金融机构管理课后答案.docx

金融机构管理课后答案.docx

《金融机构管理课后答案.docx》由会员分享，可在线阅读，更多相关《金融机构管理课后答案.docx（20页珍藏版）》请在冰点文库上搜索。

金融机构管理课后答案

金融机构管理课后答案

【篇一：

金融机构管理习题答案020】

txt>capitaladequacy

chapteroutline

introduction

capitalandinsolvencyrisk

?

capital

?

themarketvalueofcapital

?

thebookvalueofcapital

?

thediscrepancybetweenthemarketandbookvaluesofequity

?

argumentsagainstmarketvalueaccounting

capitaladequacyinthecommercialbankingandthriftindustry

?

actualcapitalrules

?

thecapital-assetsratio（orleverageratio）

?

risk-basedcapitalratios

?

calculatingrisk-basedcapitalratios

capitalrequirementsforotherfis

?

securitiesfirms

?

lifeinsurance

?

property-casualtyinsurance

summary

appendix20a:

internalratingsbasedapproachtomeasuringcreditrisk-adjustedassets

solutionsforend-of-chapterquestionsandproblems:

chaptertwenty

1.identifyandbrieflydiscusstheimportanceofthefivefunctionsofanfi’scapital?

capitalservesasaprimarycushionagainstoperatinglossesandunexpectedlossesinthevalueofassets（suchasthefailureofaloan）.fisneedtoholdenoughcapitaltoprovideconfidencetouninsuredcreditorsthattheycanwithstandreasonableshockstothevalueoftheirassets.inaddition,thefdic,whichguaranteesdeposits,isconcernedthatsufficientcapitalisheldsothattheirfundsareprotected,becausetheyareresponsibleforpayinginsureddepositorsintheeventofafailure.thisprotectionofthefdicfundsincludestheprotectionofthefiownersagainstincreasesininsurancepremiums.finally,capitalalsoservesasasourceoffinancingtopurchaseandinvestinassets.

financialinstitution?

regulatorsareconcernedwiththelevelsofcapitalheldbyanfibecauseofitsspecialroleinsociety.afailureofanficanhavesevererepercussionstothelocalornationaleconomyunlikenon-financialinstitutions.suchexternalitiesimposeaburdenonregulatorstoensurethatthesefailuresdonotimposemajornegativeexternalitiesontheeconomy.highercapitallevelswillreducetheprobabilityofsuchfailures.

3.whatarethedifferencesbetweentheeconomicdefinitionofcapitalandthebookvalue

definitionofcapital?

thebookvaluedefinitionofcapitalisthevalueofassetsminusliabilitiesasfoundonthebalancesheet.thisamountoftenisreferredtoasaccountingnetworth.theeconomic

definitionofcapitalisthedifferencebetweenthemarketvalueofassetsandthemarketvalueofliabilities.

a.howdoeseconomicvalueaccountingrecognizetheadverseeffectsofcreditand

interestraterisk?

thelossinvaluecausedbycreditriskandinterestrateriskisbornefirstbytheequity

holders,andthenbytheliabilityholders.inmarketvalueaccounting,theadjustmentstoequityvaluearemadesimultaneouslyasthelossesduetotheseriskelementsoccur.thuseconomicinsolvencymayberevealedbeforeaccountingvalueinsolvencyoccurs.

b.howdoesbookvalueaccountingrecognizetheadverseeffectsofcreditandinterest

raterisk?

becausebookvalueaccountingrecognizesthevalueofassetsandliabilitiesatthetime

theywereplacedonthebooksorincurredbythefirm,lossesarenotrecognizeduntiltheassetsaresoldorregulatoryrequirementsforcethefirmtomakebalancesheetaccountingadjustments.inthecaseofcreditrisk,theseadjustmentsusuallyoccurafterallattemptsto

collectorrestructuretheloanshaveoccurred.inthecaseofinterestraterisk,thechangeininterestrateswillnotaffecttherecognizedaccountingvalueoftheassetsortheliabilities.

4.afinancialintermediaryhasthefollowingbalancesheet（inmillions）withallassetsandliabilitiesinmarketvalues:

6percentsemiannual4-year5percent2-yearsubordinateddebttreasurynotes（parvalue$12）$10（parvalue$25）$207percentannual3-year

aa-ratedbonds（par=$15）$15

9percentannual5-year

bbbratedbonds（par=$15）equitycapitaltotalassetstotalliabilitiesequity

a.underfasbstatementno.115,whatwouldbetheeffectonequitycapital（networth）

ifinterestratesincreaseby30basispoints?

thet-notesareheldfortradingpurposes,therestareallclassifiedasheldtomaturity.

onlyassetsthatareclassifiedfortradingpurposesoravailable-for-salearetobereportedat

marketvalues.thoseclassifiedasheld-to-maturityarereportedatbookvalues.the

changeinvalueofthet-notesfora30basispointschangeininterestratesis:

$10=pvan=8,k=?

（$0.36）+pvn=8,k=?

