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1、風(fēng)險(xiǎn)管理習(xí)題（Riskmanagementexercises）Jobname:riskmanagementclassnineteenthlecturevolumeDetailsFirst,radioquestions:1,Abankfor2yearsasaperiodof2yearstheeurodollardepositloanfinancing,depositinaccordancewiththeLondonInterbankMarketInterestRatePricinginayear,whiletheU.S.Treasuryloansinaccordance
2、withtheannualinterestratepricingatatime;thesumofloansforEurocallableloans.ThemarketrisksfacedbyAbanksdonotinclude(D).AandexchangerateriskBandbenchmarkrisksCandoptionriskDandtheriskofrepricing2,theriskofthelossofthelistandoffbalancesheetbusinessis(a)riskduetotheadversechangesinthemarketp
3、rice.A,marketB,operationC,creditDandprice3,accordingtothewayofperformance,optionscanbedividedintotwotypesofAmericanoptionsandEuropeanoptions,andthefollowingstatementsaboutthemareincorrect(c)Underthesameconditions,thebuyer'srightofAmericanoptionisgreaterthanthatoftheEuropeanoption,andthe
4、buyer'srightishigherthanthatoftheEuropeanoptionunderthesameconditionsofAUnderthesameconditions,theseller'sobligationofAmericanoptionisgreaterthanthatofEuropeanoptionundertheconditionofthesameconditionsofBThepriceofAmericanoptionislessthanthatofEuropeanoptionunderthesameconditionsofCando
5、therconditionsDandAmericanoptionsmaybeexecutedwithoutmaturity4,ifabank'sforeignexchangeopenpositionisasfollows,yenbull150,Markbull200,poundbull250,francshort120,dollarshort280.Thetotalforeignexchangeopeningpositioncalculatedbythecumulativetotalopenpositionmethodis(D).A,200B,400C,600D,10
6、005,thelongerthematuritydateofthefinancialinstrumentsorthelongerthenextrepricingdate,andthesmallertheamountpaidbeforethematuritydate,thelongertheabsolutevalueofduration(B).A,invariantB,longC,shortD,unabletojudge6,theBaselcommitteerequirementsinthecalculationofmarketriskcapital,riskvalue
7、mustbecalculatedbymultiplyingamultiplierfactor,makethecapitalmarkettowithstandadversechangesmaybecausedbythelossofbanks,theBaselCommitteesetthemultiplierfactorvalueshallnotbelessthan(C).A,1B,2C,3D,47,thebank(a)bearstheultimateresponsibilityforthemonitoringofmarketriskmanagement
