The determinates of selective exchange risk management
金融英语课后题
Unit 1 EMU Has Exchange Rate Policy Implications for Transition Countries Seeking EU Membership[Key Words]European Economic and Monetary Union (EMU) 欧洲经济货币联盟EMU reference values 欧洲经济货币联盟参考标准The new exchange rate mechanism (ERM 2) 新汇率机制IMF’s Fiscal Affairs Department 国际货币基金组织财政部The currency risk premium 货币风险溢酬Asymmetric real shocks 非对称性实际冲击An independent monetary and exchange rate policy 独立的货币汇率政策Macroeconomic stability 宏观经济稳定性Budget balance 预算平衡Synchronized cycles 同步的循环Biased toward agriculture and industry 偏重于工农业Non-core EU members 欧盟非核心成员国A managed float (exchange rate arrangement) 有管理的浮动汇率制An undeclared margin against the deutsche mark 钉紧德国马克，保持一个不公开的差额A pre-announced crawling peg 预先公布的缓慢钉紧汇率制度A currency board arrangement 货币局制度、联系汇率制度External current account 对外经常性项目账户The capital account 资本账户Legal reserve requirement systems 法定存款准备金制度Sterilized intervention 对冲操作The nominal exchange rate 名义利率Exchange rate regimes 汇率制度Appropriate flanking policies 适当的配套政策Containment of fiscal imbalances 遏制财政失衡A prudent monetary stance 审慎的货币政策Fixed parity 固定平价Purchasing power parity (PPP) 购买力平价Interest rate parity (IRP) 利率平价Gold parity 金平价Widen the official margins 放宽官方波动幅度Shadow the Euro unilaterally 单方面暗中钉紧欧元Full capital account liberalization 资本项目的完全放开[Notes]1. Including convergence toward EMU reference values and adherence to the new exchange rate mechanism (ERM2) created for nonparticipating EU members.2. That is, those that have opted out, or been left out, of EMU.3. Albeit4. Entering the EMU currency area entails both cost and benefits for candidate countries.5. Also, the currency risk premium, reflected in the interest rate, would fall and eventually vanish.6. An important potential cost of joining a currency area is that it impairs a country’s ability to absorb asymmetric real shocks in the absence of an independent monetary and exchange rate policy.7. And, conversely, participation in a currency area leads to trade expansion and thus to more synchronized cycles.8. Their economic structure is only moderately more biased toward agriculture and industry relative to services than that of non-core EU members, except Greece.9. At one end of the spectrum, the Czech Republic follows a managed float subordinate to the inflation target set by the central bank.10. The current macroeconomic situation in these countries is broadly characterized by sustainable growth, underpinned by rapidly increasing labor productivity, and by a deceleration in inflation to low double-digit or high single-digit rates.11. The effect is compounded by a surge in foreign direct investment.12. Insufficient financial and enterprise restructuring has rendered the Czech economy vulnerable.13. All five countries-to varying degrees-will need to make steady progress toward increased wage flexibility, containment of fiscal imbalances supported by a prudent monetary stance, and financial sector restructuring.14. However, accession countries should exercise caution in widening the band during a period of turbulence in the foreign exchange market.15. To preserve credibility, the authorities should declare the country’s commitment to reinstate the former parity following a temporary deviation due to a speculative attack.16. *The other dilemma enters on the requirement of full capital account liberalization while the candidate countries remain vulnerable to destabilizing capital flows prompted by rapid shifts in investor sentiment.[Exercise 2]1．美国是个移民国家，他号称接纳了那些不愿或不能回到自己祖国去的许多人。
财经保险类英语专业术语
acceptance policy 核保政策 accounting period 结算期 aggregate limit 累积限额 aggregated loss 累积损失 antiselection 逆选择 ART (Alternative Risk Transfer) 新型风险转移 balance 所欠款项 barrages 堰坝 captive pools 自保组合 catastrophe risk 巨灾风险 ceiding company 分出公司 cession limit 分保限额 claim-prone 容易出险 claims assistance 理赔协助 clean cut 结清方式 coinsurance 共保 commencement and termination 起讫 cover 承保 cover 责任额 deposit premium 预付保费 destroyed 毁坏 earth caves 土坏房屋 EPA event limit 事件限额 ex gratia payments 通融赔款 excess loss 超额赔款 exclusion 除外责任 exposed areas 风险承受区域 facultative reinsurance 临时分保 fault zone 断层区 finite risk 有限制的风险 flash floods 骤发洪水 flooding of rivers 洪水泛滥 frame structure 框架结构 full coverage 全额承保 full insurance value 足额保险价值 full liability 全部责任 Geophysics Institute 地球物理研究所 GNPI 总净保费收入 hailstorm 雹暴 heavy damage 严重破坏 hollow brick wall 空斗砖结构
信用习题带答案
CFA（注册金融分析（特许金融工程师），SII（英国证券投资分析师），复旦大学金融工程硕士，复旦大学财务管理学士，香港理工73. The bid ask spread is a determinant of liquidity risk reflecting the cost95. What will be the least effective stress test for credit risk?60. The spread on a one-year BBB-rated bond relative to the risk-free41. Consider a portfolio of six equally weighted bonds. Each bond has a52. Beta Bank owns a portfolio of 10 AA-rated bonds from 10 different66. Suppose the rate on Company A’s one-year zero-coupon bond is90. Under the comprehensive approach for the foundation internal Ratings122. Consider two portfolios. One with USD 100 million credit exposure如果信用产品的相关性下降，则信用风险下降。
