金融学试卷

公选课《金融学基础》练习题A一、判断题( )1.Finance is the study of how people make money over time under uncertainty environments.( )2.The financial system is the set of markets and other institutions used for financial contracting and the exchange of assets and risks. It evolves over time. Its ultimate function is to meet people’s financing needs. ( )3.Financial intermediaries are government agencies whose primary business is to provide financial products and services.( )w of One Price states that in a competitive market, if two assets are equivalent, they tend to have the same market price. Law of One Price is enforced by a process called arbitrage.( )5.Efficient Market Hypothesis claims that a n asset’s current price fully reflects all publicly availablei nformation about future economic fundamentals affecting the asset’s value.( )6. When the yield curve is not flat, bonds of the same maturity with different coupon rates have different yields to maturity.( )7. Growth per se does not add stock’s value. What adds value is the opportunity to invest in projects that can earn rates of return in excess of the required rate.( )8.CAPM is a theory about equilibrium prices in the markets for risky assets.( )9. Futures markets are used by individual and firms whose ratings may be costly to check.( )10.Any contract that gives one of the contracting parties the right and obligation to buy or sell something at a prespecified exercise price is an option.二、单项选择题（）1．Which of the following statement is false?A. Finance is an important subject. It deals with the study of monetary institutions.B. The costs and benefits of financial decisions are spread over time.C. The costs and benefits of financial decisions are usually not known with certainty in advanc e byeither the decision makers or anybody else.D. People make use of financial system to implement their financial decision.（）2．Which intermediary are the largest (in terms of assets) and oldest of all financial intermediaries?A. Commercial BanksB. Thrift institutionsC. Insurance companiesD. Investment banks（）3．Suppose that the bank deposit rate is 4% annually, inflation rate is 6% per year, then the deposit’s real rate is ___ per year.A. -1.89%B. -1.43%C. 1.5%D.1.43%( )4. Suppose you saving account earns an annual percentage rate (APR) 8% which is compounded semiannually, then its effective annual rate (EFF) is ____.A. 8.00%B. 4.00%C. 8.16%D.16 %( )5. According to the 72 rule, how many years will it take to double the original investment for an interest rate of 9%?A. 8B. 9C. 10D.7.2( )6. For the life-cycle optimization, people usually consume _____ than(to) what they earn at their youth age.A. moreB. lessC. equalD. either of the above three choices( )7. When people get to their retire age, their ____ approaches zero.A. total wealthB. human capitalC. retirement fundD. none of the above three choices ( )8. If one person wants to leave a bequest to his children, then the lifetime consumption will be ____ in the condition of his unchanged lifetime income.A. increasedB. reducedC. unchangedD. either of the above three choices( )9.If the current price of XYZ stock is 47.85 and the July XYZ 40 call is 5.50, then the call’s intrinsic value is ______.A. 47.85B. 42.5C. 7.85D. 5.35( )10. If a stock call option’s exercise price is 85, at the expiration date the price of the underlying stock is 80, then the payoff of the call option is ( ).A. 100B. 15C. -15D. 0三、多项选择题（）1.Financials system encompasses ______A. Financial instrumentsB. Financial intermediaryC. Service firmsD. Regulatory bodies.（）2. Household’s financial decisions may involve _____.A. Consumption and saving decisionsB. Investment decisionsC. Financing decisionsD. Risk-management decisions（）3.Financial markets which are classified by maturity of claim include _______.A. Debt marketB. Equity marketC. Derivative marketD. Money marketE. Capital marketF. Primary marketG. Secondary market（）4. What functions can the financial system perform from the functional perspective?A. Transferring Resources across Time & SpaceB. Managing RiskC. Clearing and Settling PaymentsD. Pooling Resources and Subdividing SharesE. Providing InformationF. Dealing with Incentive Problems（）5. Basic techniques for reducing risk include _____:A. Risk avoidanceB. Loss prevention and controlC. Risk retentionD. Risk transfer三、计算题1．Assume that you plan to buy a house worth of ￥1,000,000，you decide to of take a home mortgage of 30 years installments while the down payment rate is 20% and the bank loan interest rate is 6%. Questions:(1) How much money do you have to borrow from bank?(2) How much do you have to pay per year for the loan?2．Xiao Wang（小王）is currently 30 years old, plan to retire at age 65 and live to 85. His labor income is ￥100,000 per year，and he intends to maintain a constant level of real consumption over the next 55 years.Assuming no taxes, no growth in real salary, and a real interest rate of 3% per year. Questions:(1)What’s the value of Xiao Wang’s human capital?（5分）(2)How should plan his consumption and savings to achieve his goal?（5分）3. Assuming that price of stock is ￥80, and the price of its underlying call option with exercise price of ￥80is ￥5.5，risk-free interest rate is 5%. If an investor currently invest 40% of his wealth in stock and the rest in calls, at the expiration day, the stock price is 100. Questions：(1) How much is the realized return?（5分）(2)How to allocate wealth in call and riskless asset to guarantee a minimum return of -10%?（5分）4.Consider a one-year call with exercise price of $80, its underlying stock price is now $85 and it can either riseor fall by 25%, the riskless interest rate is 6% per year. Question：Calculate the value of the call.===================练习题A答案一、判断题1-5 ×××√√6-10 √√√√×二、单项选择题1-5 AAACA6-10 ABBCD三、多项选择题1.ABCD2.ABCD3.DE4.ABCDEF5.ABCD三、计算题1．Solution ：(1)Money to borrow from bank=1000000×(1-20%)=800000 (2) Money to pay per year for the loan =300.0680000080000058119.131(1)1 1.06Ti i --⨯=⨯=-+-2. Solution:(1) Xiao Wang ’s human capital =351(1)1 1.0310000010000021487220.03Ti i---+-⨯=⨯=(2)let Xiao Wang’s consta nt level of real consumption be C, savings amount at working years is S, then wehave553511(1)(1)tttt t Y Ci i ===++∑∑→551 1.03C 21487220.03--⨯=→C=80252.77→S=100000-80252.77=19747.23 3.solution ：（1）realized return=10080m ax(10080,0)0.40.6(1)0.1 1.58 1.68805.5--⨯+⨯-=+=(2)constitute a portfolio which is made up by riskless assets and calls to guarantee a minimum return of -10%, let the weight of the riskless assets be w, we havem ax(80,0)0.05(1)(1)0.105.5T S w w -⨯+-⨯-=-(令期权价值为0)→w =0.8571 4.Solution ：Creating a synthetic call C by buying a fraction x of shares of the stock with price of S and simultaneously selling short risk-free bonds with a market value y. Then according to Law of one price, we haveC=xS-yConstitute equation systems by(1)(1)85(1.25) 1.06m ax(85(1.25)80,0)85(0.75) 1.06m ax(85(0.75)80,0){{u dx uS y r Cx dS y r C x y x y ⋅-+=⋅-+=⋅-=-⋅-=-→→x=0.6177,y=37.15 （2分）→C=15.36。