金融风险管理练习题答案 有答案的

1、 金融机构风险管理练习题答案金融中介机构的风险 练习1.描述下列金融机构在交易中遇到的风险敞口，请选出下面的一种或几种。a利率风险b信用风险c表外风险d技术风险e汇率风险f国家风险(1)银行通过出售一年期CD为价值$2000万的五年期固定汇率的商业贷款融资。a b(2)保险公司把保险费投在长期政府债券组合中。a b(3)一家德国银行出售2年期、固定利率债券为波兰公司提供的2年期、固定利率贷款融资。b e f(4)英国银行收购澳大利亚银行减少结算操作的麻烦。a b c d e f(5)使用远期或有合约对利率风险敝口进行了完全的套期保值。b c(6)债券经纪人公司用自己的股本在LDC债券市场上购买

2、巴西债务。a b e f(7)银行出售一组抵押贷款作为抵押证券。a b c练习2公司特有信用风险与系统信用风险的区别是什么？金融机构如何减少公司特有信用风险？第八章：利率风险：重定价模型练习1：下面哪一项资产或负债符合一年期利率或重定价的敏感性条件？ a.91天期美国国库券 b.1年期美国国库券 c.20年期美国国库券 d,20年期每年重新定价的浮动利率公司债券 e.30年期每2年重新定价的浮动利率抵押贷款 f.30年期每6个月重新定价的浮动利率抵押贷款 g.隔夜联邦资金 h.9个月固定利率CD i.1年期固定利率CD j.5年期每年重新定价的浮动利率CD k.普通股票不符合：c e k练习2

3、：运用以下有关一名假设的政府担保证券商J.P.Mersal的信息（圆括号中为市场收益率）。J.P.Mersal Citower现金 $10 隔夜回购 $1701个月期国库券（7.05%） 75 附属债务7年期3个月期国库券（7.25%） 75 固定收益率（8.55%） 1502年期国库券（7.50%） 50 8年期国库券（8.96%） 1005年期munis，浮动利率（8.20%，每六个月重新确定） 25 净值 15 总计 $ 335 $335如果计划期为30天，资金缺口为多少？91天的资金缺口为多大？2年呢？（记住：现金是非生息资产）Funding or repricing gap usin

4、g a 30-day planning period = 75 170 = $95 million.Funding gap using a 91-day planning period = (75 + 75) 170 = -$20 million.Funding gap using a two-year planning period = (75 + 75 + 50 + 25) 170 = +$55 million.如果所有利率均上升50个基点，对未来30天的净利息收入有何影响？Net interest income will decline by $475,000. NII = FG(R)

5、= 95(.005) = $0.475m.Net interest income will increase by $712,500. NII = FG(R) = 95(.0075) = $0.7125m.以下资产一年内资金回流预期为：2年期国库券预期为$10 000 000，八年期国库券$20 000 000。一年期资金缺口为多大？Funding or repricing gap over the 1-year planning period = (75 + 75 + 10 + 20 + 25) 170 = +$35 million.如果资金回流如所预期的，利率上涨50个基点对年末净利息收入

6、有何影响？Net interest income will increase by $175,000. NII = FG(R) = 35(0.005) = $0.175m.Net interest income will decrease by $262,500, NII = FG(R) = 35(-0.0075) = -$0.2625m.练习3： （以百万美元为单位） 资产 负债60天期固定利率贷款（9%） $35 活期存款 $1230年期10%固定收益率抵押贷款 11 联邦资金（7%） 30土地和建筑物 4 净值 8总计 50 50如果采用120天计划期，上面金融机构的资金缺口为多大？年末

7、银行的预期净利息收入为多少？假设全部利率在计划期内下降50个基点。对净利息收入会产生什么影响？该银行的利率风险敞口为多大？银行能够如何保护自己免受净利息收入的非预期减少？练习4：Jacksonvill金融公司的资产和负债及每年预期的资金回流百分比如表所示。 Jacksonville 金融公司 （以千美元为单位） 面值 一年内 面值 一年内回流资金 回流资金 3个月期国库券 $ 75 6个月GICs $12009个月期国库券 55 2年期债券 500 10%2年期国库券 205 8% 20年期的债券 13 3015年期国库券 555 520年期munis 93 630年期债权 930 3 净值