139. Suppose Bank A sells exposure in a mortgage portfolio to Bank B. In114. You have a credit exposure to Bank Three. Which of the following102. Which of the following is not considered an event of default on the49. The management of a bank wants to limit the credit loss to a specific116. Which of the following is not a commonly used method for51. Mr. Rosenqvist, asset manager at BCD Bank, holds a portfolio of SEK15. Assume the marginal monthly default rates (conditional on no previous103. Which of the following is not modeling approach to credit scoring?111. Which of the following is not a correct statement about internal credit79.With regard to evaluating sovereign risk, which of the following74. Moody's estimates the average recovery rate for senior unsecured debt59. Assuming the 1-year T-bill rate of 4.25% and the rate on 1-year zero-101. Which of the following statements about the term structure of creditdata. Your boss wants you to49. Company Y has assets valued at USD 205 million. The value of its56. Which of the following variables is not used in the KMV model to108. The KMV model produces a measure called Expected Default9. In the CreditRisk+ model, default events are assumed to follow a53. In the CreditRisk+ model, the loss distribution for a broadly diversified79. As part of a currency hedging strategy, a US portfolio manager entered20. Which of the following reduce(s) a credit exposure by shortening the14. Sylvia, a portfolio manager, established a Yankee bond portfolio.91. You have a USD 50 million short at-the-money EUR/USD put option96. Which of the following statements correctly describes the impact of45. Bank B has a EUR 100million loan portfolio and has set aside a55. Suppose the return on US Treasuries is 3% and a risky bond is110. Bank A makes a USD 10 million five-year loan and wants to offset74. A trader whose risk you are monitoring tells you that he wants to42. Wallace, an emerging market bond trader, is holding a 5-year USD30. Your bank has chosen to use the advanced Internal Rating BasedThe bank sets up an Special Purpose Vehicle (SPV) that issues securities. All proceeds from selling these securities are invested in a portfolio of equities. The SPV sells protection to the bank through a credit default形成了实际参股，要合并报表，对于减少监管136. A three-year, credit-linked note (CLN) with underlying Company Z110. Which of the following is not a distinction between cash CDOs and。
德勤-信用风险管理(英文PPT 35页)
Compliance
Transactions
Collateral management
Contracts & Documentation
Credit Risk Management
A complete and coherent risk management framework contains the following elements
Objectives
Type of Exposure
Instruments or Methods
Performance Management
Performance-based management utilizes metrics that measure actual performance against predetermined thresholds. The thresholds are established taking into account the organization’s strategy, operating environment and process controls.
Business Strategy Systems Operations Finance
Business Performance
Measures
Value Creation
Organizations need a rigorous set of measures to support continuous improvement
Credit Risk Management
Enhancing Your Bottom Line
The AFP 23rd Annual Conference New Orleans November 3-6, 2002
商业银行信用风险外文翻译文献
商业银行信用风险外文翻译文献(文档含英文原文和中文翻译)估计技术和规模的希腊商业银行效率：信用风险、资产负债表的活动和国际业务的影响1.介绍希腊银行业经历了近几年重大的结构调整。
重要的结构性、政策和环境的变化经常强调的学者和从业人员有欧盟单一市场的建立，欧元的介绍，国际化的竞争、利率自由化、放松管制和最近的兼并和收购浪潮。
希腊的银行业也经历了相当大的改善，通信和计算技术，因为银行有扩张和现代化其分销网络，其中除了传统的分支机构和自动取款机，现在包括网上银行等替代分销渠道。
作为希腊银行（2004 年）的年度报告的重点，希腊银行亦在升级其信用风险测量与管理系统，通过引入信用评分和概率默认模型近年来采取的主要步骤。
此外，他们扩展他们的产品/服务组合，包括保险、经纪业务和资产管理等活动，同时也增加了他们的资产负债表操作和非利息收入。
最后，专注于巴尔干地区（如阿尔巴尼亚、保加利亚、前南斯拉夫马其顿共和国、罗马尼亚、塞尔维亚）的更广泛市场的全球化增加的趋势已添加到希腊银行在塞浦路斯和美国以前有限的国际活动。
在国外经营的子公司的业绩预计将有父的银行，从而对未来的决定为进一步国际化的尝试对性能的影响。
本研究的目的是要运用数据包络分析（DEA）和重新效率的希腊银行部门，同时考虑到几个以上讨论的问题进行调查。
我们因此区分我们的论文从以前的希腊银行产业重点并在几个方面，下面讨论添加的见解。
首先，我们第一次对效率的希腊银行的信用风险的影响通过检查其中包括贷款损失准备金作为附加输入Charnes et al.(1990 年)、德雷克（2001 年）、德雷克和大厅(2003 年)，和德雷克等人（2006 年）。
作为美斯特(1996) 点出"除非质量和风险控制的一个人也许会很容易误判一家银行的水平的低效；例如精打细算的银行信用评价或生产过高风险的贷款可能会被贴上标签一样高效，当相比银行花资源，以确保它们的贷款有较高的质量"(p.1026)。
金融英语第二版刘文国课后翻译题答案
金融英语第二版刘文国课后翻译题答案中译英：一.1.金融管理是商业管理的重要方面之一，没有合适的金融计划企业是不可能成功的。
Finance is one of the most important aspects of business management. Without proper financial planning a new enterprise is unlikely to be successful.2.金融中介机构的基本宗旨是把不受公众欢迎的金融资产转变为他们能够接受的金融资产。
Financial intermediaries play the basic role of transforming financial assets that less desirable for a large part of the public into other financial assets-their own liabilities-which are more widely preferred by the public.3.企业经营是有风险的，因而，财务经理必须对风险进行评估和管理。
Businesses are inherently risky, so the financial manager has to identify risks and make sure they are managed properly.4.投资决策首先是指投资机会，常常指资本投资项目。
The investment decision stars with the identification of investment opportunities, often referred to as capital investment projects.5.现金预算常常被用来评估企业是否有足够的现金来维持企业的日常经营运转和（或）是否有太多现金富裕。
信用违约互换(CDS)定价模型与实证分析
信用违约互换（CDS）定价模型与实证分析安泰11级金融硕士吴格【摘要】信用违约互换（CDS）作为重要的信用衍生工具，在近几年的美国次贷危机和欧债危机中均显示出其深刻的影响力。
由于发展时间相对较短、监管的不健全等因素，国际上的CDS市场也并不完善，业界对其的定价模型尚未形成统一定论。
特别是欧债危机中希腊等国家对其主权债务的清偿出现一定困难，致使其主权债CDS价差异常，也为CDS定价的理论模型带来挑战。
基于公司资产负债结构的结构化模型和基于外生违约强度的简约化模型各有优劣。
本文选取结构化模型中的CreditGrades模型和简约化模型中的Bloomberg模型，依据世界主要经济体的主权债CDS数据，对以上两类业界常用的定价模型进行实证分析。
从实质结果来看，虽然两者均能对CDS价差作出较为精准的估计，但是对于主权债CDS，CreditGrades模型由于其基础假设等原因，偏差较Bloomberg模型更大，而Bloomberg模型有虽然对市场信息依赖较大的特点，但在主权债CDS定价上更易发挥自身优势。
【关键词】信用违约互换；结构化模型；简约化模型一、研究问题作为全球范围内规模最大的信用衍生产品，信用违约互换（CDS）在美国的次贷危机和欧债危机中均显示出其深刻的影响力，但由于发展时间相对较短、监管的不健全等因素，国际上的CDS市场并不完善，市场上对于CDS的定价也并无统一定论。
尤其是欧债危机中希腊等国家对其主权债务的清偿出现一定困难，致使其主权债CDS价差异常，也为CDS定价的理论模型带来挑战。
1.背景意义信用违约互换（Credit Default Swap, CDS)又称信贷违约掉期，是目前全球交易最为广泛的场外信用衍生金融产品，其市值规模占全部信用衍生工具市场的97%以上。
信用违约互换兴起于20世纪90年代，它的出现解决了信用风险的流动性问题，使得信用风险可以像市场风险一样进行交易，从而转移担保方风险，同时也降低了企业发行债券的难度和成本。
Chap008金融机构管理课后题答案
