商业银行管理彼得S罗斯英文原书第8版 英语试题库Chap007.docx

商业银行管理彼得S罗斯英文原书第8版 英语试题库Chap007.docx

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商业银行管理彼得S罗斯英文原书第8版英语试题库Chap007

Chapter7

RiskManagementforChangingInterestRates:

Asset-LiabilityManagementandDurationTechniques

FillintheBlankQuestions

1.The___________________viewofassetsandliabilitiesheldthattheamountandtypesofdepositswasprimarilydeterminedbycustomersandhencethekeydecisionabankneededtomakewaswiththeassets.

Answer:

assetmanagement

2.Recentdecadeshaveusheredindramaticchangesinbanking.Thegoalof__________________wassimplytogaincontrolofthebank'ssourcesoffunds.

Answer:

liabilitymanagement

3.The__________________________istheinterestratethatequalizesthecurrentmarketpriceofabondwiththepresentvalueofthefuturecashflows.

Answer:

yieldtomaturity（YTM）

4.The__________________riskpremiumonabondallowstheinvestortobecompensatedfortheirprojectedlossinpurchasingpowerfromtheincreaseinthepricesofgoodsandservicesinthefuture.

Answer:

inflation

5.The__________________showstherelationshipbetweenthetimetomaturityandtheyieldtomaturityofabond.Itisusuallyconstructedusingtreasurysecuritiessincetheyareassumedtohavenodefaultrisk.

Answer:

yieldcurve

6.The__________________riskpremiumonabondreflectsthedifferencesintheeaseandabilitytosellthebondinthesecondarymarketatafavorableprice.

Answer:

liquidity

7.__________________________arethoseassetswhichmatureormustberepricedwithintheplanningperiod.

Answer:

Interest-sensitiveassets

8.__________________________isthedifferencebetweeninterest-sensitiveassetsandinterest-sensitiveliabilities.

Answer:

Dollarinterest-sensitivegap

9.A（n）__________________________meansthatthebankhasmoreinterest-sensitiveliabilitiesthaninterest-sensitiveassets.

Answer:

negativeinterest-sensitivegap（liabilitysensitive）

10.Thebank's__________________________takesintoaccounttheideathatthespeed（sensitivity）ofinterestratechangeswilldifferfordifferenttypesofassetsandliabilities.

Answer:

weightedinterest-sensitivegap

11.__________________________isthecoordinatedmanagementofboththebank'sassetsanditsliabilities.

Answer:

Fundsmanagement

12.__________________________istheriskduetochangesinmarketinterestrateswhichcanadverselyaffectthebank'snetinterestmargin,assetsandequity.

Answer:

Interestraterisk

13.The__________________________istherateofreturnonafinancialinstrumentusinga360dayyearrelativetotheinstrument'sfacevalue.

Answer:

bankdiscountrate

14.The__________________________componentofinterestratesistheriskpremiumduetotheprobabilitythattheborrowerwillmisssomepaymentsorwillnotrepaytheloan.

Answer:

defaultriskpremium

15.__________________istheweightedaveragematurityforastreamoffuturecashflows.Itisadirectmeasureofpricerisk.

Answer:

Duration

16.__________________________isthedifferencebetweenthedollar-weighteddurationoftheassetportfolioandthedollar-weighteddurationoftheliabilityportfolio.

Answer:

Durationgap

17.A（n）__________________________durationgapmeansthatforaparallelincreaseinallinterestratesthemarketvalueofnetworthwilltendtodecline.

Answer:

positive

18.A（n）__________________________durationgapmeansthatforaparallelincreaseinallinterestratesthemarketvalueofnetworthwilltendtoincrease.

Answer:

negative

19.The__________________referstotheperiodicfluctuationsinthescaleofeconomicactivity.

Answer:

businesscycle

20.The__________________________isequaltothedurationofeachindividualtypeofassetweightedbythedollaramountofeachtypeofassetoutofthetotaldollaramountofassets.

Answer:

durationoftheassetportfolio

21.The__________________________isequaltothedurationofeachindividualtypeofliabilityweightedbythedollaramountofeachtypeofassetoutofthetotaldollaramountofassets.

Answer:

durationoftheliabilityportfolio

22.Abankis__________________againstchangesinitsnetworthifitsdurationgapisequaltozero.

Answer:

immunized（insulatedorprotected）

23.Therelationshipbetweenachangeinanasset'spriceandanasset’schangeintheyieldorinterestrateiscapturedby__________________________.

Answer:

convexity

24.Thechangeinafinancialinstitution's__________________isequaltodifferenceinthedurationoftheassetsandliabilitiestimesthechangeintheinterestratedividedbythestartinginterestratetimesthedollaramountoftheassetsandliabilities.

Answer:

networth

25.Whenabankhasapositivedurationgapaparallelincreaseintheinterestratesontheassetsandliabilitiesofthebankwillleadtoa（n）__________________inthebank'snetworth.

