資本市場和金融機(jī)構(gòu)(存儲(chǔ)版)
【正文】 osits at a fixrate, investing in floatingrate loans 0 1 year 2 years Assets (Loans at 10%) 0 1 year 2nd year i = ? i= 8% i= 11% Liabilities (Deposits at 9%) 4 ? b) Refinancing risk – The risk that the cost reborrowing funds will rise above the originally estimated cost of borrowing Example: 2year loans at 10% annual funded with 1year deposits at 9% Profit spread 1st year = 10% 9% = +1%. 2nd year: 10% ?? 1year 2year Assets (loans 10%) 0 Liabilities (Deposits at 9%) 0 1 2nd year i = ? i= 8% i= 11% 5 ? Firms should try to match maturities of assets and liabilities –fixed rate assets – Eliminates interest rate risk Disadvantage of matching? A:? 6 Market Risk The risk of losses in onand offbalancesheet positions arising from movements in market prices. ? Incurred in active trading (risky investing) of assets and liabilities (and derivatives). a) What type of FIs are more prone to market risk? A: ? b) What type of activities? A:? b) What type of financial claims? A:? 7 Credit Risk or Default Risk The risk that the promised cash flows from loans and securities held by FIs may not be paid in full ., payments of principal and interest on their promised dates. a) What type of FIs are more prone to default risk? A: ? b) What type of financial claims? A: ? c) How this problem can be reduced?
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