Chapter EightInterest Rate Risk IChapter OutlineIntroductionThe Central Bank and Interest Rate RiskThe Repricing ModelRate-Sensitive AssetsRate-Sensitive LiabilitiesEqual Changes in Rates on RSAs and RSLsUnequal Changes in Rates on RSAs and RSLsWeaknesses of the Repricing ModelMarket Value EffectsOveraggregationThe Problem of RunoffsCash Flows from Off-Balance Sheet ActivitiesThe Maturity ModelThe Maturity Model with a Portfolio of Assets and Liabilities Weakness of the Maturity ModelSummaryAppendix 8A: Term Structure of Interest RatesUnbiased Expectations TheoryLiquidity Premium Theory Market Segmentation TheorySolutions for End-of-Chapter Questions and Problems: Chapter Eight1. What was the impact on interest rates of the borrowed reserves targetingregime used by the Federal Reserve from 1982 to 1993The volatility of interest rates was significantly lower than under the nonborrowed reserves target regime used in the three years immediately prior to 1982. Figure 8-1 indicates that both the level and volatility of interest rates declined even further after 1993 when the Fed decided that it would target primarily the fed funds rate as a guide for monetary policy.2. How has the increased level of financial market integration affectedinterest ratesIncreased financial market integration, or globalization, increases the speed with which interest rate changes and volatility are transmitted among countries. The result of this quickening of global economic adjustment is to increase the difficulty and uncertainty faced by the Federal Reserve as it attempts to manage economic activity within the U.S. Further, because FIs have become increasingly more global in their activities, any change in interest rate levels or volatility caused by Federal Reserve actions more quickly creates additional interest rate risk issues for these companies.3. What is the repricing gap In using this model to evaluate interest raterisk, what is meant by rate sensitivity On what financial performance variable does the repricing model focus Explain.The repricing gap is a measure of the difference between the dollar value of assets that will reprice and the dollar value of liabilities that will reprice within a specific time period, where reprice means the potential to receive a new interest rate. Rate sensitivity represents the time interval where repricing can occur. The model focuses on the potential changes in the net interest income variable. In effect, if interest rates change, interest income and interest expense will change as the various assets and liabilities are repriced, that is, receive new interest rates.4. What is a maturity bucket in the repricing model Why is the length oftime selected for repricing assets and liabilities important when using the repricing modelThe maturity bucket is the time window over which the dollar amounts of assets and liabilities are measured. The length of the repricing period determines which of the securities in a portfolio are rate-sensitive. The longer the repricing period, the more securities either mature or need to be repriced, and, therefore, the more the interest rate exposure. An excessively short repricing period omits consideration of the interest rate risk exposure of assets and liabilities are that repriced in the period immediately following the end of the repricing period. That is, it understates the rate sensitivity of the balance sheet. An excessively long repricing period includes many securities that are repriced at different times within the repricing period, thereby overstating the rate sensitivity of the balance sheet.5. Calculate the repricing gap and the impact on net interest income of a 1percent increase in interest rates for each of the following positions:Rate-sensitive assets = $200 million. Rate-sensitive liabilities =$100 million.Repricing gap = RSA - RSL = $200 - $100 million = +$100 million.NII = ($100 million)(.01) = +$ million, or $1,000,000.Rate-sensitive assets = $100 million. Rate-sensitive liabilities =$150 million.Repricing gap = RSA - RSL = $100 - $150 million = -$50 million.NII = (-$50 million)(.01) = -$ million, or -$500,000.Rate-sensitive assets = $150 million. Rate-sensitive liabilities =$140 million.Repricing gap = RSA - RSL = $150 - $140 million = +$10 million.NII = ($10 million)(.01) = +$ million, or $100,000.a. Calculate the impact on net interest income on each of the abovesituations assuming a 1 percent decrease in interest rates.NII = ($100 million) = -$ million, or -$1,000,000.NII = (-$50 million) = +$ million, or $500,000.NII = ($10 million) = -$ million, or -$100,000.b. What conclusion can you draw about the repricing model from theseresultsThe FIs in parts (1) and (3) are exposed to interest rate declines(positive repricing gap) while the FI in part (2) is exposed to interest rate increases. The FI in part (3) has the lowest interest rate riskexposure since the absolute value of the repricing gap is the lowest,while the opposite is true for part (1).6. What are the reasons for not including demand deposits as rate-sensitiveliabilities in the repricing analysis for a commercial bank What is the subtle, but potentially strong, reason for including demand deposits inthe total of rate-sensitive liabilities Can the same argument be madefor passbook savings accountsThe regulatory rate available on demand deposit accounts is zero. Although many banks are able to offer NOW accounts on which interest can be paid, this interest rate seldom is changed and thus the accounts are not really sensitive. However, demand deposit accounts do pay implicit interest in the form of not charging fully for checking and other services. Further, when market interest rates rise, customers