8、200总计 $1913 $1913a.03个月期间分组的资金缺口有多大？b.3个月至一年期间分组的资金缺口为多大？13年期间分组的资金缺口呢？c.在3个月至1年期间分组中，如果回流资金也包括在内，则其资金缺口为多大？d.如果利率上涨100个基点，计算对a、b、c三部分净利息收入的影响。第九章 利率风险：到期模型练习1：一家公司同时发行3年期和5年期两种债券，支付的年息票率均为8%。每种债券的面值都是$1000。如果到期收益率为8%,债券的售价各为多少?b.如果到期收益率上升到9%,债券的售价各为多少?如果收益率为10%,债券的售价?d.你能从上面的结论推导出债券定价规则吗?Rule One:

9、Interest rates and prices of fixed-rate financial assets move inversely.Rule Two: The longer is the maturity of a fixed-income financial asset, the greater is the change in price for a given change in interest rates.Rule Three: The change in value of longer-term fixed-rate financial assets increases

10、 at a decreasing rate.Rule Four: Although not mentioned in the text, for a given percentage () change in interest rates, the increase in price for a decrease in rates is greater than the decrease in value for an increase in rates. 练习2：假设某金融机构的资产组合包括两种债券，7年期Acme国际债券和2年期Beta公司债券。在现行市场条件下，Acme债券的收益率为12

11、%，Beta债券的收益率为14%。如果该金融机构资产组合中40%为Acme债券、60%为Beta债券，其资产组合的平均期限应为多少？b要获得13.5%的加权平均收益率，该金融机构持有的Acme债券和Beta债券各应为多少？c.如果该金融机构持有的债券比例如b部分所估计的，其资产组合的平均期限应为多少？练习3：考虑下面某金融机构的资产负债表： MESA保险公司 （以千美元为单位） 资产 负债2年期政府债券 $175 1年期CP $13515年期munis 165 5年期债券 160 净值 45总资产 340 总负债和权益 340注：所有证券均按账面价值出售。2年期国库券的 为5%，15年期mun

12、is的收益率为9%，1年期商业票据（CP）的付息率为4.5%，5年期债券的付息率为8%。假设所有票据均为每年付息一次。该金融机构资产的加权平均期限为多少？其负债的加权平均期限为多少？其期限缺口是多少？对其所承受的利率风险来说，意味着什么？MGAP = 8.31- 3.17 = 5.14 yearsGunnison Insurance is exposed to interest rate risk. If interest rates rise, net worth will decline because the average maturity of the assets is highe

13、r than the average maturity of the liabilities. The opposite holds true if interest rates fall (That is, net worth will increase.)练习4：Scandia银行发行一年期、付息率为5.75%、面值为$100万的CD存单，并用所筹资金发放一年期，利率为6%的贷款。贷款本金分两次偿还，六个月后偿还$500 000，年未偿还余下的一半。a该金融机构的期限缺口是多少？在此期限缺口下，到期模型所测量的利率风险敝口为多大？The maturity gap is 1 year 1 y

14、ear = 0. The maturity gap model would state that the portfolio is immunized against changes in interest rates because assets and liabilities are of equal maturity.预计年末净利息收入为多少？Principal received in six months $500,000Interest received in six months (.03 x $1,000,000)$30,000Total$530,000Principal rec

15、eived at the end of the year$500,000Interest received at the end of the year (.03 x $500,000)$15,000Future value of interest received in six months ($530,000 x 1.03*)$545,900Total principal and interest received$1,060,900Principal and interest paid on deposits ($1,000,000 x 0.0575)$1,057,500Net inte

16、rest income received$3,400贷款已经发放，当利率上涨2%时对净利率收入有何影响？贷款发放后如果利率下降2%，对年末净利息收入有何影响？If interest rates increase 2 percent, then the reinvestment benefits of cash flows in six months will be higher:Principal received in six months $500,000Interest received in six months (.03 x $1,000,000)$30,000Total$530,0

17、00Principal received at the end of the year$500,000Interest received at the end of the year (.03 x $500,000)$15,000Future value of interest received in six months ($530,000 x 1.04)$551,200Total principal and interest received$1,066,200Principal and interest paid on deposits ($1,000,000 x 0.0575)$1,0

18、57,500Net interest income received$8,700If interest rates decrease by 2 percent, then reinvestment income is reduced. Principal received in six months $500,000Interest received in six months (.03 x $1,000,000)$30,000Total$530,000Principal received at the end of the year$500,000Interest received at t