Answer:

decrease

26.Whenabankhasanegativedurationgapaparalleldecreaseintheinterestratesontheassetsandliabilitiesofthebankwillleadtoa（n）_________________________inthebank'snetworth.

Answer:

decrease

27.U.S.bankstendtodobetterwhentheyieldcurveisupward-slopingbecausetheytendtohave____________maturitygappositions.

Answer:

positive

28.Onegovernment-createdgiantmortgagebankingfirmswhichhavesubsequentlybeenprivatizedisthe.

Answer:

FNMAorFannieMae（orFHLMCorFreddieMac）

29.Onepartofinterestrateriskis.Thispartofinterestrateriskreflectsthatasinterestratesrise,pricesofsecuritiestendtofall.

Answer:

pricerisk

30.Onepartofinterestrateriskis.Thispartofinterestrateriskreflectsthatasinterestratesfall,anycashflowsthatarereceivedbeforematurityareinvestedatalowerinterestrate.

Answer:

reinvestmentrisk

31.Whenaborrowerhastherighttopayoffaloanearlywhichreducedthelender’sexpectedrateofreturnitiscalled.

Answer:

callrisk

32.Inrecentdecades,bankshaveaggressivelysoughttoinsulatetheirassetsandliabilityportfoliosandprofitsfromtheravagesifinterestratechanges.Manybanksnowconducttheirasset-liabilitymanagementstrategywiththehelpofanwhichoftenmeetsdaily.

Answer:

asset-liabilitycommittee

33.isinterestincomefromloansandinvestmentslessinterestexpensesondepositsandborrowedfundsdividedbytotalearningassets.

Answer:

Netinterestmargin（NIM）

34.arethoseliabilitiesthatwhichmatureormustberepricedwithintheplanningperiod.

Answer:

Interest-sensitiveliabilities

35.Variablerateloansandsecuritiesareincludedaspartofforbanks.

Answer:

repriceableassets

36.Moneymarketdepositsareincludedaspartofforbanks.

Answer:

repriceableliabilities

37.Interestsensitiveassetslessinterestsensitiveliabilitiesdividedbytotalassetsofthebankisknownas.

Answer:

relativeinterestsensitivegap

38.Interestsensitiveassetsdividedbyinterestsensitiveliabilitiesisknownas.

Answer:

Interestsensitivityratio

39.isameasureofinterestrateexposurewhichisthetotaldifferenceindollarsbetweenthoseassetsandliabilitiesthatcanberepricedoveradesignatedtimeperiod.

Answer:

Cumulativegap

40.isthephenomenonthatinterestratesattachedtovariousassetsoftenchangebydifferentamountsandatdifferentspeedsthaninterestratesattachedtovariousliabilities,

Answer:

basisrisk

True/FalseQuestions

TF41.Usuallytheprincipalgoalofasset-liabilitymanagementistomaximizeoratleaststabilizeabank'smarginorspread.

Answer:

True

TF42.Assetmanagementstrategyinbankingassumesthattheamountandkindsofdepositsandotherborrowedfundsabankattractsaredeterminedlargelybyitsmanagement.

Answer:

False

TF43.Theultimategoalofliabilitymanagementistogaincontroloverafinancialinstitution'ssourcesoffunds.

Answer:

True

TF44.Ifinterestratesfallwhenabankisinanasset-sensitivepositionitsnetinterestmarginwillrise.

Answer:

False

TF45.Aliability-sensitivebankwillexperienceanincreaseinitsnetinterestmarginifinterestratesrise.

Answer:

False

TF46.Undertheso-calledliabilitymanagementviewinbankingthekeycontrolleverbankspossessoverthevolumeandmixoftheirliabilitiesisprice.

Answer:

True

TF47.Undertheso-calledfundsmanagementviewbankmanagement'scontroloverassetsmustbecoordinatedwithitscontroloverliabilitiessothatassetandliabilitymanagementareinternallyconsistent.

Answer:

True

TF48.Bankerscannotdeterminethelevelortrendofmarketinterestrates;instead,theycanonlyreacttothelevelandtrendofrates.

Answer:

True

TF49.Short-terminterestratestendtorisemoreslowlythanlong-terminterestratesandtofallmoreslowlywhenallinterestratesinthemarketareheadeddown.

Answer:

False

TF50.Afinancialinstitutionisliabilitysensitiveifitsinterest-sensitiveliabilitiesarelessthanitsinterest-sensitiveassets.

Answer:

False

TF51.Ifabank'sinterest-sensitiveassetsandliabilitiesareequalthanitsinterestrevenuesfromassetsandfundingcostsfromliabilitieswillchangeatthesamerate.

Answer:

True

TF52.Bankswithapositivecumulativeinterest-sensitivegapwillbenefitifinterestratesrise,butloseincomeifinterestratesdecline.

Answer:

True

TF53.Bankswithanegativecumulativeinterest-sensitivegapwillbenefitifinterestratesrise,butloseincomeifinterestratesdecline.

Answer:

False

TF54.Formostbanksinterestratespaidonliabilitiestendtomovemore