本文格式为Word版，下载可任意编辑金融机构风险管理练习题 1 2 3 4 5 6 7 8 9 10 Chapter 6&7 test The repricing gap model is a book value accounting based model. A positive repricing gap implies that a decrease in interest rates will cause interest expense to decrease more than the decrease in interest income. When a banks repricing gap is positive, net interest income is positively related to changes in interest rates. A bank with a negative repricing (or funding) gap faces reinvestment risk. The economic meaning of duration is the interest elasticity of a financial assets price. Duration considers the timing of all the cash flows of an asset by summing the product of the cash flows and the time of occurrence. Duration is equal to maturity when at least some of the cash flows are received upon maturity of the asset. Duration of a zero coupon bond is equal to the bonds maturity. As interest rates rise, the duration of a consol bond decreases. For a given maturity fixed-income asset, duration decreases as the market yield increases. Multiple-Choice 1 The repricing gap approach calculates the gaps in each maturity bucket by subtracting the a. current assets from the current liabilities. b. long term liabilities from the fixed assets. c. rate sensitive assets from the total assets. d. rate sensitive liabilities from the rate sensitive assets. e. current liabilities from tangible assets. 2 A positive gap implies that an increase in interest rates will cause _ in net interest income. a. no change b. a decrease c. an increase d. an unpredictable change e. Either A or B. 3 If interest rates decrease 50 basis points for an FI that has a gap of +$5 million, the expected change in net interest income is a. + $2,500. b. + $25,000. c. + $250,000. d. - $250,000. e. - $25,000. 4 The duration of a consol bond is a. less than its maturity. 5 6 7 8 b. infinity. c. 30 years. d. more than its maturity. e. given by the formula D=1/1-R. An FI has financial assets of $800 and equity of $50. If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is the leverage-adjusted duration gap? a. 0.9000 years. b. 0.9600 years. c. 0.9756 years. d. 0.8844 years. e. Cannot be determined. Calculate the duration of a two-year corporate bond paying 6 percent interest annually, selling at par. Principal of $20,000,000 is due at the end of two years. a. 2 years. b. 1.91 years. c. 1.94 years. d. 1.49 years. e. 1.75 years. A $1,000 six-year Eurobond has an 8 percent coupon, is selling at par, and contracts to make annual payments of interest. The duration of this bond is 4.99 years. What will be the new price using the duration model if interest rates increase to 8.5 percent? a. $23.10. b. $976.90. c. $977.23. d. $1,023.10. e. -$23.10. Calculating modified duration involves a. dividing the value of duration by the change in the market interest rate. b. dividing the value of duration by 1 plus the interest rate. c. dividing the value of duration by discounted change in interest rates. d. multiplying the value of duration by discounted change in interest rates. e. dividing the value of duration by the curvature effect. Multiple Part Questions Use the following information to answer the next five (5) questions: The balance sheet of XYZ Bank. All figures in millions of US Dollars. Assets Liabilities 1 Short-term consumer loans (one-year maturity) 2 Long-term consumer loans 3 Three-month Treasury bills 4 Six-month Treasury notes 5 Three-year Treasury bond $ 150 1 Equity capital (fixed) 125 2 Demand deposits (two-year maturity) 130 3 Passbook savings 135 4 Three-month CDs 170 5 Three-month bankers acceptances 120 6 Six-month commercial paper 140 7 One-year time deposits 8 Two-year time deposits $970 $ 120 40 130 140 120 6 10-year, fixed-rate mortgages 7 30-year, floating-rate mortgages (rate adjusted every nine months) 1 2 3 4 160 120 40 $970 Total one-year rate-sensitive assets is a. $540 million. b. $580 million. c. $555 million. d. $415 million. e. $720 million. Total one-year rate-sensitive liabilities is a. $540 million. b. $580 million. c. $555 million. d. $415 million. e. $720 million. The cumulative one-year repricing gap (CGAP) for the bank is a. $25 million. b. $-140 million. c. $15 million. d. $-150 million. e. $-15 million. The gap ratio is a. .015. b. -.015. c. .025. d. -.144. e. .154. 5 Suppose that interest rates rise by 2 percent on both RSAs and RSLs. The expected annual change in net interest income of the bank is a. -$300,000. b. $500,000. c. -$2,800,000. d. -$3,000,000. e. $300,000. Use the following information to answer the next three (2) questions: Consider a one-year maturity, $100,000 face value bon