商业银行管理彼得S.罗斯英文原书第8版+英语试题库Chap007.doc
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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.doc
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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___________________viewofassetsandliabilitiesheldthattheamountandtypesofdeposits
wasprimarilydeterminedbycustomersandhencethekeydecisionabankneededtomakewas
withtheassets.
Answer:
assetmanagement
2.Recentdecadeshaveusheredindramaticchangesinbanking.Thegoalof__________________
wassimplytogaincontrolofthebank'ssourcesoffunds.
Answer:
liabilitymanagement
3.The__________________________istheinterestratethatequalizesthecurrentmarketpriceofa
bondwiththepresentvalueofthefuturecashflows.
Answer:
yieldtomaturity(YTM)
4.The__________________riskpremiumonabondallowstheinvestortobecompensatedfortheir
projectedlossinpurchasingpowerfromtheincreaseinthepricesofgoodsandservicesinthe
future.
Answer:
inflation
5.The__________________showstherelationshipbetweenthetimetomaturityandtheyieldto
maturityofabond.Itisusuallyconstructedusingtreasurysecuritiessincetheyareassumedto
havenodefaultrisk.
Answer:
yieldcurve
6.The__________________riskpremiumonabondreflectsthedifferencesintheeaseandabilityto
sellthebondinthesecondarymarketatafavorableprice.
Answer:
liquidity
7.__________________________arethoseassetswhichmatureormustberepricedwithinthe
planningperiod.
Answer:
Interest-sensitiveassets
8.__________________________isthedifferencebetweeninterest-sensitiveassetsand
interest-sensitiveliabilities.
Answer:
Dollarinterest-sensitivegap
100TestBank,Chapter7
9.A(n)__________________________meansthatthebankhasmoreinterest-sensitiveliabilities
thaninterest-sensitiveassets.
Answer:
negativeinterest-sensitivegap(liabilitysensitive)
10.Thebank's__________________________takesintoaccounttheideathatthespeed(sensitivity)
ofinterestratechangeswilldifferfordifferenttypesofassetsandliabilities.
Answer:
weightedinterest-sensitivegap
11.__________________________isthecoordinatedmanagementofboththebank'sassetsandits
liabilities.
Answer:
Fundsmanagement
12.__________________________istheriskduetochangesinmarketinterestrateswhichcan
adverselyaffectthebank'snetinterestmargin,assetsandequity.
Answer:
Interestraterisk
13.The__________________________istherateofreturnonafinancialinstrumentusinga360day
yearrelativetotheinstrument'sfacevalue.
Answer:
bankdiscountrate
14.The__________________________componentofinterestratesistheriskpremiumduetothe
probabilitythattheborrowerwillmisssomepaymentsorwillnotrepaytheloan.
Answer:
defaultriskpremium
15.__________________istheweightedaveragematurityforastreamoffuturecashflows.Itisa
directmeasureofpricerisk.
Answer:
Duration
16.__________________________isthedifferencebetweenthedollar-weighteddurationoftheasset
portfolioandthedollar-weighteddurationoftheliabilityportfolio.
Answer:
Durationgap
17.A(n)__________________________durationgapmeansthatforaparallelincreaseinallinterest
ratesthemarketvalueofnetworthwilltendtodecline.
Answer:
positive
18.A(n)__________________________durationgapmeansthatforaparallelincreaseinallinterest
ratesthemarketvalueofnetworthwilltendtoincrease.
Answer:
negative
Rose/Hudgins,BankManagementandFinancialServices,8/e101
19.The__________________referstotheperiodicfluctuationsinthescaleofeconomicactivity.
Answer:
businesscycle
20.The__________________________isequaltothedurationofeachindividualtypeofasset
weightedbythedollaramountofeachtypeofassetoutofthetotaldollaramountofassets.
Answer:
durationoftheassetportfolio
21.The__________________________isequaltothedurationofeachindividualtypeofliability
weightedbythedollaramountofeachtypeofassetoutofthetotaldollaramountofassets.
Answer:
durationoftheliabilityportfolio
22.Abankis__________________againstchangesinitsnetworthifitsdurationgapisequaltozero.
Answer:
immunized(insulatedorprotected)
23.Therelationshipbetweenachangeinanasset'spriceandanasset’schangeintheyieldorinterest
rateiscapturedby__________________________.
Answer:
convexity
24.Thechangeinafinancialinstitution's__________________isequaltodifferenceintheduration
oftheassetsandliabilitiestimesthechangeintheinterestratedividedbythestartinginterestrate
timesthedollaramountoftheassetsandliabilities.
Answer:
networth
25.Whenabankhasapositivedurationgapaparallelincreaseintheinterestra
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