draw down their DDAs, which may cause the bank to use higher cost sources of funds. The same or similar arguments can be made for passbook savings accounts.7. What is the gap ratio What is the value of this ratio to interest raterisk managers and regulatorsThe gap ratio is the ratio of the cumulative gap position to the total assets of the bank. The cumulative gap position is the sum of the individual gaps over several time buckets. The value of this ratio is that it tells the direction of the interest rate exposure and the scale of that exposure relative to the size of the bank.8. Which of the following assets or liabilities fit the one-year rate or repricing sensitivity test91-day . Treasury bills Yes1-year . Treasury notes Yes20-year . Treasury bonds No20-year floating-rate corporate bonds with annual repricing Yes30-year floating-rate mortgages with repricing every two years No30-year floating-rate mortgages with repricing every six months YesOvernight fed funds Yes9-month fixed rate CDs Yes1-year fixed-rate CDs Yes5-year floating-rate CDs with annual repricing YesCommon stock No9. Consider the following balance sheet for WatchoverU Savings, Inc. (in millions):Assets Liabilities and EquityFloating-rate mortgages Demand deposits(currently 10% annually) $50 (currently 6% annually) $7030-year fixed-rate loans Time deposits(currently 7% annually) $50 (currently 6% annually $20Equity $10 Total Assets $100 Total Liabilities & Equity$100a. What is WatchoverU’s expected net interest income at year-endCurrent expected interest income:$5m + $3.5m = $8.5m.Expected interest expense: $4.2m + $1.2m = $5.4m.Expected net interest income: $8.5m - $5.4m = $3.1m.b. What will be the net interest income at year-end if interest ratesrise by 2 percentAfter the 200 basis point interest rate increase, net interest incomedeclines to:50 + 50 - 70 - 20(.06) = $9.5m - $6.8m = $2.7m, a decline of $0.4m.c. Using the cumulative repricing gap model, what is the expected netinterest income for a 2 percent increase in interest rates Wachovia’s' repricing or funding gap is $50m - $70m = -$20m. The change in net interest income using the funding gap model is (-$20m) = -$.4m.d.What will be the net interest income at year-end if interest ratesincrease 200 basis points on assets, but only 100 basis points onliabilities Is it reasonable for changes in interest rates to affectbalance sheet in an uneven manner WhyAfter the unbalanced rate increase, net interest income will be 50 +50 - 70 - 20(.06) = $9.5m - $6.1m = $3.4m, an increase of $0.3m. It isnot uncommon for interest rates to adjust in an uneven manner over two sides of the balance sheet because interest rates often do not adjust solely because of market pressures. In many cases the changes areaffected by decisions of management. Thus you can see the difference between this answer and the answer for part a.10. What are some of the weakness of the repricing model How have largebanks solved the problem of choosing the optimal time period forrepricing What is runoff cash flow, and how does this amount affect the repricing model’s analysisThe repricing model has four general weaknesses:(1) It ignores market value effects.(2) It does not take into account the fact that the dollar value of ratesensitive assets and liabilities within a bucket are not similar. Thus, if assets, on average, are repriced earlier in the bucket thanliabilities, and if interest rates fall, FIs are subject to reinvestment risks.(3) It ignores the problem of runoffs, that is, that some assets are prepaidand some liabilities are withdrawn before the maturity date.(4) It ignores income generated from off-balance-sheet activities.Large banks are able to reprice securities every day using their own internal models so reinvestment and repricing risks can be estimated for each day ofthe year.Runoff cash flow reflects the assets that are repaid before maturity and the liabilities that are withdrawn unsuspectedly. To the extent that either of these amounts is significantly greater than expected, the estimated interest rate sensitivity of the bank will be in error.11. Use the following information about a hypothetical government securitydealer named . Jorgan. Market yields are in parenthesis, and amounts are in millions.Assets Liabilities and EquityCash $10 Overnight Repos $1701 month T-bills %) 75 Subordinated debt3 month T-bills %) 75 7-year fixed rate % 1502 year T-notes %) 508 year T-notes %) 1005 year munis (floating rate)% reset every 6 months) 25 Equity 15 Total Assets $335 Total Liabilities & Equity$335a. What is the funding or repricing gap if the planning period is 30 days91 days 2 years Recall that cash is a noninterest-earning asset.Funding or repricing gap using a 30-day planning period = 75 - 170 = -$95 million.Funding gap using a 91-day planning period = (75 + 75) - 170 = -$20 million.Funding gap using a two-year planning period = (75 + 75 + 50 + 25) - 170 = +$55 million.b. What is the impact over the next 30 days on net interest income if allinterest rates rise 50 basis points Decrease 75 basis pointsNet interest income will decline by $475,000. NII = FG(R) = -95(.005) = $0.475m.Net interest income will increase by $712,500. NII = FG(R)= -95(.0075) = $0.7125m.c.The following one-year runoffs are expected: $10 million for two-yearT-notes, and $20 million for eight-year T-notes. What is the one-year repricing gapFunding or repricing gap over the 1-year planning period = (75 + 75 + 10 + 20 + 25) - 170 = +$35 million.d. If