发布时间 : 星期日 文章江财金融机构管理的作业及答案更新完毕开始阅读9aaaad742b160b4e777fcf2b
f12 = 7.21%
f12 = 9.41%
(1.07)3 = (1.061)2(1 + f23 ) f23 = 8.82%
(1.093)3 = (1.082)2(1 + f23 )
f23 = 11.53%
Using the implied forward rates, estimate the annual marginal probability of
repayment:
p01(1.07) = 1.05 => p1 = 98.13 percent p12(1.0941) = 1.0721 => p2 = 97.99 percent p23 (1.1153) = 1.0882
=> p3 = 97.57 percent
Using marginal probabilities, estimate the cumulative probability of default:
cp02 = 1 - (p1 )(p2 )
= 1 - (.9813)(.9799) = 3.84 percent
cp03 = 1 - (p1 )(p2 )(p3 )
= 1 - (.9813)(.9799)(.9757) = 6.18 percent
16. Using regression analysis on historical loan losses, a bank has estimated the
following: XC = 0.002 + 0.8XL, and Xh = 0.003 + 1.8XL where XC = loss rate in the commercial sector, Xh = loss rate in the consumer
(household) sector, XL = loss rate for its total loan portfolio.
a. If the bank’s total loan loss rates increase by 10 percent, what are the increases in the expected loss rates in the commercial and consumer sectors?
Commercial loan loss rates will increase by 0.002 + 0.8(0.10) = 8.20 percent.
Consumer loan loss rates will increase by 0.003 + 1.8(0.10) = 18.30 percent. b. In which sector should the bank limit its loans and why? The bank should limit its loans to the consumer sector because the loss rates are
systematically higher than the loss rates for the total loan portfolio. Loss rates are lower for the commercial sector. For a 10 percent increase in the total loan portfolio, the consumer loss rate is expected to increase by 18.30 percent, as opposed to only 8.2 percent for the commercial sector.
4. 流动性指数的计算
Conglomerate公司收购了Acme公司。为了替收购活动融资，Conglomerate公司将出售Acme公司养老基金中的超额部分。下面是将被出售的资产的面值、目前的售价和一年后的售价。 出售资产的价值
资产 面值 t=0 4 000 t=1 4 500 IBM股票 $ 10 000 $ 9 900 $ 10 500 GE债券 5 000 国债 15 000 计算出这些证券1年期的流动性指数 参考答案：
Calculate the 1-year liquidity index for these securities.
13 000 14 000 i I = ?wiP*Pii
n
where wi = weights of the portfolio,
Pi = fire-sale prices,
Pi* = fair market value of assets
Thus
I = (0.333)(9900/10,500) + (0.167)(4,00/4,500) + (0.5)(13,000/14,000)
= 0.927
5. 净存款外流情况下的资产负债表编制
某存款机构的资产负债表如下(单位：百万美元)，其净存款外流预计为1500万美元。
资产 现金 贷款 证券 负债和权益 68 7 10 存款 50 权益 15 总资产 75 总负债和权益 75 请列出下列情况下该存款机构的资产负债表：
(a) 存款机构购买流动性负债来抵消预期的存款外流 (b) 使用储存流动性管理的方法来满足预期的存款外流 参考答案：
a.
The DI purchases liabilities to offset this expected drain.
If the DI purchases liabilities, then the new balance sheet is: Cash $10 Deposits Loans $50 Purchased liabilities Securities $15 Equity
$53
$15 $ 7
b. The stored liquidity management method is used to meet the liquidity shortfall. If the DI uses reserve asset adjustment, a possible balance sheet may be:
Loans
$50
Deposits
$53
Securities $10 Equity $ 7
DIs will most likely use some combination of these two methods.
6. 准备金计算期和准备金维持期
某地区性银行在最近准备金计算期内的日均活期存款余额为2.25亿美元。在准备金维持期内，它在美联储的日均准备金余额为1600万美元，在相应计算期内，它的日均库存现金为430万美元。
（a） 该行在准备金维持期内，应该持有的日均准备金余额是多少 （b） 该行符合法定准备金要求吗
（c） 结转下一期准备金维持期的超额准备金或准备金短缺额是多少 参考答案：
(a) Reserve requirements = (0 x $6.0m) + ($42.1- $6.0)(0.03) + ($225 - $42.1)
(0.10)
= 0 + $1.083 + $18.29 = $19.373 million
After subtracting the average daily balance of vault cash of $4.3 million, the bank needs to maintain a target daily average of $15.073 million ($19.373 million - $4.3 million) during the maintenance period.
(b) Yes. The bank has average reserves of $16 million. This amount exceeds the
required amount by $0.927 million.
(c) A maximum of 4 percent of the required reserves can be carried over to the next
maintenance period. Thus, 0.04 x $19.373 million = $0.7749 million can be carried over to the next maintenance period.
d. If the local bank has an opportunity cost of 6 percent, what is the effect on the
income statement from this reserve period?
A total of $0.1521 million (0.927 – 0.7749) has an opportunity cost of no earnings at the 6 percent rate. Thus the loss would be $0.1521(0.06)(14/365) =
$350.04.
7. 资本充足率要求
第三银行拥有下列资产负债表(单位：百万美元；括号中的数字为风险权重)
资产 现金（0%） 抵押贷款（50%） 消费贷款（100%） 总资产 负债和权益 175 3 2 185 20 存款 OECD同业存款（20%） 25 次级债务（5年） 70 权益 185 总资产和权益 70 累积优先股(包括限定性的和永久性的) 5 此外，该银行有
3000万美元的履约备用信用证，
400万美元的两年期远期外汇合约(目前盈利100万美元)，以及 3亿美元的6年期利率互换协议（目前亏损200万美元）。信用转换系数如下： 履约备用信用证 50% 1-5年外汇合约 5% 1-5年利率互换 0.5% 5-10年利率互换 1.5%
（a） 根据巴塞尔协议的定义，该银行的表内风险调整资产是多少 （b） 表内和表外资产的总资本要求是多少
（c） 该银行的资本能够满足巴塞尔协议的要求吗？
参考答案：
a.
What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basel Accord?
Risk-adjusted assets: Cash
OECD interbank deposits Mortgage loans Consumer loans
Total risk-adjusted assets
0 x 20 = 0.20 x 25 = 0.50 x 70 = 1.00 x 70 =
=
$0 $5 $35 $70 $110
= $110