商業(yè)銀行管理組織彼得S.羅斯英文原書第8版英語試題目整合Chap007

.Chapter7RiskManagementforChangingInterestRates:Asset-Liability謝謝閱讀ManagementandDurationTechniques感謝閱讀FillintheBlankQuestions感謝閱讀The___________________viewofassetsandliabilitiesheldthattheamountandtypesofdepositswasprimarilydeterminedbycustomersandhencethekeydecisionabankneededtomakewaswiththeassets.感謝閱讀Answer:assetmanagementRecentdecadeshaveusheredindramaticchangesinbanking.Thegoalof精品文檔放心下載__________________wassimplytogaincontrolofthebank'ssourcesoffunds.Answer:liabilitymanagement感謝閱讀The__________________________istheinterestratethatequalizesthecurrentmarketpriceofabondwiththepresentvalueofthefuturecashflows.精品文檔放心下載Answer:yieldtomaturity(YTM)精品文檔放心下載The__________________riskpremiumonabondallowstheinvestortobecompensatedfortheirprojectedlossinpurchasingpowerfromtheincreaseinthepricesofgoodsandservicesinthefuture.感謝閱讀Answer:inflationThe__________________showstherelationshipbetweenthetimetomaturityandtheyieldtomaturityofabond.Itisusuallyconstructedusingtreasurysecuritiessincetheyareassumedtohavenodefaultrisk.謝謝閱讀.Answer:yieldcurveThe__________________riskpremiumonabondreflectsthedifferencesintheeaseandabilitytosellthebondinthesecondarymarketatafavorableprice.Answer:liquidity感謝閱讀__________________________arethoseassetswhichmatureormustberepricedwithintheplanningperiod.謝謝閱讀Answer:Interest-sensitiveassets謝謝閱讀__________________________isthedifferencebetweeninterest-sensitiveassetsandinterest-sensitiveliabilities.謝謝閱讀Answer:Dollarinterest-sensitivegap精品文檔放心下載.A(n)__________________________meansthatthebankhasmoreinterest-sensitiveliabilitiesthaninterest-sensitiveassets.精品文檔放心下載Answer:negativeinterest-sensitivegap(liabilitysensitive)精品文檔放心下載Thebank's__________________________takesintoaccounttheideathatthespeed(sensitivity)ofinterestratechangeswilldifferfordifferenttypesofassetsandliabilities.精品文檔放心下載Answer:weightedinterest-sensitivegap精品文檔放心下載__________________________isthecoordinatedmanagementofboththebank'sassetsanditsliabilities.精品文檔放心下載Answer:Fundsmanagement__________________________istheriskduetochangesinmarketinterestrateswhichcanadverselyaffectthebank'snetinterestmargin,assetsandequity.精品文檔放心下載Answer:Interestraterisk精品文檔放心下載The__________________________istherateofreturnonafinancialinstrumentusinga360dayyearrelativetotheinstrument'sfacevalue.謝謝閱讀Answer:bankdiscountrate謝謝閱讀The__________________________componentofinterestratesistheriskpremiumduetotheprobabilitythattheborrowerwillmisssomepaymentsorwillnotrepaytheloan.感謝閱讀Answer:defaultriskpremium感謝閱讀15. __________________istheweightedaveragematurityforastreamoffuturecash謝謝閱讀.flows.Itisadirectmeasureofpricerisk.謝謝閱讀Answer:Duration__________________________isthedifferencebetweenthedollar-weighteddurationoftheassetportfolioandthedollar-weighteddurationoftheliabilityportfolio.Answer:Durationgap感謝閱讀A(n)__________________________durationgapmeansthatforaparallelincreaseinallinterestratesthemarketvalueofnetworthwilltendtodecline.