19、he end of the year (.03 x $500,000)$15,000Future value of interest received in six months ($530,000 x 1.02)$540,600Total principal and interest received$1,055,600Principal and interest paid on deposits ($1,000,000 x 0.0575)$1,057,500Net income received$-1,900d这表明到期模型在保护金融机构免受利率风险方面的能力如何？The results

20、indicate that just matching assets and liabilities by maturity is not sufficient to immunize a portfolio. If the timing of the cash flows within a period is different for assets and liabilities, the effects of interest rate changes are different. For a truly effective immunization strategy, one also

21、 needs to account for the timing of cash flows. 利率风险：有效期模型 练习5：a以面值出售的每年支付一次息票，且息票率为10%的2年期国库券的有效期为多久？到期收益率分别为8%、10%和12%。 Coupon BondPar value =$1,000Coupon =0.10Annual paymentsYTM =0.08Maturity =2TimeCash FlowPVIFPV of CFPV*CF*T1$100.00 0.92593$92.59 $92.59 2$1,100.00 0.85734$943.07 $1,886.15 Price

22、 =$1,035.67 Numerator =$1,978.74 Duration =1.9106= Numerator/PriceYTM =0.10TimeCash FlowPVIFPV of CFPV*CF*T1$100.00 0.90909$90.91 $90.91 2$1,100.00 0.82645$909.09 $1,818.18 Price =$1,000.00 Numerator =$1,909.09 Duration =1.9091= Numerator/PriceYTM =0.12TimeCash FlowPVIFPV of CFPV*CF*T1$100.00 0.8928

23、6$89.29 $89.29 2$1,100.00 0.79719$876.91 $1,753.83 Price =$966.20 Numerator =$1,843.11 Duration =1.9076= Numerator/Price b以面值出售息票率为10%的2年期零息国库券的有效期为多久？到期收益率分别为8%、10%和12%。Zero Coupon BondPar value =$1,000 Coupon =0.00YTM =0.08Maturity =2TimeCash FlowPVIFPV of CFPV*CF*T1$0.00 0.92593$0.00 $0.00 2$1,00

24、0.00 0.85734$857.34 $1,714.68 Price =$857.34 Numerator =$1,714.68 Duration =2.0000= Numerator/PriceYTM =0.10TimeCash FlowPVIFPV of CFPV*CF*T1$0.00 0.90909$0.00 $0.00 2$1,000.00 0.82645$826.45 $1,652.89 Price =$826.45 Numerator =$1,652.89 Duration =2.0000= Numerator/PriceYTM =0.12TimeCash FlowPVIFPV

25、of CFPV*CF*T1$0.00 0.89286$0.00 $0.00 2$1,000.00 0.79719$797.19 $1,594.39 Price =$797.19 Numerator =$1,594.39 Duration =2.0000= Numerator/Pricec你能从上面的结果可以总结出什么结论？练习6：你可以获得一笔了利率为10%的1年期$100 000贷款。每半年支付本金和利息。贷款以市场利率定价（即你可以按10%折现）。贷款的有效期各为多久？Cash flow in 6 months = $100,000 x .12 x .5 + $50,000 = $56,0

26、00 interest and principal.Cash flow in 1 year = $50,000 x 1.06 = $53,000 interest and principal.TimeCash FlowPVIFCF*PVIFT*CF*CVIF 1$56,0000.943396$52,830.19$52,830.19 2$53,0000.889996$47,169.81$94,339.62Price =$100,000.00$147,169.81 = Numeratoryears练习7：计算下面金融机构的杠杆校正有效期缺口。其拥有$1000 000资产，投资于30年期、息票率为1

27、0%、每半年付息一次且以面值出售的国库券有效期估计为9.94年。还拥有$900 000负债，是通过2年期、利率为7.25%、每半年付息一次且以面值出售的债券筹集的资金。The duration of the capital note is 1.8975 years.Two-year Capital Note Par value =$900 Coupon =0.0725Semiannual paymentsYTM =0.0725Maturity =2TimeCash FlowPVIFPV of CFPV*CF*T0.5$32.63 0.965018$31.48 $15.74 PVIF = 1/(