runoffs are considered, what is the effect on net interest incomeat year-end if interest rates rise 50 basis points Decrease 75 basispointsNet interest income will increase by $175,000. NII = FG(R) = 35 = $0.175m.Net interest income will decrease by $262,500, NII = FG(R) = 35 = -$0.2625m.12. What is the difference between book value accounting and market valueaccounting How do interest rate changes affect the value of bank assets and liabilities under the two methods What is marking to marketBook value accounting reports assets and liabilities at the original issue values. Current market values may be different from book values because they reflect current market conditions, such as interest rates or prices. This is especially a problem if an asset or liability has to be liquidated immediately. If the asset or liability is held until maturity, then the reporting of book values does not pose a problem.For an FI, a major factor affecting asset and liability values is interestrate changes. If interest rates increase, the value of both loans (assets) and deposits and debt (liabilities) fall. If assets and liabilities are held until maturity, it does not affect the book valuation of the FI. However, ifdeposits or loans have to be refinanced, then market value accounting presents a better picture of the condition of the FI.The process by which changes in the economic value of assets and liabilities are accounted is called marking to market. The changes can be beneficial as well as detrimental to the total economic health of the FI.13. Why is it important to use market values as opposed to book values whenevaluating the net worth of an FI What are some of the advantages ofusing book values as opposed to market valuesBook values represent historical costs of securities purchased, loans made, and liabilities sold. They do not reflect current values as determined by market values. Effective financial decision-making requires up-to-date information that incorporates current expectations about future events. Market values provide the best estimate of the present condition of an FI and serve as an effective signal to managers for future strategies.Book values are clearly measured and not subject to valuation errors, unlike market values. Moreover, if the FI intends to hold the security until maturity, then the security's current liquidation value will not be relevant. That is, the paper gains and losses resulting from market value changes will never be realized if the FI holds the security until maturity. Thus, the changes in market value will not impact the FI's profitability unless the security is sold prior to maturity.14. Consider a $1,000 bond with a fixed-rate 10 percent annual coupon (Cpn %)and a maturity (N) of 10 years. The bond currently is trading to amarket yield to maturity (YTM) of 10 percent. Complete the followingtable.From Par, $ From Par, %N Cpn % YTM Price Change in Price Change in Price8 10% 9% $1, $ %9 10% 9% $1, $ %10 10% 9% $1, $ %10 10% 10% $1,10 10% 11% $ -$ %11 10% 11% $ -$ %12 10% 11% $ -$ %Use this information to verify the principles of interest rate-pricerelationships for fixed-rate financial assets.Rule One: Interest rates and prices of fixed-rate financial assets move inversely. See the change in price from $1,000 to $ for the change in interest rates from 10 percent to 11 percent, or from $1,000 to $1, when rates change from 10 percent to 9 percent.Rule Two: The longer is the maturity of a fixed-income financial asset, the greater is the change in price for a given change in interest rates.A change in rates from 10 percent to 11 percent has caused the 10-yearbond to decrease in value $, but the 11-year bond will decrease in value $, and the 12-year bond will decrease $.Rule Three: The change in value of longer-term fixed-rate financialassets increases at a decreasing rate. For the increase in rates from 10 percent to 11 percent, the difference in the change in price between the 10-year and 11-year assets is $, while the difference in the change in price between the 11-year and 12-year assets is $.Rule Four: Although not mentioned in the text, for a given percentage () change in interest rates, the increase in price for a decrease in ratesis greater than the decrease in value for an increase in rates. Thus for rates decreasing from 10 percent to 9 percent, the 10-year bond increases $. But for rates increasing from 10 percent to 11 percent, the 10-year bond decreases $.15. Consider a 12-year, 12 percent annual coupon bond with a required returnof 10 percent. The bond has a face value of $1,000.a. What is the price of the bondPV = $120*PVIFAi=10%,n=12 + $1,000*PVIFi=10%,n=12= $1,b. If interest rates rise to 11 percent, what is the price of the bondPV = $120*PVIFAi=11%,n=12 + $1,000*PVIFi=11%,n=12= $1,c. What has been the percentage change in priceP = ($1, - $1,/$1, = or – percent.d. Repeat parts (a), (b), and (c) for a 16-year bond.PV = $120*PVIFAi=10%,n=16 + $1,000*PVIFi=10%,n=16= $1,PV = $120*PVIFAi=11%,n=16 + $1,000*PVIFi=11%,n=16= $1,P = ($1, - $1,/$1, = or – percent.e. What do the respective changes in bond prices indicateFor the same change in interest rates, longer-term fixed-rate assets have a greater change in price.16. Consider a five-year, 15 percent annual coupon bond with a face value of$1,000. The bond is trading at a market yield to maturity of 12 percent.a. What is the price of the bondPV = $150*PVIFAi=12%,n=5 + $1,000*PVIFi=12%,n=5= $1,b. If the market yield to maturity increases 