感謝閱讀Answer:positiveA(n)__________________________durationgapmeansthatforaparallelincreaseinallinterestratesthemarketvalueofnetworthwilltendtoincrease.精品文檔放心下載Answer:negative.The__________________referstotheperiodicfluctuationsinthescaleofeconomicactivity.精品文檔放心下載Answer:businesscycleThe__________________________isequaltothedurationofeachindividualtypeofassetweightedbythedollaramountofeachtypeofassetoutofthetotaldollaramountofassets.謝謝閱讀Answer:durationoftheassetportfolio感謝閱讀The__________________________isequaltothedurationofeachindividualtypeofliabilityweightedbythedollaramountofeachtypeofassetoutofthetotaldollaramountofassets.精品文檔放心下載Answer:durationoftheliabilityportfolio精品文檔放心下載Abankis__________________againstchangesinitsnetworthifitsdurationgapisequaltozero.謝謝閱讀Answer:immunized(insulatedorprotected)精品文檔放心下載Therelationshipbetweenachangeinanasset'spriceandanasset’schangeintheyieldorinterestrateiscapturedby__________________________.感謝閱讀Answer:convexityThechangeinafinancialinstitution's__________________isequaltodifferenceinthedurationoftheassetsandliabilitiestimesthechangeintheinterestratedividedbythestartinginterestratetimesthedollaramountoftheassetsandliabilities.Answer:networth謝謝閱讀.Whenabankhasapositivedurationgapaparallelincreaseintheinterestratesontheassetsandliabilitiesofthebankwillleadtoa(n)__________________inthebank'snetworth.感謝閱讀Answer:decreaseWhenabankhasanegativedurationgapaparalleldecreaseintheinterestratesontheassetsandliabilitiesofthebankwillleadtoa(n)_________________________inthebank'snetworth.精品文檔放心下載Answer:decreaseU.S.bankstendtodobetterwhentheyieldcurveisupward-slopingbecausetheytendtohave____________maturitygappositions.感謝閱讀Answer:positiveOnegovernment-createdgiantmortgagebankingfirmswhichhavesubsequently精品文檔放心下載beenprivatizedisthe .Answer:FNMAorFannieMae(orFHLMCorFreddieMac)謝謝閱讀29.Onepartofinterestrateriskis .Thispartofinterestrate精品文檔放心下載riskreflectsthatasinterestratesrise,pricesofsecuritiestendtofall.精品文檔放心下載Answer:pricerisk30.Onepartofinterestrateriskis .Thispartofinterest感謝閱讀rateriskreflectsthatasinterestratesfall,anycashflowsthatarereceivedbeforematurityareinvestedatalowerinterestrate.Answer:reinvestmentrisk謝謝閱讀.31.Whenaborrowerhastherighttopayoffaloanearlywhichreducedthelender’s感謝閱讀expectedrateofreturnitiscalled .精品文檔放心下載Answer:callriskInrecentdecades,bankshaveaggressivelysoughttoinsulatetheirassetsandliabilityportfoliosandprofitsfromtheravagesifinterestratechanges.Manybanksnowconducttheirasset-liabilitymanagementstrategywiththehelpofanwhichoftenmeetsdaily.感謝閱讀Answer:asset-liabilitycommittee精品文檔放心下載33. isinterestincomefromloansandinvestmentsless感謝閱讀interestexpensesondepositsandborrowedfundsdividedbytotalearningassets.Answer:Netinterestmargin(NIM)謝謝閱讀34. arethoseliabilitiesthatwhichmatureormustbe感謝閱讀repricedwithintheplanningperiod.謝謝閱讀Answer:Interest-sensitiveliabilities精品文檔放心下載Variablerateloansandsecuritiesareincludedaspartofforbanks.精品文檔放心下載Answer:repriceableassets感謝閱讀36. MoneymarketdepositsareincludedaspartofAnswer:repriceableliabilities謝謝閱讀

