Chap007金融机构管理课后题答案说课材料.doc
《Chap007金融机构管理课后题答案说课材料.doc》由会员分享,可在线阅读,更多相关《Chap007金融机构管理课后题答案说课材料.doc(14页珍藏版)》请在咨信网上搜索。
1、Chap007金融机构管理课后题答案精品文档Chapter SevenRisks of Financial IntermediationChapter OutlineIntroductionInterest Rate RiskMarket RiskCredit RiskOff-Balance-Sheet RiskTechnology and Operational RiskForeign Exchange RiskCountry or Sovereign RiskLiquidity RiskInsolvency RiskOther Risks and the Interaction of Ri
2、sksSummarySolutions for End-of-Chapter Questions and Problems: Chapter Seven1. What is the process of asset transformation performed by a financial institution? Why does this process often lead to the creation of interest rate risk? What is interest rate risk?Asset transformation by an FI involves p
3、urchasing primary assets and issuing secondary assets as a source of funds. The primary securities purchased by the FI often have maturity and liquidity characteristics that are different from the secondary securities issued by the FI. For example, a bank buys medium- to long-term bonds and makes me
4、dium-term loans with funds raised by issuing short-term deposits. Interest rate risk occurs because the prices and reinvestment income characteristics of long-term assets react differently to changes in market interest rates than the prices and interest expense characteristics of short-term deposits
5、. Interest rate risk is the effect on prices (value) and interim cash flows (interest coupon payment) caused by changes in the level of interest rates during the life of the financial asset.2. What is refinancing risk? How is refinancing risk part of interest rate risk? If an FI funds long-term fixe
6、d-rate assets with short-term liabilities, what will be the impact on earnings of an increase in the rate of interest? A decrease in the rate of interest?Refinancing risk is the uncertainty of the cost of a new source of funds that are being used to finance a long-term fixed-rate asset. This risk oc
7、curs when an FI is holding assets with maturities greater than the maturities of its liabilities. For example, if a bank has a ten-year fixed-rate loan funded by a 2-year time deposit, the bank faces a risk of borrowing new deposits, or refinancing, at a higher rate in two years. Thus, interest rate
8、 increases would reduce net interest income. The bank would benefit if the rates fall as the cost of renewing the deposits would decrease, while the earning rate on the assets would not change. In this case, net interest income would increase.3. What is reinvestment risk? How is reinvestment risk pa
9、rt of interest rate risk? If an FI funds short-term assets with long-term liabilities, what will be the impact on earnings of a decrease in the rate of interest? An increase in the rate of interest?Reinvestment risk is the uncertainty of the earning rate on the redeployment of assets that have matur
10、ed. This risk occurs when an FI holds assets with maturities that are less than the maturities of its liabilities. For example, if a bank has a two-year loan funded by a ten-year fixed-rate time deposit, the bank faces the risk that it might be forced to lend or reinvest the money at lower rates aft
11、er two years, perhaps even below the deposit rates. Also, if the bank receives periodic cash flows, such as coupon payments from a bond or monthly payments on a loan, these periodic cash flows will also be reinvested at the new lower (or higher) interest rates. Besides the effect on the income state
12、ment, this reinvestment risk may cause the realized yields on the assets to differ from the a priori expected yields.4.The sales literature of a mutual fund claims that the fund has no risk exposure since it invests exclusively in federal government securities that are free of default risk. Is this
13、claim true? Explain why or why not.Although the funds asset portfolio is comprised of securities with no default risk, the securities remain exposed to interest rate risk. For example, if interest rates increase, the market value of the funds Treasury security portfolio will decrease. Further, if in
14、terest rates decrease, the realized yield on these securities will be less than the expected rate of return because of reinvestment risk. In either case, investors who liquidate their positions in the fund may sell at a Net Asset Value (NAV) that is lower than the purchase price. 5.What is economic
