商业银行管理ROSE7e课后答案 07样本.doc

商业银行管理ROSE7e课后答案_07样本CHAPTER7ASSET-LIABILITYMANAGEMENT:DETERMININGANDMEASURINGINTERESTRATESANDCONTROLLINGINTEREST-SENSITIVEANDDURATIONGAPSGoalsofThisChapter:Thepurposeofthischapteristoexploretheoptionsbankershavetodayfordealingwithrisk–especiallytheriskoflossduetochanginginterestrates–andtoseehowabank’smanagementcancoordinatethemanagementofitsassetswiththemanagementofitsliabilitiesinordertoachievetheinstitution’,Liability,andFundsManagementMarketRatesandInterestRateRiskTheGoalsofInterestRateHedgingInterestSensitiveGapManagementDurationGapManagementLimitationsofHedgingTechniquesChapterOutlineI. Introduction:TheNecessityforCoordinatingBankAssetandLiabilityManagementDecisionsII. Asset/LiabilityManagementStrategiesA. AssetManagementStrategyB. LiabilityManagementStrategyC. FundsManagementStrategyIII. InterestRateRisk:OneoftheGreatestAsset-LiabilityManagementStrategyChallengesA. ForcesDeterminingInterestRatesB. TheMeasurementofInterestRates 1. YieldtoMaturity 2. ponentsofInterestRates1. RiskPremiums2. YieldCurves3. TheMaturityGapandtheYieldCurveD. ResponsetoInterestRateRiskIV. OneoftheGoalsofInterest-RateHedgingA. InterestMarginB. Interest-SensitiveGapManagement1. Asset-SensitivePosition2. Liability-SensitivePosition3. DollarInterest-SensitiveGap4. RelativeInterestSensitiveGap5. InterestSensitivityRatio6. Computer-BasedTechniques7. CumulativeGap8. StrategiesinGapManagement C. DurationGapManagementV. WorthandDurationPriceRiskandDurationConvexityandDurationVI. UsingDurationtoHedgeAgainstInterest-RateRiskA. DurationGap1. DollarWeightedDurationofAssets2. DollarWeightedDurationofLiabilities3. PositiveDurationGap4. NegativeDurationGapB. ChangeintheBank’sNetWorthVII. TheLimitationsofDurationGapManagementVIII. SummaryoftheChapterConceptChecks7-1. Whatdothefollowingtermsmean:Assetmanagement?Liabilitymanagement?Fundsmanagement?Assetmanagementreferstoabankingstrategywheremanagementhascontrolovertheallocationofbankassetsbutbelievesthebank'ssourcesoffunds(principallydeposi