forbanks.37.Interestsensitiveassetslessinterestsensitiveliabilitiesdividedbytotalassetsof精品文檔放心下載thebankisknownas .Answer:relativeinterestsensitivegap感謝閱讀.Interestsensitiveassetsdividedbyinterestsensitiveliabilitiesisknown感謝閱讀as.Answer:Interestsensitivityratio精品文檔放心下載39. isameasureofinterestrateexposurewhichisthetotal精品文檔放心下載differenceindollarsbetweenthoseassetsandliabilitiesthatcanberepricedovera謝謝閱讀designatedtimeperiod.Answer:Cumulativegap40. isthephenomenonthatinterestratesattachedto精品文檔放心下載variousassetsoftenchangebydifferentamountsandatdifferentspeedsthaninterestratesattachedtovariousliabilities,Answer:basisrisk感謝閱讀True/FalseQuestionsF41.Usuallytheprincipalgoalofasset-liabilitymanagementistomaximizeoratleaststabilizeabank'smarginorspread.謝謝閱讀Answer:TrueT F42.Assetmanagementstrategyinbankingassumesthattheamountandkindsofdepositsandotherborrowedfundsabankattractsaredeterminedlargelybyitsmanagement.謝謝閱讀Answer:FalseT F43. Theultimategoalofliabilitymanagementistogaincontroloverafinancial謝謝閱讀.institution'ssourcesoffunds.精品文檔放心下載Answer:TrueT F44.Ifinterestratesfallwhenabankisinanasset-sensitivepositionitsnetinterestmarginwillrise.謝謝閱讀Answer:FalseT F45.Aliability-sensitivebankwillexperienceanincreaseinitsnetinterestmarginifinterestratesrise.感謝閱讀Answer:FalseF46.Undertheso-calledliabilitymanagementviewinbankingthekeycontrolleverbankspossessoverthevolumeandmixoftheirliabilitiesisprice.謝謝閱讀Answer:TrueF47.Undertheso-calledfundsmanagementviewbankmanagement'scontroloverassetsmustbecoordinatedwithitscontroloverliabilitiessothatassetandliabilitymanagementareinternallyconsistent.精品文檔放心下載Answer:TrueF48.Bankerscannotdeterminethelevelortrendofmarketinterestrates;instead,theycanonlyreacttothelevelandtrendofrates.精品文檔放心下載Answer:TrueF49.Short-terminterestratestendtorisemoreslowlythanlong-terminterestratesandtofallmoreslowlywhenallinterestratesinthemarketareheadeddown.謝謝閱讀.Answer:FalseF50.Afinancialinstitutionisliabilitysensitiveifitsinterest-sensitiveliabilitiesarelessthanitsinterest-sensitiveassets.感謝閱讀Answer:FalseF51.Ifabank'sinterest-sensitiveassetsandliabilitiesareequalthanitsinterestrevenuesfromassetsandfundingcostsfromliabilitieswillchangeatthe感謝閱讀samerate.Answer:TrueF52.Bankswithapositivecumulativeinterest-sensitivegapwillbenefitifinterestratesrise,butloseincomeifinterestratesdecline.謝謝閱讀Answer:TrueT F53. Bankswithanegativecumulativeinterest-sensitivegapwillbenefitif謝謝閱讀interestratesrise,butloseincomeifinterestratesdecline.精品文檔放心下載Answer:FalseF54.Formostbanksinterestratespaidonliabilitiestendtomovemoreslowlythaninterestratesearnedonassets.精品文檔放心下載Answer:FalseT F55.Interest-sensitivegaptechniquesdonotconsidertheimpactofchanginginterestratesonstockholdersequity.