1 percent, what will be thebond’s new pricePV = $150*PVIFAi=13%,n=5 + $1,000*PVIFi=13%,n=5= $1,c. Using your answers to parts (a) and (b), what is the percentage changein the bond’s price as a result of the 1 percent increase in interest ratesP = ($1, - $1,/$1, = or – percent.d. Repeat parts (b) and (c) assuming a 1 percent decrease in interestrates.PV = $150*PVIFAi=11%,n=5 + $1,000*PVIFi=11%,n=5= $1,P = ($1, - $1,/$1, = or percente. What do the differences in your answers indicate about the rate-pricerelationships of fixed-rate assetsFor a given percentage change in interest rates, the absolute value of the increase in price caused by a decrease in rates is greater than the absolute value of the decrease in price caused by an increase in rates.17. What is maturity gap How can the maturity model be used to immunize anFI’s portfolio What is the critical requirement to allow maturitymatching to have some success in immunizing the balance sheet of an FIMaturity gap is the difference between the average maturity of assets and liabilities. If the maturity gap is zero, it is possible to immunize the portfolio, so that changes in interest rates will result in equal but offsetting changes in the value of assets and liabilities and net interest income. Thus, if interest rates increase (decrease), the fall (rise) in the value of the assets will be offset by a perfect fall (rise) in the value of the liabilities. The critical assumption is that the timing of the cash flows on the assets and liabilities must be the same.18. Nearby Bank has the following balance sheet (in millions):Assets Liabilities and EquityCash $60 Demand deposits $1405-year treasury notes $60 1-year Certificates of Deposit $160 30-year mortgages $200 Equity $20Total Assets $320 Total Liabilities and Equity$320What is the maturity gap for Nearby Bank Is Nearby Bank more exposed to an increase or decrease in interest rates Explain whyM A = [0*60 + 5*60 + 200*30]/320 = years, and ML= [0*140 + 1*160]/300 = .Therefore the maturity gap = MGAP = – = years. Nearby bank is exposed toan increase in interest rates. If rates rise, the value of assets will decrease much more than the value of liabilities.19. County Bank has the following market value balance sheet (in millions,annual rates):Assets Liabilities and EquityCash $20 Demand deposits $10015-year commercial loan @ 10% 5-year CDs @ 6% interest,interest, balloon payment $160 balloon payment $21030-year Mortgages @ 8% interest, 20-year debentures @ 7% interest$120monthly amortizing $300 Equity $50Total Assets $480 Total Liabilities & Equity $480a. What is the maturity gap for County BankMA= [0*20 + 15*160 + 30*300]/480 = years.ML= [0*100 + 5*210 + 20*120]/430 = years.MGAP = – = years.b. What will be the maturity gap if the interest rates on all assets andliabilities increase by 1 percentIf interest rates increase one percent, the value and average maturity of the assets will be:Cash = $20Commercial loans = $16*PVIFAn=15, i=11% + $160*PVIFn=15,i=11%= $Mortgages = $,294*PVIFAn=360,i=9%= $MA= [0*20 + *15 + *30]/(20 + + = yearsThe value and average maturity of the liabilities will be: Demand deposits = $100CDs = $*PVIFAn=5,i=7% + $210*PVIFn=5,i=7%= $Debentures = $*PVIFAn=20,i=8% + $120*PVIFn=20,i=8%= $ML= [0*100 + 5* + 20*]/(100 + + = yearsThe maturity gap = MGAP = – = years. The maturity gap increased because the average maturity of the liabilities decreased more than the average maturity of the assets. This result occurred primarily because of the differences in the cash flow streams for the mortgages and the debentures.c. What will happen to the market value of the equityThe market value of the assets has decreased from $480 to $, or $. The market value of the liabilities has decreased from $430 to $, or $. Therefore the market value of the equity will decrease by $ - $ = $, or percent.d. If interest rates increased by 2 percent, would the bank be solvent The value of the assets would decrease to $, and the value of the liabilities would decrease to $. Therefore the value of the equity would be $. Although the bank remains solvent, nearly 65 percent of the equity has eroded because of the increase in interest rates.20. Given that bank balance sheets typically are accounted in book valueterms, why should the regulators or anyone else be concerned about howinterest rates affect the market values of assets and liabilitiesThe solvency of the balance sheet is an important variable to creditors of the bank. If the capital position of the bank decreases to near zero, creditors may not be willing to provide funding for the bank, and the bank may need assistance from the regulators, or may even fail. Thus any change in the market value of assets or liabilities that is caused by changes in the level of interest rate changes is of concern to regulators.21. If a bank manager is certain that interest rates were going to increasewithin the next six months, how should the bank manager adjust thebank’s maturity gap to take advantage of this antici pated increase What if the manager believed rates would fall Would your suggestedadjustments be difficult or easy to achieveWhen rates rise, the value of the longer-lived assets will fall by more the shorter-lived liabilities. If the maturity gap (or duration gap) is positive, the bank manager will want to shorten the maturity gap. If the repricing gap is negative, the manager will want to move it towards zero or positive. If rates are expected to decrease, the manager should reverse