28、1+YTM/2)(Time*2)1$32.63 0.931260$30.38 $30.38 1.5$32.63 0.898683$29.32 $43.98 2$932.63 0.867245$808.81 $1,617.63 Price =$900.00 Numerator =$1,707.73 Duration=1.8975= Numerator/PriceThe leverage-adjusted duration gap can be found as follows: b如果所有利率都下降20个基点即/(1+R/2)=-0.0020,对权益有何影响？The change in net

29、worth using leverage adjusted duration gap is given by:练习8：运用所提供的关于Gotbucks银行（Gotbuks Bank Inc.,GBI）的数据回答a到e小题： Gotbucks银行 （以百万美元为单位） 资产 负债现金 30 核心存款 20联邦资金 20 联邦资金 50浮动利率贷款 105 欧洲CD 130固定利率贷款 65 净值 20总资产 220 总负债和权益 220注意：当前联邦资金利率为8.5%。可变利率贷款定价为LIBOR（当前为11%）加上4%。固定利率贷款期限为5年，利率为12%，其每年付息一次。核心存款全部为2年期

30、固定利率，利率为8%，且每年付息一次。欧在CD现行收益率为9%。如果贷款以市场利率定价，GBI固定利率组合的有效期为多久?Five-year Loan Par value =$1,000 Coupon =0.1200Annual paymentsYTM =0.12Maturity =5TimeCash FlowPVIFPV of CFPV*CF*T1$120.00 0.892857$107.14 $107.14 PVIF = 1/(1+YTM)(Time)2$120.00 0.797194$95.66 $191.33 3$120.00 0.711780$85.41 $256.24 4$120.

31、00 0.635518$76.26 $305.05 5$1,120.00 0.567427$635.52 $3,177.59 Price =$1,000.00 Numerator =$4,037.35 Duration=4.0373= Numerator/PriceThe duration is 4.037 years.如果GBI的浮动利率（包括联邦资金资产）重定价的平均时间为0.36年，银行资产的有效期为多久？（注意现金的有效期为零）DA = 30(0) + 65(4.037) + 125(.36)/220 = 1.397 years如果GBI的核心存款以票面利率定价，则有效期为多久？Two

32、-year Core DepositsPar value =$1,000 Coupon =0.08Annual paymentsYTM =0.08Maturity =2TimeCash FlowPVIFPV of CFPV*CF*T1$80.00 0.92593$74.07 $74.07 PVIF = 1/(1+YTM)(Time)2$1,080.00 0.85734$925.93 $1,851.85 Price =$1,000.00 Numerator =$1,925.93 Duration=1.9259= Numerator/PriceThe duration of the core de

33、posits is 1.926 years.如果GBI的欧洲CD和联邦资金负债的重定价平均时间为0.401年，银行负债的有效期为多久？DL = 20*(1.926) + 180*(.401)/200 = .5535 yearsGBI的有效期缺口为多大？该银行的利率风险敝口为多大？如果所有收益率均上涨1%，对GBI净值的市场价值有何影响？（即对全部资产和负债来说， /（1+R）=0.010。）GBIs leveraged adjusted duration gap is: 1.397 - 200/220 * (.5535) = .8938 yearsSince GBIs duration gap

34、 is positive, an increase in interest rates will lead to a decline in net worth. For a 1 percent increase, the change in net worth is:E = -0.8938 * (0.01) * $220 = -$1,966,360 (new net worth will be $18,033,640).练习9：运用下面资产负债表的信息回答a到f：资产负债表（以千美元为单位）和有效期（年）短期国库券中期国库券长期国库券贷款存款联邦资金净值有效期0.50.9X71001金额$90

35、5517622742092238715注意：长期国库券为5年期，利率为6%且每半年支付一次，以面值出售。长期国库券组合的有效期为多久？Treasury BondPar value =$176 Coupon =0.06Semiannual paymentsYTM =0.06Maturity =5TimeCash FlowPVIFPV of CFPV*CF*T0.5$5.28 0.97087$5.13 $2.56 1$5.28 0.94260$4.98 $4.98 1.5$5.28 0.91514$4.83 $7.25 2$5.28 0.88849$4.69 $9.38 2.5$5.28 0.86

36、261$4.55 $11.39 3$5.28 0.83748$4.42 $13.27 3.5$5.28 0.81309$4.29 $15.03 4$5.28 0.78941$4.17 $16.67 4.5$5.28 0.76642$4.05 $18.21 5$181.28 0.74409$134.89 $674.45 .Price =$176.00 Numerator =$773.18 Duration=4.3931= Numerator/Price所有资产的平均有效期为多久？(.5)(90) + (.9)(55) + (4.393)(176) + (7)(2724)/3045 = 6.55