謝謝閱讀Answer:True.T F56.Interest-sensitivegap,relativeinterest-sensitivegapandtheinterest-sensitivityratiowilloftenreachdifferentconclusionsastowhetherthebankisassetorliabilitysensitive.謝謝閱讀Answer:FalseT F57.Theyieldcurveisconstructedusingcorporatebondswithdifferentdefaultriskssothebankcandeterminetherisk/returntradeofffordefaultrisk.謝謝閱讀Answer:FalseF58.Financialsecuritiesthatarethesameinallotherwaysmayhavedifferencesininterestratesthatreflectthedifferencesintheeaseofsellingthesecurity謝謝閱讀inthesecondarymarketatafavorableprice.感謝閱讀Answer:TrueT F59.Financialinstitutionsfacetwomajorkindsofinterestraterisk.Theserisksincludepriceriskandreinvestmentrisk.精品文檔放心下載Answer:TrueF60.Interest-sensitivegapandweightedinterest-sensitivegapwillalwaysreachthesameconclusionastowhetherabankisassetsensitiveorliability感謝閱讀sensitive.Answer:FalseF61.Weightedinterest-sensitivegapislessaccuratethaninterest-sensitivegapindeterminingtheaffectofchangesininterestratesonnetinterestmargin.感謝閱讀Answer:False.T F62.Abankwithapositivedurationgapexperiencingariseininterestrateswillexperienceanincreaseinitsnetworth.感謝閱讀Answer:FalseF63.Abankwithanegativedurationgapexperiencingariseininterestrateswillexperienceanincreaseinitsnetworth.感謝閱讀Answer:TrueF64.Durationisadirectmeasureofthereinvestmentriskofabond.Answer:False精品文檔放心下載T F65.Abankwithapositivedurationgapexperiencingadecreaseininterestrateswillexperienceanincreaseinitsnetworth.感謝閱讀Answer:TrueT F66.Abankwithanegativedurationgapexperiencingadecreaseininterestrateswillexperienceanincreaseinitsnetworth.謝謝閱讀Answer:FalseF67.Durationistheweightedaveragematurityofapromisedstreamoffuturecashflows.精品文檔放心下載Answer:TrueF68.Durationisadirectmeasureofthepriceriskofabond.Answer:True謝謝閱讀.F69.Abondwithagreaterdurationwillhaveasmallerpricechangeinpercentagetermswheninterestrateschange.精品文檔放心下載Answer:FalseT F70.Long-terminterestratestendtochangeverylittlewiththecycleofeconomicactivity.謝謝閱讀Answer:TrueF71.Abankwithadurationgapofzeroisimmunizedagainstchangesinthe感謝閱讀valueofnetworthduetochangesininterestratesinthemarket.感謝閱讀Answer:TrueT F72.Convexityistheideathattherateofchangeofanasset'spricevarieswiththelevelofinterestrates.感謝閱讀Answer:TrueF73.Thechangeinthemarketpriceofanasset'spricefromachangeinmarketinterestratesisroughlyequaltotheasset'sdurationtimesthechangethe感謝閱讀interestratedividedbytheoriginalinterestrate.感謝閱讀Answer:TrueF74.U.S.bankstendtodobetterwhentheyieldcurveisupward-sloping.Answer:True精品文檔放心下載T F75.NetinterestmargintendstoriseforU.S.bankswhentheyieldcurveisupward-sloping.感謝閱讀Answer:True.F76.Financialinstitutionsladenwithhomemortgagestendbeimmunetointerest-raterisk.感謝閱讀Answer:FalseT F77.IfaFinancialInstitution'snetinterestmarginisimmunetointerest-rateriskthensoisitsnetworth.感謝閱讀Answer:FalseMultipleChoiceQuestionsWhenisinterestrateriskforabankgreatest?精品文檔放心下載Wheninterestratesarevolatile.謝謝閱讀Wheninterestratesarestable.精品文檔放心下載Wheninflationishigh.Wheninflationislow.Whenloandefaultsarehigh.