these strategies. Changing the maturity, duration, or funding gaps on the balance sheet often involves changing the mix of assets and liabilities. Attempts to make these changes may involve changes in financial strategy for the bank which may notbe easy to accomplish. Later in the text, methods of achieving the same results using derivatives will be explored.22. Consumer Bank has $20 million in cash and a $180 million loan portfolio.The assets are funded with demand deposits of $18 million, a $162 million CD and $20 million in equity. The loan portfolio has a maturity of 2years, earns interest at the annual rate of 7 percent, and is amortized monthly. The bank pays 7 percent annual interest on the CD, but theinterest will not be paid until the CD matures at the end of 2 years.a. What is the maturity gap for Consumer Bank= [0*$20 + 2*$180]/$200 = yearsMA= [0*$18 + 2*$162]/$180 = yearsMLMGAP = – = 0 years.b. Is Consumer Bank immunized or protected against changes in interestrates Why or why notIt is tempting to conclude that the bank is immunized because thematurity gap is zero. However, the cash flow stream for the loan and the cash flow stream for the CD are different because the loan amortizesmonthly and the CD pays annual interest on the CD. Thus any change in interest rates will affect the earning power of the loan more than the interest cost of the CD.c. Does Consumer Bank face interest rate risk That is, if marketinterest rates increase or decrease 1 percent, what happens to thevalue of the equityThe bank does face interest rate risk. If market rates increase 1percent, the value of the cash and demand deposits does not change.However, the value of the loan will decrease to $, and the value of the CD will fall to $. Thus the value of the equity will be ($ + $20 - $18 - $ = $. In this case the increase in interest rates causes the marketvalue of equity to increase because of the reinvestment opportunities on the loan payments.If market rates decrease 1 percent, the value of the loan increases to $, and the value of the CD increases to $. Thus the value of the equitydecreases to $.d. How can a decrease in interest rates create interest rate riskThe amortized loan payments would be reinvested at lower rates. Thuseven though interest rates have decreased, the different cash flowpatterns of the loan and the CD have caused interest rate risk.23. FI International holds seven-year Acme International bonds and two-yearBeta Corporation bonds. The Acme bonds are yielding 12 percent and the Beta bonds are yielding 14 percent under current market conditions.a. What is the weighted-average maturity of FI’s bond portfolio if 40percent is in Acme bonds and 60 percent is in Beta bondsAverage maturity = x 7 years + x 2 years = 4 yearsb. What proportion of Acme and Beta bonds should be held to have aweighted-average yield of percentLet X* + (1 - X)* = . Solving for X, we get 25 percent. In order to get an average yield of percent, we need to hold 25 percent of Acme and 75 percent of Beta.c. What will be the weighted-average maturity of the bond portfolio ifthe weighted-average yield is realizedThe average maturity of the portfolio will decrease to x 7 + x 2 = years.24. An insurance company has invested in the following fixed-incomesecurities: (a) $10,000,000 of 5-year Treasury notes paying 5 percentinterest and selling at par value, (b) $5,800,000 of 10-year bonds paying7 percent interest with a par value of $6,000,000, and (c) $6,200,000 of20-year subordinated debentures paying 9 percent interest with a parvalue of $6,000,000.a. What is the weighted-average maturity of this portfolio of assets= [5*$10 + 10*$ + 20*$]/$22 = 232/22 = yearsMAb. If interest rates change so that the yields on all of the securitiesdecrease 1 percent, how does the weighted-average maturity of theportfolio changeTo determine the weighted-average maturity of the portfolio for a rate decrease of 1 percent, the new value of each security must be determined. This calculation will require knowing the YTM of each security before the rate change.T-notes are selling at par, so the YTM = 5 percent. Therefore, the new value will bePV = $500,000*PVIFAn=5,i=4% + $10,000,000*PVIFn=5,i=4%= $10,445,182.10-year bonds: Par = $6,000,000, PV = $5,800,000, Cpn = 7 percent YTM= %. The new PV = $420,000*PVIFAn=10,i=% + $6,000,000*PVIFn=10,i=%= $6,222,290.Debentures: Par = $6,000,000, PV = $6,200,000, Cpn = 9 percentpercent. The new PV = $540,000*PVIFAn=20,i=% + $6,000,000*PVIFn=20,i==$6,820,418.The total value of the assets after the change in rates will be$23,487,890, and the weighted-average maturity will be [5*10,445,182 +10*6,222,290 + 20*6,820,418]/23,487,890 = 250,857,170/23,487,890 = years.c. Explain the changes in the maturity values if the yields increase by 1 percent.。
国际财务管理整合
at the bank’s 60-day forward ask rate, To find the forward ask rate, you must realize that the 60-day forward points of 15/25 indicate the amounts that must be added. From the spot bid and ask quotes to get the forward rates. We know to add the points because the first forward point is lower than the second so, the first part of the swap would be done at HK7.7760/$+HK0.0025/$=HK7.7785/$ Therefore, to buy $500 you would be pay $500*HK7.7785/$=3889.25HK If I want to swap into $500 at the 60-day spot rate, we should know the swap would be done at HK7.7890/$ So, to buy $500 you would pay $500*HK7.7890/$=3894.5HK 3894.5HK-3889.25HK=5.25HK At last the man should pay the 5.25HK more than before.