37、years所有负债的平均有效期为多久？(1)(2092) + (0.01)(238)/2330 = 0.90 years金融机构杠杆调整有效期缺口为多少？金融机构利率风险敞口有多大？DG = DA - kDL = 6.55 - (2330/3045)(0.90) = 5.86 yearsThe duration gap is positive, indicating that an increase in interest rates will lead to a decline in net worth.如果整个收益率曲线向上移动50个基点（即），对金融机构净值有何影响？The market

38、 value of the equity will change by the following: MVE = -DG * (A) * R/(1 + R) = -5.86(3045)(0.0050) = -$89.22. The loss in equity of $89,220 will reduce the equity (net worth) to $625,780.如果整个收益率曲线向下移动25个基点（即），对金融机构净值的市场市值有何影响？The change in the value of equity is MVE = -5.86(3045)(-0.0025) = $44,61

39、0. Thus, the market value of equity (net worth) will increase by $44,610, to $759,610.练习10：假设一家刚开业的银行，其资产项目和负债项目的价值均为市场价值，该银行资产只有两类，一类是现金，另一类是收益资产，包括收益率为14，偿还期为3年的商业贷款和收益率为12，偿还期为9年的国债。该银行的负责则是年利率9，期限为1年的定期存单和年利率10，偿还期为4年的大额存款构成，银行股本为80单位。资产市场价值负债市场价值现金 商业贷款国债100700200定期存单大额存款总负债 520400920总计 1000股本总

40、计801000复利现值系数表 7% 8% 9% 10% 11% 12% 13% 14% 15% 1 0.935 0.926 0.917 0.909 0.901 0.893 0.885 0.877 0.87 2 0.873 0.857 0.842 0.826 0.812 0.797 0.783 0.769 0.756 3 0.816 0.794 0.772 0.751 0.731 0.712 0.693 0.675 0.685 4 0.763 0.735 0.708 0.683 0.659 0.636 0.613 0.592 0.572 5 0.713 0.681 0.65 0.621 0.59

41、3 0.567 0.543 0.519 0.497 6 0.666 0.63 0.596 0.564 0.535 0.507 0.48 0.456 0.432 7 0.623 0.583 0.547 0.513 0.482 0.452 0.425 0.4 0.376 8 0.582 0.54 0.502 0.467 0.434 0.404 0.376 0.351 0.327 9 0.544 0.5 0.46 0.424 0.391 0.361 0.333 0.3 0.284 10 0.508 0.463 0.422 0.386 0.352 0.322 0.295 0.27 0.247 假设市场

42、利率上涨1%.问：银行的有效期缺口利率上涨对银行净值的影响银行应采取什么措施答案：资产市场价值利率 (%)有效期 负债市场价值利率 (%)有效期现金 商业贷款国债10070020014122.655.97定期存单大额存款总负债 52040092091013.492.08总计 10003.05股本总计801000有效期缺口3.05-(920/1000)*2.08=1.14 资产市场价值利率 (%)有效期 负债市场价值利率 (%)有效期现金 商业贷款国债10068418915132.645.89定期存单大额存款总负债 515387902101113.482.06总计 9373.00股本总计7193

43、7银行净值=-9 措施：使总资产的加权平均有效期等于总负债的加权平均值与该银行的资产负债率的积相等.把定期存款减少240元，同时新发行利率为10，偿还期为5年的大额存单280单位，使得当利率变动时资产的市场价值和负债的市场价值变动一致，从而使得该银行的净值不变。 第十章：市场风险练习1：如果一家银行的DEAR是$8500，使用10日、20天持有期，那么它的VAR是多少？For the 10-day period: VAR = 8,500 x 10 = 8,500 x 3.1623 = $26,879.36 For the 20-day period: VAR = 8,500 x 20 = 8,

44、500 x 4.4721 = $38,013.16 练习2：15年期零息债券在过去的一年中日收益平均变化是5个基点，标准差是15个基点，假设收益变化呈正态分布。如果要求90%的置信度，预期最大的收益率变化是多少？如果要求95%的置信度，预期最大的收益率变化是多少？练习3：某银行持有AAA级、15年期的零息债券，其面值是4亿，在OTC市场上，该债券现在的收益率是9.5%。债券的修正有效期是多少？Modified duration = (MD) = D/(1 + r) = 15/(1.095) = -13.6986.如果潜在的于收益不利的变动是25个基点，它的价格波动是多少？Price volat