感謝閱讀Answer:AAbank’sISGAPisdefinedas:精品文檔放心下載Thedollaramountofrate-sensitiveassetsdividedbythedollaramountofrate-sensitiveliabilities.謝謝閱讀.Thedollaramountofearningassetsdividedbythedollaramountoftotalliabilities.感謝閱讀Thedollaramountofrate-sensitiveassetsminusthedollaramountofrate-sensitiveliabilities.謝謝閱讀Thedollaramountofrate-sensitiveliabilitiesminusthedollaramountofrate-sensitiveassets.感謝閱讀Thedollaramountofearningassetstimestheaverageliabilityinterestrate.Answer:C感謝閱讀Accordingtothetextbook,thematuringoftheliabilitymanagementtechniques,coupledwithmorevolatileinterestrates,gavebirthtothe__________________謝謝閱讀approachwhichdominatesbankingtoday.Thetermthatcorrectlyfillsintheblankintheprecedingsentenceis:謝謝閱讀LiabilitymanagementAssetmanagementRiskmanagementFundsmanagementNoneoftheabove.Answer:DTheprincipalgoalofinterest-ratehedgingstrategyistoholdfixedabank's:感謝閱讀NetinterestmarginNetincomebeforetaxesValueofloansandsecurities謝謝閱讀NoninterestspreadNoneoftheabove.Answer:AAbankisassetsensitiveifits:精品文檔放心下載Loansandsecuritiesareaffectedbychangesininterestrates.精品文檔放心下載.Interest-sensitiveassetsexceeditsinterest-sensitiveliabilities.精品文檔放心下載Interest-sensitiveliabilitiesexceeditsinterest-sensitiveassets.精品文檔放心下載Depositsandborrowingsareaffectedbychangesininterestrates.精品文檔放心下載Noneoftheabove.Answer:BThechangeinabank'snetincomethatoccursduetochangesininterestratesequalstheoverallchangeinmarketinterestrates(inpercentagepoints)times謝謝閱讀_____________.Thechoicebelowthatcorrectlyfillsintheblankintheprecedingsentenceis:感謝閱讀Volumeofinterest-sensitiveassets謝謝閱讀Priceriskofthebank'sassets感謝閱讀Priceriskofthebank'sliabilities感謝閱讀Sizeofthebank'scumulativegap謝謝閱讀Noneoftheabove.Answer:DAbankwithanegativeinterest-sensitiveGAP:謝謝閱讀Hasagreaterdollarvolumeofinterest-sensitiveliabilitiesthaninterest-sensitiveassets.謝謝閱讀Willgenerateahigherinterestmarginifinterestratesrise.謝謝閱讀Willgenerateahigherinterestmarginifinterestratesfall.精品文檔放心下載AandB.AandC.Answer:EThenetinterestmarginofabankisinfluencedby:精品文檔放心下載Changesinthelevelofinterestrates.精品文檔放心下載Changesinthevolumeofinterest-bearingassetsandinterest-bearingliabilities.謝謝閱讀.Changesinthemixofassetsandliabilitiesinthebank'sportfolio.謝謝閱讀Alloftheabove.AandBonly.Answer:DThediscountratethatequalizesthecurrentmarketvalueofaloanorsecuritywiththeexpectedstreamoffutureincomepaymentsfromthatloanorsecurityisknownasthe:感謝閱讀BankdiscountrateYieldtomaturityAnnualpercentagerate(APR)感謝閱讀Add-oninterestrateNoneoftheabove.Answer:BTheinterest-ratemeasureoftenquotedonshort-termloansandmoneymarketsecuritiessuchasU.S.Treasurybillsisthe:感謝閱讀BankdiscountrateYieldtomaturityAnnualpercentagerate(APR)謝謝閱讀Add-oninterestrateNoneoftheaboveAnswer:AAbankwhoseinterest-sensitiveassetstotal$350millionanditsinterest-sensitiveliabilitiesamountto$175millionhas:謝謝閱讀Anasset-sensitivegapof525million感謝閱讀Aliability-sensitivegapof$175million精品文檔放心下載Anasset-sensitivegapof$175million謝謝閱讀Aliability-sensitivegapof$350million精品文檔放心下載.Noneoftheabove.Answer:C精品文檔放心下載Abankhasa1-year$1,000,000loanoutstanding,payableinfourequalquarterlyinstallments.Whatdollaramountoftheloanwouldbeconsideredratesensitiveinthe0–90daybucket?