商业银行管理ROSE7e课后答案chapter07.docx

商业银行管理ROSE7e课后答案chapter07.docx

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商业银行管理ROSE7e课后答案chapter07

CHAPTER7

ASSET-LIABILITYMANAGEMENT:

DETERMININGANDMEASURINGINTERESTRATESANDCONTROLLINGINTEREST-SENSITIVEANDDURATIONGAPS

GoalsofThisChapter:

Thepurposeofthischapteristoexploretheoptionsbankershavetodayfordealingwithrisk–especiallytheriskoflossduetochanginginterestrates–andtoseehowabank’smanagementcancoordinatethemanagementofitsassetswiththemanagementofitsliabilitiesinordertoachievetheinstitution’sgoals.

KeyTopicInThisChapter

∙Asset,Liability,andFundsManagement

∙MarketRatesandInterestRateRisk

∙TheGoalsofInterestRateHedging

∙InterestSensitiveGapManagement

∙DurationGapManagement

∙LimitationsofHedgingTechniques

ChapterOutline

I.Introduction:

TheNecessityforCoordinatingBankAssetandLiabilityManagementDecisions

II.Asset/LiabilityManagementStrategies

A.AssetManagementStrategy

B.LiabilityManagementStrategy

C.FundsManagementStrategy

III.InterestRateRisk:

OneoftheGreatestAsset-LiabilityManagementStrategyChallenges

A.ForcesDeterminingInterestRates

B.TheMeasurementofInterestRates

1.YieldtoMaturity

2.BankDiscountRate

C.TheComponentsofInterestRates

1.RiskPremiums

2.YieldCurves

3.TheMaturityGapandtheYieldCurve

D.ResponsetoInterestRateRisk

IV.OneoftheGoalsofInterest-RateHedging

A.TheNetInterestMargin

B.Interest-SensitiveGapManagement

1.Asset-SensitivePosition

2.Liability-SensitivePosition

3.DollarInterest-SensitiveGap

4.RelativeInterestSensitiveGap

5.InterestSensitivityRatio

6.Computer-BasedTechniques

7.CumulativeGap

8.StrategiesinGapManagement

C.DurationGapManagement

V.TheConceptofDuration

A.DefinitionofDuration

B.CalculationofDuration

C.NetWorthandDuration

D.PriceRiskandDuration

E.ConvexityandDuration

VI.UsingDurationtoHedgeAgainstInterest-RateRisk

A.DurationGap

1.DollarWeightedDurationofAssets

2.DollarWeightedDurationofLiabilities

3.PositiveDurationGap

4.NegativeDurationGap

B.ChangeintheBank’sNetWorth

VII.TheLimitationsofDurationGapManagement

VIII.SummaryoftheChapter

ConceptChecks

7-1.Whatdothefollowingtermsmean:

Assetmanagement?

Liabilitymanagement?

Fundsmanagement?

Assetmanagementreferstoabankingstrategywheremanagementhascontrolovertheallocationofbankassetsbutbelievesthebank'ssourcesoffunds（principallydeposits）areoutsideitscontrol.Liabilitymanagementisastrategyofcontroloverbankliabilitiesbyvaryinginterestratesofferedonborrowedfunds.Fundsmanagementcombinesbothassetandliabilitymanagementapproachesintoabalancedliquiditymanagementstrategy.

7-2.Whatfactorshavemotivatedfinancialinstitutionstodevelopfundsmanagementtechniquesinrecentyears?

Thenecessitytofindnewsourcesoffundsinthe1970sandtheriskmanagementproblemsencounteredwithtroubledloansandvolatileinterestratesinthe1970sand1980sledtotheconceptofplanningandcontroloverbothsidesofabank'sbalancesheet--theessenceoffundsmanagement.

7-3.Whatforcescauseinterestratestochange?

Whatkindsofriskdofinancialfirmsfacewheninterestrateschange?

Interestratesaredetermined,notbyindividualbanks,butbythecollectiveborrowingandlendingdecisionsofthousandsofparticipantsinthemoneyandcapitalmarkets.Theyarealsoimpactedbychangingperceptionsofriskbyparticipantsinthemoneyandcapitalmarkets,especiallytheriskofborrowerdefault,liquidityrisk,pricerisk,reinvestmentrisk,inflationrisk,termormaturityrisk,marketabilityrisk,andcallrisk.

Financialinstitutionscanloseincomeorvaluenomatterwhichwayinterestratesgo.Risinginterestratescanleadtolossesonsecurityinstrumentsandonfixed-rateloansasthemarketvaluesoftheseinstrumentsfall.Fallinginterestrateswillusuallyresultincapitalgainsonfixed-ratesecuritiesandloansbutaninstitutionwillloseincomeifithasmorerate-sensitiveassetsthanliabilities.Risinginterestrateswillalsocausealosstoincomeifaninstitutionhasmorerate-sensitiveliabilitiesthanrate-sensitiveassets.

7-4.Whatmakesitsodifficulttocorrectlyforecastinterestratechanges?

Interestratescannotbesetbyanindividualbankorevenbyagroupofbanks;theyaredeterminedbythousandsofinvestorstradinginthecreditmarkets.Moreover,eachmarketrateofinteresthasmultiplecomponents--therisk-freeinterestrateplusvariousriskpremia.Achangeinanyoftheseratecomponentscancauseinterestratestochange.Toconsistentlyforecastmarketinterestratescorrectlywouldrequirebankerstocorrectlyanticipatechangesintherisk-freeinterestrateandinallratecomponents.Anotherimportantfactoristhetimingofthechanges.Tobeabletotakefulladvantage