15、or market value risk? In what manner is this risk adversely realized in the economic performance of an FI?Economic value risk is the exposure to a change in the underlying value of an asset. As interest rates increase (or decrease), the value of fixed-rate assets decreases (or increases) because of
16、the discounted present value of the cash flows. To the extent that the change in market value of the assets differs from the change in market value of the liabilities, the difference is realized in the market value of the equity of the FI. For example, for most depository FIs, an increase in interes
17、t rates will cause asset values to decrease more than liability values. The difference will cause the market value, or share price, of equity to decrease.6.A financial institution has the following balance sheet structure:AssetsLiabilities and EquityCash$1,000Certificate of Deposit$10,000Bond$10,000
18、Equity $1,000Total Assets$11,000Total Liabilities and Equity$11,000The bond has a 10-year maturity and a fixed-rate coupon of 10 percent. The certificate of deposit has a 1-year maturity and a 6 percent fixed rate of interest. The FI expects no additional asset growth.a.What will be the net interest
19、 income (NII) at the end of the first year? Note: Net interest income equals interest income minus interest expense.Interest income$1,000$10,000 x 0.10 Interest expense 600$10,000 x 0.06 Net interest income (NII)$400b.If at the end of year 1 market interest rates have increased 100 basis points (1 p
20、ercent), what will be the net interest income for the second year? Is the change in NII caused by reinvestment risk or refinancing risk?Interest income$1,000$10,000 x 0.10 Interest expense 700$10,000 x 0.07 Net interest income (NII)$300The decrease in net interest income is caused by the increase in
21、 financing cost without a corresponding increase in the earnings rate. Thus, the change in NII is caused by refinancing risk. The increase in market interest rates does not affect the interest income because the bond has a fixed-rate coupon for ten years. Note: this answer makes no assumption about
22、reinvesting the first years interest income at the new higher rate.c.Assuming that market interest rates increase 1 percent, the bond will have a value of $9,446 at the end of year 1. What will be the market value of the equity for the FI? Assume that all of the NII in part (a) is used to cover oper
23、ating expenses or is distributed as dividends.Cash$1,000Certificate of deposit$10,000Bond$9,446Equity$ 446Total assets$10,446Total liabilities and equity$10,446d.If market interest rates had decreased 100 basis points by the end of year 1, would the market value of equity be higher or lower than $1,
24、000? Why?The market value of the equity would be higher ($1,600) because the value of the bond would be higher ($10,600) and the value of the CD would remain unchanged.e.What factors have caused the change in operating performance and market value for this firm?The operating performance has been aff
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- Chap007 金融机构 管理 课后 答案 材料
1、咨信平台为文档C2C交易模式,即用户上传的文档直接被用户下载,收益归上传人(含作者)所有;本站仅是提供信息存储空间和展示预览,仅对用户上传内容的表现方式做保护处理,对上载内容不做任何修改或编辑。所展示的作品文档包括内容和图片全部来源于网络用户和作者上传投稿,我们不确定上传用户享有完全著作权,根据《信息网络传播权保护条例》,如果侵犯了您的版权、权益或隐私,请联系我们,核实后会尽快下架及时删除,并可随时和客服了解处理情况,尊重保护知识产权我们共同努力。
2、文档的总页数、文档格式和文档大小以系统显示为准(内容中显示的页数不一定正确),网站客服只以系统显示的页数、文件格式、文档大小作为仲裁依据,平台无法对文档的真实性、完整性、权威性、准确性、专业性及其观点立场做任何保证或承诺,下载前须认真查看,确认无误后再购买,务必慎重购买;若有违法违纪将进行移交司法处理,若涉侵权平台将进行基本处罚并下架。
3、本站所有内容均由用户上传,付费前请自行鉴别,如您付费,意味着您已接受本站规则且自行承担风险,本站不进行额外附加服务,虚拟产品一经售出概不退款(未进行购买下载可退充值款),文档一经付费(服务费)、不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
4、如你看到网页展示的文档有www.zixin.com.cn水印,是因预览和防盗链等技术需要对页面进行转换压缩成图而已,我们并不对上传的文档进行任何编辑或修改,文档下载后都不会有水印标识(原文档上传前个别存留的除外),下载后原文更清晰;试题试卷类文档,如果标题没有明确说明有答案则都视为没有答案,请知晓;PPT和DOC文档可被视为“模板”,允许上传人保留章节、目录结构的情况下删减部份的内容;PDF文档不管是原文档转换或图片扫描而得,本站不作要求视为允许,下载前自行私信或留言给上传者【精***】。
5、本文档所展示的图片、画像、字体、音乐的版权可能需版权方额外授权,请谨慎使用;网站提供的党政主题相关内容(国旗、国徽、党徽--等)目的在于配合国家政策宣传,仅限个人学习分享使用,禁止用于任何广告和商用目的。
6、文档遇到问题,请及时私信或留言给本站上传会员【精***】,需本站解决可联系【 微信客服】、【 QQ客服】,若有其他问题请点击或扫码反馈【 服务填表】;文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“【 版权申诉】”(推荐),意见反馈和侵权处理邮箱:1219186828@qq.com;也可以拔打客服电话:4008-655-100;投诉/维权电话:4009-655-100。