感謝閱讀$0$250,000$500,000$750,000$1,000,000Answer:BAbankhasFederalfundstotaling$25millionwithaninterestratesensitivityweightof1.0.Thisbankalsohasloansof$105millionandinvestmentsof$65millionwithinterestratesensitivityweightsof1.40and1.15respectively.Thisbankalsohas$135millionininterest-bearingdepositswithaninterestratesensitivityweightof.90andothermoneymarketborrowingsof$75millionwithaninterestratesensitivityweightof1.0.Whatistheweightedinterest-sensitivegapforthisbank?精品文檔放心下載$50.25$-15-$50.25$34.25NoneoftheaboveAnswer:AAbondhasafacevalueof$1000andfiveyearstomaturity.Thisbondhasacouponrateof13percentandissellinginthemarkettodayfor$902.Couponpaymentsaremadeannuallyonthisbond.Whatistheyieldtomaturity(YTM)forthisbond?感謝閱讀13%.12.75%16%11.45%CannotbecalculatedfromtheinformationgivenAnswer:C謝謝閱讀Atreasurybillcurrentlysellsfor$9,845,hasafacevalueof$10,000andhas46daystomaturity.Whatisthebankdiscountrateonthissecurity?精品文檔放心下載12.49%12.13%12.30%2%NoneoftheaboveAnswer:BThe_______________isdeterminedbythedemandandsupplyforloanablefundsinthemarket.Thetermthatcorrectlyfillsintheblankintheprecedingsentenceis:精品文檔放心下載TheyieldtomaturityThebanker'sdiscountrate感謝閱讀TheholdingperiodreturnTherisk-freerealrateofinterest謝謝閱讀Themarketrateofinterestonariskyloan謝謝閱讀Answer:DAbankwithapositiveinterest-sensitivegapwillhaveadecreaseinnetinterestincomewheninterestratesinthemarket:精品文檔放心下載RiseFall.StaythesameAbankwithapositiveinterest-sensitivegapwillneverhaveadecreaseinnet謝謝閱讀interestincomeAnswer:BThefactthataconsumerwhopurchasesaparticularbasketofgoodsfor$100todayhastopay$105nextyearforthesamebasketofgoodsisanexampleofwhichofthefollowingrisks:感謝閱讀InflationriskDefaultriskLiquidityriskPriceriskMaturityriskAnswer:AAbankhasFederalFundstotaling$25millionwithaninterestratesensitivityweightof1.0.Thisbankalsohasloansof$105millionandinvestmentsof$65millionwithinterestratesensitivityweightsof1.40and1.15respectively.Thisbankalsohas$135millionininterest-bearingdepositswithaninterestratesensitivityweightof.90andothermoneymarketborrowingsof$75millionwithaninterestratesensitivityweightof1.0.Whatisthedollarinterest-sensitivegapforthisbank?謝謝閱讀$50.25$-15-$50.25$34.25NoneoftheaboveAnswer:BIfabankhasapositiveGAP,anincreaseininterestrateswillcauseinterestincometo__________,interestexpenseto__________,andnetinterestincometo__________.感謝閱讀.Increase,increase,increase感謝閱讀Increase,decrease,increase感謝閱讀Increase,increase,decrease謝謝閱讀Decrease,decrease,decrease精品文檔放心下載Decrease,increase,increaseAnswer:A感謝閱讀IfabankhasanegativeGAP,adecreaseininterestrateswillcauseinterestincometo__________,interestexpenseto__________,andnetinterestincometo__________.