is derived from the performance of underlying assets, interest rates, exchange rates, or indices.（是一种投资的回报来自基础资产的性能, 利率,汇率,或指数。 ）
金融管理基础英文版第16版人大版MGH版简答题附答案BHD_16e_SM_Chapter_01
Chapter 1The Goals and Functions of Financial ManagementDiscussion Questions1-1. How did the recession of 2007–2009 compare with other recessions since the Great Depression in terms of length?It was the longest.1-2. What effect did the recession of 2007–2009 have on government regulation?It was greatly increased.1-3. What advantages does a sole proprietorship offer? What is a major drawback of this type of organization?A sole proprietorship offers the advantage of simplicity of decision making andlow organizational and operating costs. A major drawback is that there isunlimited liability to the owner.1-4. What form of partnership allows some of the investors to limit their liability?Explain briefly.A limited partnership allows some of the partners to limit their liability. Underthis arrangement, one or more partners are designated general partners and haveunlimited liability for the debts of the firm; other partners are designated limitedpartners and are liable only for their initial contribution. The limited partners arenormally prohibited from being active in the management of the firm.1-5. In a corporation, what group has the ultimate responsibility for protecting and managing the stockholders' interests?The board of directors.1-6. What document is necessary to form a corporation?The articles of incorporation.1-7. What issue does agency theory examine? Why is it important in a public corporation rather than in a private corporation?Agency theory examines the relationship between the owners of the firm and themanagers of the firm. In privately owned firms, management and the owners areusually the same people. Management operates the firm to satisfy its own goals,needs, financial requirements and the like. As a company moves from private topublic ownership, management now represents all owners. This placesmanagement in the agency position of making decisions in the best interest of allshareholders.1-8. Why are institutional investors important in today's business world?Because institutional investors such as pension funds and mutual funds own alarge percentage of major U.S. companies, they are having more to say about theway publicly owned companies are managed. As a group, they have the ability tovote large blocks of shares for the election of a board of directors, which issupposed to run the company in an efficient, competitive manner. The threat ofbeing able to replace poor performing boards of directors makes institutionalinvestors quite influential. Since these institutions, like pension funds and mutualfunds, represent individual workers and investors, they have a responsibility to seethat the firm is managed in an efficient and ethical way.1-9. Why is profit maximization, by itself, an inappropriate goal? What is meant by the goal of maximization of shareholder wealth?The problem with a profit maximization goal is that it fails to take account of risk,the timing of the benefits is not considered, and profit measurement is a veryinexact process. The goal of shareholders’ wealth maximization implies that thefirm will attempt to achieve the highest possible total valuation in themarketplace. It is the one overriding objective of the firm and should influenceevery decision.1-10. When does insider trading occur? What government agency is responsible for protecting against the unethical practice of insider trading?Insider trading occurs when anyone with non-public information buys or sellssecurities to take advantage of that private information. The Securities andExchange Commission is responsible for protecting markets against insidertrading. In the past, people have gone to jail for trading on non-publicinformation. This has included company officers, investment bankers, printerswho have information before it is published, and even truck drivers who deliverbusiness magazines and read positive or negative articles about a company beforethe magazine is on the newsstands and then place trades or have friends placetrades based on that information. The SEC has prosecuted anyone who profitsfrom inside information.1-11. In terms of the life of the securities offered, what is the difference between money and capital markets?Money markets refer to those markets dealing with short-term securities that havea life of one year or less. Capital markets refer to securities with a life of morethan one year.1-12. What is the difference between a primary and a secondary market?A primary market refers to the use of the financial markets to raise new funds forthe corporation. After the securities are sold to the public (institutions andindividuals), they trade in the secondary market between investors. It is in thesecondary market that prices are continually changing as investors buy and sellsecurities based on the expectations of corporate prospects.1-13. Assume you are looking at many companies with equal risk. Which ones will have the highest stock prices?Given companies with equal risk, those companies with expectations of highreturn will have higher common stock prices relative to those companies withexpectations of poor returns.1-14. What changes can take place under restructuring? In recent times, what group of investors has often forced restructuring to take place?Restructuring can result in changes in the capital structure (liabilities and equityon the balance sheet). It can also result in the selling of low-profit-margindivisions with the proceeds reinvested in better investment opportunities, andsometimes restructuring results in the removal of the current management team orlarge reductions in the workforce. Restructuring has also included mergers andacquisitions.Institutional investors have been very influential in forcing restructuring to takeplace in recent years.1-15. How did the Sarbanes–Oxley Act impact corporations’ financial reports?The Sarbanes–Oxley Act of 2002 set up a five-member Public CompanyAccounting Oversight Board with the responsibility for establishing auditingstandards within companies, controlling the quality of audits, and setting rulesand standards for the independence of the auditors. It also puts greatresponsibility on the internal audit committee of each publicly traded company toenforce compliance with the act. The major focus of the act is to make sure thatpublicly traded corporations accurately present their assets, liabilities, and equityand income on their financial statements.1-16. Name the departments, offices, or agencies that were created by the Dodd–Frank legislation.1) The act created the Financial Stability Oversight Council within theTreasury Department.2) The act created the Office of Financial Research within the TreasuryDepartment.3) Dodd–Frank established the Federal Insurance Office within the TreasuryDepartment to oversee the insurance industry and streamline state-basedinsurance regulation.4) The act created the Bureau of Consumer Financial Protection. Theoversight given to the Bureau of Consumer Financial Protection allows itto dictate the fees that banks charge and the types of products they offer.。