（$12）?

k=5.6465x2=11.293%

ifk=11.293%+0.30%=11.593/2=5.7965%,thevalueofthenoteswilldeclineto:

pvan=8,k=5.7965（$0.36）+pvn=3,k=5.7965（$12）=$9.8992.andthechangeinvalueis$9.8992-

$10=-0.1008x$1,000,000=$100,770.39

6%semiannual4-year5%2-yearsubordinated

t-notes（parvalue$12）$9.8992debt（parvalue$25）$20.00007%annual3-year

aa-ratedbonds（par=$15）$15.0000equitycapital$20.00009%annual5-year

bbbratedbonds（par=$15）adj.toequitytotal$39.8992$39.8992

b.underfasbstatementno.115,howarethechangesinthemarketvalueofassets

adjustedintheincomestatementsandbalancesheetsoffis?

underfasbstatementno.115assetsheldtillmaturitywillbekeptinbookvalue.assets

availableforsaleandfortradingpurposeswillalwaysbereportedinmarketvaluesexceptbysecuritiesfirms,whichwillhaveallassetsandliabilitiesreportedinmarketvalues.also,alluealizedandrealizedincomegainsandlosseswillbereflectedinbothincome

statementsandbalancesheetsfortradingpurposes.adjustmentstoassetsavailableforsalewillbereflectedonlythroughequityadjustments.

5.whyisthemarketvalueofequityabettermeasureofabanksabilitytoabsorblossesthan

bookvalueofequity?

themarketvalueofequityismorerelevantthanbookvaluebecauseintheeventofa

bankruptcy,theliquidation（market）valueswilldeterminethefisabilitytopaythevariousclaimants.

6.statebankhasthefollowingyear-endbalancesheet（inmillions）:

cash$10deposits$90

loansequitytotalassets

theloansprimarilyarefixed-rate,medium-termloans,whilethedepositsareeithershort-

termorvariable-rate.risinginterestrateshavecausedthefailureofakeyindustrial

company,andasaresult,3percentoftheloansareconsideredtobeuncollectableandthushavenoeconomicvalue.one-thirdoftheseuncollectableloanswillbechargedoff.

further,theincreaseininterestrateshascauseda5percentdecreaseinthemarketvalueoftheremainingloans.

a.whatistheimpactonthebalancesheetafterthenecessaryadjustmentsaremade

accordingtobookvalueaccounting?

accordingtomarketvalueaccounting?

underbookvalueaccounting,theonlyadjustmentistochargeoff1percentoftheloans.

thustheloanportfoliowilldecreaseby$0.90andacorrespondingadjustmentwilloccurintheequityaccount.thenewbookvalueofequitywillbe$9.10.weassumenotaxaffectssincethetaxrateisnotgiven.

undermarketvalueaccounting,the3percentdecreaseinloanvaluewillberecognized,as

willthe5percentdecreaseinmarketvalueoftheremainingloans.thusequitywill

decreaseby0.03x$90+0.05x$90（1–0.03）=$7.065.thenewmarketvalueofequitywillbe$2.935.

b.whatisthenewmarkettobookvalueratioifstatebankhas$1millionshares

outstanding?

thenewmarkettobookvalueratiois$2.935/$9.10=0.3225.

7.whataretheargumentsforandagainsttheuseofmarketvalueaccountingforfis?

marketvaluesproduceamoreaccuratepictureofthebank’scurrentfinancialpositionforbothstockholdersandregulators.stockholderscanmoreeasilyseetheeffectsofchangesininterestratesonthebank’sequity,andtheycanevaluatemoreclearlytheliquidationvalueofa

distressedbank.amongtheargumentsagainstmarketvalueaccountingarethatmarketvaluessometimesaredifficulttoestimate,particularlyforsmallbankswithnon-tradedassets.this

argumentiscounteredbytheincreasinguseofassetsecuritizationasameanstodeterminevalueofeventhinlytradedassets.inaddition,somearguethatmarketvalueaccountingcanproducehighervolatilityintheearningsofbanks.asignificantissueinthisregardisthatregulatorsmaycloseabanktooquicklyunderthepromptcorrectiveactionrequirementsoffdicia.

8.howistheleverageratioforanfidefined?

theleverageratioistheratioofbookvalueofcorecapitaltothebookvalueoftotalassets,wherecorecapitalisbookvalueofequityplusqualifyingcumulativeperpetualpreferredstockplusminorityinterestsinequityaccountsofconsolidatedsubsidiaries.

9.whatisthesignificanceofpromptcorrectiveactionasspecifiedbythefdicialegislation?

thepromptcorrectiveactionprovisionrequiresregulatorstoappointareceiverforthebankwhentheleverageratiofallsbelow2percent.thuseventhoughthebankistechnicallynotinsolventintermsofbookvalueofequity,theinstitutioncanbeplacedintoreceivorship.

10.identifyanddiscusstheweaknessesoftheleverageratioasameasureofcapitaladequacy.

first,closingabankwhentheleverageratiofallsbelow2percentdoesnotguaranteethatthedepositorsareadequatelyprotected.inmanycasesoffinancialdistress,theactualmarketvalueofequityissignificantlynegativebythetimetheleverageratioreaches2percent.second,usingtotalassetsasthedenominatordoesnotconsiderthedifferentcreditandinterestraterisksoftheindividualassets.third,theratiodoesnotcapturethecontingentriskoftheoff-balancesheetactivitiesofthebank.

11.whatisthebaselagreement?

thebaselagreementidentifiestherisk-basedcapitalratiosagreeduponbythemembercountriesofthebankforinternationalsettlements