题 仔细阅读下列案例，回答一、二题，共100分。考试时间为180分钟。 钟唐鞋业有限公司 一、公司背景 1968年，中学毕业的托尼·钟开始在马来西亚一家小型零售鞋店工作。这家鞋店经营得很成功。老板于1972年用所赚取的利润在当地开设了第二家鞋店，由托尼单人总经理。尽管托尼没有接受过经营企业方面的正式培训，但事实证明他很有经验管理方面的天赋。在鞋店老板决定退休时，托尼用自己的积蓄买下了这两家鞋店。 在20 鞋店 长使 当时 况不 流趋 需求 托尼 制鞋 利润 托尼 迈克 称“ 自己 这是 为维 的十 让他 人有 业后 作经 获得 计师 为公 学位 托尼 家族二、制 钟唐 裁剪
金融机构管理习题答案015
Chapter Fifteen Foreign Exchange Risk Chapter Outline Introduction Sources of Foreign Exchange Risk Exposure ?Foreign Exchange Rate Volatility and FX Exposure Foreign Currency Trading ?FX Trading Activities ?The Profitability of Foreign Currency Trading Foreign Asset and Liability Positions ?The Return and Risk of Foreign Investments ?Risk and Hedging ?Interest Rate Parity Theorem ?Multicurrency Foreign Asset-Liability Positions Summary
Solutions for End-of-Chapter Questions and Problems: Chapter Fifteen 1. What are the four FX risks faced by FIs? The four risks include (1) trading in foreign securities, (2) making foreign currency loans, (3) issuing foreign currency-denominated debt, and (4) buying foreign currency-issued securities. 2.What is the spot market for FX? What is the forward market for FX? What is the position of being net long in a currency? The spot market for foreign exchange involves transactions for immediate delivery of a currency, while the forward market involves agreements to deliver a currency at a later time for a price or exchange rate that is determined at the time the agreement is reached. The net exposure of a foreign currency is the net foreign asset position plus the net foreign currency position. Net long in a currency means that the amount of foreign assets exceeds the amount of foreign liabilities. 3.X-IM Bank has ￥14 million in assets and ￥23 million in liabilities and has sold ￥8 million in foreign currency trading. What is the net exposure for X-IM? For what type of exchange rate movement does this exposure put the bank at risk? The net exposure would be ￥14 million – ￥23 million – ￥8 million = -￥17 million. This negative exposure puts the bank at risk of an appreciation of the yen against the dollar. A stronger yen means that repayment of the net position would require more dollars. 4.What two factors directly affect the profitability of an FI’s position in a foreign currency? The profitability is a function of the size of the net exposure and the volatility of the foreign exchange ratio or relationship. 5. The following are the foreign currency positions of an FI, expressed in dollars. Currency Assets Liabilities FX Bought FX Sold Swiss franc (SF) $125,000 $50,000 $10,000 $15,000 British pound (￡) 50,000 22,000 15,000 20,000 Japanese yen (￥) 75,000 30,000 12,000 88,000 a. What is the FI’s net exposure in Swiss francs? Net exposure in Swiss francs = $70,000. b. What is the FI’s net exposure in British pounds? Net exposure in British pounds = $23,000. c. What is the FI’s net exposure in Japanese yen?