謝謝閱讀Increase,increase,increase精品文檔放心下載Increase,decrease,increase感謝閱讀Increase,increase,decrease精品文檔放心下載Decrease,decrease,decrease精品文檔放心下載Decrease,decrease,increase精品文檔放心下載Answer:EAtreasurybillcurrentlysellsfor$9,845,hasafacevalueof$10,000andhas46daystomaturity.Whatistheyieldtomaturityonthissecurity?精品文檔放心下載12.49%12.13%12.30%2%NoneoftheaboveAnswer:ATheThirdNationalBankofEdmondreportsanetinterestmarginof5.83%.Ithastotalinterestrevenuesof$275millionandtotalinterestexpensesof$210million.Whatdoesthisbank'searningsassetshavetobe?精品文檔放心下載$4717million.$3602million$1115million$3.790millionNoneoftheaboveAnswer:C感謝閱讀TheThirdNationalBankofEdmondreportsanetinterestmarginof5.83%.Ithastotalinterestrevenuesof$275millionandtotalinterestexpensesof$210million.Thisbankhasearningsassetsof$1115.Supposethisbank'sinterestrevenuesriseby8percentanditsinterestexpensesandearningsassetsriseby10percentnextyear.Whatisthisbank'snewnetinterestmargin?謝謝閱讀5.83%7.09%3.59%5.38%7.80%Answer:DWhichofthefollowingispartoffundsmanagement?精品文檔放心下載Thegoaloffundsmanagementissimplytogaincontroloverthebank'sfundssources.精品文檔放心下載Sincetheamountofdepositsabankholdsisdeterminedlargelybyitscustomers,thefocusofthebankshouldbeonmanagingtheassetsofthebank.精品文檔放心下載Managementofthebank'sassetsmustbecoordinatedwithmanagementofthebank'sliabilities.謝謝閱讀Thespreadbetweeninterestrevenuesandinterestexpensesisunimportant.感謝閱讀NoneoftheaboveAnswer:C.IfFifthNationalBank'sassetdurationexceedsitsliabilitydurationandinterestratesrise,thiswilltendto__________________themarketvalueofthebank'snetworth.謝謝閱讀LowerRaiseStabilizeNotaffectNoneoftheaboveAnswer:AIfMainStreetBankhas$100millionincommercialloanswithanaveragedurationof0.40years;$40millioninconsumerloanswithanaveragedurationof1.75years;and$30millioninU.S.Treasurybondswithanaveragedurationof6years,whatisMainStreet'sassetportfolioduration?感謝閱讀0.4years1.7years2.7years4.1yearsNoneoftheaboveAnswer:BAbankhasanaverageassetdurationof4.7yearsandanaverageliabilitydurationof3.3years.Thisbankhas$750millionintotalassetsand$500millionintotalliabilities.Thisbankhas:謝謝閱讀Apositivedurationgapof8.0years.精品文檔放心下載Anegativedurationgapof2.5years.精品文檔放心下載Apositivedurationgapof1.4years.精品文檔放心下載Apositivedurationgapof2.5years.感謝閱讀Noneoftheabove.Answer:D.Abankhasanaverageassetdurationof1.15yearsandanaverageliabilitydurationof2.70years.Thisbankhas$250millionintotalassetsand$225millionintotalliabilities.Thisbankhas:精品文檔放心下載Anegativedurationgapof1.55years.感謝閱讀Apositivedurationgapof1.28years.感謝閱讀Anegativedurationgapof3.85years.謝謝閱讀Anegativedurationgapof1.28years.精品文檔放心下載Noneoftheabove.Answer:DThedurationofabondistheweightedaveragematurityofthefuturecashflowsexpectedtobereceivedonabond.Whichofthefollowingisatruestatementconcerningduration?