金融机构风险管理练习题.pdf

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Chapter67test

Therepricinggapmodelisabookvalueaccountingbased

model.

1Apositiverepricinggapimpliesthatadecreaseininterestrateswillcause

interestexpensetodecreasemorethanthedecreaseininterestincome.

2Whenabanksrepricinggapispositive,netinterestincomeispositivelyrelated

tochangesininterestrates.

3Abankwithanegativerepricing(orfunding)gapfacesreinvestmentrisk.

4Theeconomicmeaningofdurationistheinterestelasticityofafinancialassets

price.

5Durationconsidersthetimingofallthecashflowsofanassetbysummingthe

productofthecashflowsandthetimeofoccurrence.

6Durationisequaltomaturitywhenatleastsomeofthecashflowsarereceived

uponmaturityoftheasset.

,

7Durationofazerocouponbondisequaltothebondsmaturity.

8Asinterestratesrise,thedurationofaconsolbonddecreases.

9Foragivenmaturityfixed-incomeasset,durationdecreasesasthemarketyield

increases.

Multiple-Choice

10Therepricinggapapproachcalculatesthegapsineachmaturitybucketby

subtractingthe

a.currentassetsfromthecurrentliabilities.

b.longtermliabilitiesfromthefixedassets.

c.ratesensitiveassetsfromthetotalassets.

d.ratesensitiveliabilitiesfromtheratesensitiveassets.

e.currentliabilitiesfromtangibleassets.

11A