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.Formostbanksinterestratespaidonliabilitiest