45、ility = (-MD) x (potential adverse move in yield)= (-13.6986) x (.0025) = -0.03425 or -3.425 percent.它的日风险收益（DEAR）是多少？Daily earnings at risk (DEAR) = ($ Value of position) x (Price volatility)Dollar value of position = 400/(1 + 0.095)15 = $102.5293million. Therefore,DEAR = $102.5293499 million x -0.

46、03425 = -$3.5116 million, or -$3,511,630. 练习4：某美国银行估计有价值2000万欧元和2500万英镑承受市场风险，现行汇率是$0.40/EUR和$1.28/BP，根据过去6个月即期汇率日变化，估计EUR和BP现行汇率的标准差分别是65bp和45bp，计算两种货币的银行10日风险价值，置信度为95%。FX position of = 20m x 0.40 = $8 millionFX position of = 25m x 1.28 = $32 millionFX volatility = 1.65 x 65bp = 107.25, or 1.0725%

47、FX volatility = 1.65 x 45bp = 74.25, or 0.7425%DEAR = ($ Value of position) x (Price volatility)DEAR of = $8m x .010725 = $0.0860m, or $85,800DEAR of = $32m x .007425 = $0.2376m, or $237,600VAR of = $138,000 x 10 = $85,800 x 3.1623 = $271,323.42VAR of = $237,600 x 10 = $237,600 x 3.1623 = $751,357.1

48、7练习5：某银行股票组合的市场价值是1000万美元，组合的近似于市场证券组合的，它的标准差估计等于1.5%，在置信度为99%时，该组合的5日VAR是多少？DEAR= ($ Value of portfolio) x (2.33 x m ) = $10m x (2.33 x .015)= $10m x .03495 = $0.3495m or $349,500VAR= $349,500 x 5 = $349,500 x 2.2361 = $781,505.76练习6：某银行要计算资产组合的总DEAR，这些资产（包括贷款、外币和普通股）各自的DEAR分别是300700，247000和126700.

49、如果贷款和外币、贷款和普通股、外币和普通股之间的相关系数分别是0.3、0.7和0.0，那么整个组合的DEAR是多少。练习7：某银行有下列未偿付的隔夜外汇（FX）头寸（以百万美元表示），EUR8000万多头，GBP4000万空头和JBP2000万多头，使用BIS速记法计算防范市场风险需要的资本要求。答案：Max（8000+2000，4000）8%=800练习8：答案：多头 空头 X因素 资本 Y因素 资本4500 2500 7000 280 2000 1605500 1200 6700 268 4300 3442000 0 2000 80 2000 1600 1500 1500 60 1500

50、120因此总资本为1472第十一章：练习1：如果基础利率为9%，风险溢价为2.5%，补偿性余额的比率为10%，费率为0.25%，准备金率为6%，计算贷款承诺收益率（k）。如果违约率为5%，该笔贷款的预期收益率是多少？练习2：假设所估算的线性概率模型为：，其中为借款者的债务-股本比率，为借款者收益的波动性，为借款者的利润比率。借款者偿还概率的预期值是多少。PD = 0.3(.75) + 0.2(.25) - 0.05(.10) = 0.272.如果债务-股本比率为2.5，上题中借款者偿还概率的预期值是多少？PD = 0.3(2.5) + 0.2(.25) - 0.05(.10) = 0.795

51、The expected probability of repayment is 1 0.795 = 0.205. 线性概率模型的缺点是什么？A major weakness of this model is that the estimated probabilities can be below 0 or above 1.0, an occurrence that does not make economic or statistical sense.练习3：某公司资产负债表（单位：万）资产负债现金20应付账款30应收账款90应付票据90存货投资90应付利息30厂房与设备500长期债务15