謝謝閱讀Thelongerthetimetomaturity,thegreatertheduration謝謝閱讀Thehigherthecouponrate,thehighertheduration精品文檔放心下載Theshortertheduration,thegreaterthepricevolatility感謝閱讀AlloftheabovearetrueNoneoftheabovearetrue感謝閱讀Answer:AAbondhasadurationof7.5years.Itscurrentmarketpriceis$1125.Interestratesinthemarketare7%today.Ithasbeenforecastedthatinterestrateswillriseto謝謝閱讀9%overthenextcoupleofweeks.Howwillthisbank'spricechangeinpercentageterms?感謝閱讀Thisbond'spricewillriseby2percent.精品文檔放心下載Thisbond'spricewillfallby2percent.感謝閱讀Thisbond'spricewillfallby14.02percent謝謝閱讀Thisbond'spricewillriseby14.02percent謝謝閱讀Thisbond'spricewillnotchange精品文檔放心下載Answer:C.Abankhasanaverageassetdurationof5yearsandanaverageliabilitydurationof3years.Thisbankhastotalassetsof$500millionandtotalliabilitiesof$250million.Currently,marketinterestratesare10percent.Ifinterestratesfallby2percent(to8percent),whatisthisbank'schangeinnetworth?謝謝閱讀Networthwilldecreaseby$31.81million精品文檔放心下載Networthwillincreaseby$31.81million謝謝閱讀Networthwillincreaseby$27.27million精品文檔放心下載Networthwilldecreaseby$27.27million謝謝閱讀Networthwillnotchangeatall精品文檔放心下載Answer:BAbankhasanaverageassetdurationof5yearsandanaverageliabilitydurationof3years.Thisbankhastotalassetsof$500millionandtotalliabilitiesof$250million.Currently,marketinterestratesare10percent.Ifinterestratesfallby2percent(to8percent),whatisthisbank'sdurationgap?精品文檔放心下載2years–2years3.5years–3.5yearsNoneoftheaboveAnswer:CAbankhasanaverageassetdurationof5yearsandanaverageliabilitydurationof9years.Thisbankhastotalassetsof$1000millionandtotalliabilitiesof$850million.Currently,marketinterestratesare5percent.Ifinterestratesriseby2percent(to7percent),whatisthisbank'schangeinnetworth?謝謝閱讀Networthwilldecreaseby$50.47million謝謝閱讀Networthwillincreaseby$50.47million精品文檔放心下載Networthwilldecreaseby$240.95million謝謝閱讀.Networthwillincreaseby$240.95million感謝閱讀Networthwillnotchangeatall感謝閱讀Answer:BAbankhasanaverageassetdurationof5yearsandanaverageliabilitydurationof9years.Thisbankhastotalassetsof$1000millionandtotalliabilitiesof$850million.Currently,marketinterestratesare5percent.Ifinterestratesriseby2percent(to7percent),whatisthisbank'sdurationgap?謝謝閱讀–4years4years2.65years–2.65years12.65yearsAnswer:DAbankhas$100millionofinvestmentgradebondswithadurationof9.0years.Thisbankalsohas$500millionofcommercialloanswithadurationof5.0years.Thisbankhas$300millionofconsumerloanswithadurationof2.0years.Thisbankhasdepositsof$600millionwithadurationof1.0yearsandnondepositborrowingsof$100millionwithanaveragedurationof.25years.Whatisthisbank'sdurationgap?Thesearealloftheassetsandliabilitiesthisbankhas.精品文檔放心下載Thisbankhasadurationgapof14.75years謝謝閱讀Thisbankhasadurationgapof15.03years精品文檔放心下載Thisbankhasadurationgapof3.55years感謝閱讀Thisbankhasadurationgapof3.75years謝謝閱讀Thisbankhasadurationgapof5.15years精品文檔放心下載Answer:DWhichofthefollowingstatementsistrueconcerningabank'sdurationgap?感謝閱讀.Ifabankhasapositivedurationgapandinterestratesrise,thebank'snetworthwilldecline感謝閱讀Abankwithapositivedurationgaphasalongeraveragedurationforitsassetsthanforitsliabilities謝謝閱讀Ifabankhasazerodurationgapandinter