52、0股本400总计700总计700假设销售额=500，货物的销售成本=360，税收=56，支付利息=40，净收入=44.如果该公司的股利派发比率为50%，并且股权的市场价值等于其账面价值，请对该公司的ALTMAN判别式函数进行评价。净流动资本=流动资产-流动负债流动资产=现金+应收账款+存货投资流动负债=应付账款+应付利息+应付票据EBIT=收入-货物销售成本-折旧税收=（EBIT-利息）税率净收入=EBIT-利息-税金保留收益=净收入（1-股利支付率）答案：1.流动资本流动资产流动负债20015050 保留盈余净利润（1股利派发比率）44（150）22 EBIT收入销售成本500360140股

53、票的市场价值股本400Altmans discriminant function is given by: Z = 1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 1.0X5Assume prior retained earnings are zero.X1 = (200 30 30 -90)/ 700 = .0714X1 = Working capital/total assets (TA)X2 = 22 / 700 = .0314X2 = Retained earnings/TAX3 = 140 / 700 = .20X3 = EBIT/TAX4 = 400 / 150 =

54、 2.67X4 = Market value of equity/long term debtX5 = 500 / 700 = .7143X5 = Sales/TAZ = 1.2(0.07) + 1.4(0.03) + 3.3(0.20) + 0.6(2.67) + 1.0(0.71) = 3.104= .0857 + .044 + .66 + 1.6 + .7143 = 3.104如果该公司向银行申请500万贷款作为增资贷款，是否会得到批准？Since the Z-score of 3.104 is greater than 1.81, ABC Inc.s application for a

55、 capital expansion loan should be approved.如果公司销售额为300万，并且其股权的市值下降到其账面价值的一半（假设货物的销售成本和利息额不变），该公司的利润会发生怎样的变化，如果公司的税金可以用于抵扣该企业的其他分支的应缴税金，你的信用决策会发生怎样的变化。ABCs net income would be -$100 without taking into account text credits. Note, that ABCs tax liability is $56,000. If we assume that ABC uses this tax

56、 credit against other tax liabilities, then:X1 = (200 30 30 90) / 700 = .0714X2 = 44 / 700 =0.0629X3 = 60 / 700 =0.0857X4 = 200 / 150 =1.3333X5 = 300 / 700 =0.4286 Since ABCs Zscore falls to $.9434 P1.10/$).答案：A:二级市场出售折扣为9，而当前以7的折扣出售，因此其节余：（97）2 （140）0.024B:以7的折扣购买，以6的折扣出售。（71）2 （140）0.012C：2 -2 94%

57、 1.1/1.05=0.0305 练习3：尼日利亚政府目前拖欠某银行$2000万余额的贷款，在谈判后，银行同意把利率从10%降到6%，期限由5年延长到10年。贷款的本金到期后偿还，没有宽限期，年底支付首批利息。如果银行融资成本为5%，贷款在重组前的现值是多少？Interest payments in years 1 - 5: 0.10 x $20 = $2mPV = PVAn=5,k=5($2) + PVn=5,k=5($20) = $24.3295 million对银行来讲，重组后的贷款现值为多少？Interest payments in years 1 - 10: 0.06 x $20 =

58、 $1.2mPV = PVAn=10,k=5($1.2) + PVn=10,k=5($20) = $21.5443 million如果融资成本不变，收取的前端费用=5%，重组贷款的受让金额为多少？Up-front fee = 0.05 x $20m = $1 millionPV (total) = $21.5443 million + $1 million = $22.5443 millionConcessionality = PVo - PVR = PV of old loan - PV of rescheduled loan= $24.3259 - $22.5443 = $1.7852 m

59、illion如果要使得受让值为0，银行应收取多少的前端费用？The bank has to increase its up-front fees by $1.7852 for a total of $2.7852, or 13.93%.第17章 流动性风险练习1：假设某金融机构拥有$1000万的资产，其中包括$100万的现金和$900万美元的贷款，其核心存款为$600万美元，还持有$200万的附属债务和$200万的股本，预计利率上升会导致全年内核心存款净流失为$200万。存款的平均成本为6%，且贷款的平均成本为8%，该金融机构决定缩小其贷款组合以弥补这一预期的存款减少，依据该战略，存款流失后金

60、融机构的成本是多少？规模多大？Assuming that the decrease in loans is offset by an equal decrease in deposits, the cost of the drain = (0.08 0.06) x $2 million = $40,000. The average size of the firm will be $8 million after the drain. 如果发行新的短期债券的成本为7.5%，该金融机构通过增加负债弥补预期存款外流的成本为多大？运用该战略，存款流失后金融机构的规模如何？Cost of the dr