金融机构 金融市场与金融机构基础,Fabozzi,Chapter11.docx

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1、金融机构 金融市场与金融机构基础,Fabozzi,Chapter11 金融机构篇一金融市场与金融机构基础 Fabozzi Chapter11 Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones) Chapter 11 The Term Structure of Interest Rates Multiple Choice Questions1 The Yield Curve and the Term Structure1) Market participants have tended

2、to construct yield curves from observations of prices and yields in the Treasury market. Two reasons account for this tendency. Which of the below is ONE of these reasons?A) The smallest and most inactive bond market, the Treasury market offers the fewest problems of illiquidity or frequent tradingB

3、) Treasury securities have a small amounts of default risk, and differences in creditworthiness do affect yield estimates.C) The largest and most active bond market, the Treasury market offers the fewest problems of illiquidity or infrequent trading.D) Treasury securities are full of default risk, a

4、nd differences in creditworthiness do not affect yield estimates.Answer: CComment: Market participants have tended to construct yield curves from observations of prices and yields in the Treasury market. Two reasons account for this tendency. First, Treasury securities are free of default risk, and

5、differences in creditworthiness do not affect yieldestimates. Second, as the largest and most active bond market, the Treasury market offers the fewest problems of illiquidity or infrequent trading.Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.4 how a theoretical spot rate c

6、urve can be determined from the Treasury yield curve2) More recently market participants have come to realize that the traditionally constructed Treasury yield curve is _ measure of the relation between required yield and maturity with the key reason is that securities with the same maturity may act

7、ually provide _.A) an unsatisfactory; different yieldsB) an unsatisfactory; very similar yieldsC) a satisfactory; different yieldsD) a satisfactory; very similar yieldsAnswer: AComment: More recently market participants have come to realize that the traditionallyconstructed Treasury yield curve is a

8、n unsatisfactory measure of the relation between required yield and maturity with the key reason is that securities with the same maturity may actually provide different yields.Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.1 what the yield curve is 3) Because of the differen

9、t cash flow patterns, it is not appropriate to use _ to discount all cash flows because each cash flow should be discounted at _ that is appropriate for the time period in which the cash flow will be received. A) the same interest rate; a different interest rateB) the same interest rate; a unique in

10、terest rateC) a different interest rate; a common interest rateD) a different interest rate; a unique interest rateAnswer: BComment: Because of the different cash flow patterns, it is not appropriate to use the same interest rate to discount all cash flows because each cash flow should be discounted

11、 at a unique interest rate that is appropriate for the time period in which the cash flow will be received. Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.4 how a theoretical spot rate curve can be determined from the Treasury yield curve4) The correct way to think about bond

12、s A and B is not as bonds but as packages of _.A) coupon payments.B) separate bond instruments.C) zero-coupons without payments.D) zero-coupon instruments.Answer: DComment: The correct way to think about bonds A and B is not as bonds but as packages of cash flows. More specifically, they are package

13、s of zero-coupon instruments.Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.3 what is meant by a spot rate and a spot rate curve5) Which of the below statements is FALSE?A) To determine the value of each zero-coupon instrument, it is necessary to know the yield on a zero-coup

14、on Treasury with that same maturity this yield is called the forward rate.B) Each zero-coupon instrument in the package has a maturity equal to its coupon payment date or, in the case of the principal, the maturity date.C) The value of the bond should equal the value of all the component zero-coupon

15、 instruments.D) the graphical depiction of the relationship between the spot rate and its maturity is called the spot rate curve.Answer: AComment: To determine the value of each zero-coupon instrument, it is necessary to know the yield on a zero-coupon Treasury with that same maturity this yield is

16、called the spot rate. Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.2 the different shapes that the term structure can take 6) It is important to remember that the basic principle underlying bootstrapping is that the value of the Treasury coupon security should be equal to t

17、he value of the package of _ that duplicates the _. A) coupon paying T-Bills; coupon bond's cash flowB) zero-coupon Treasury securities; coupon bond's cash flowC) coupon paying T-Bills; discount bond's cash flowD) zero-coupon Treasury securities; discount bond's cash flowAnswer: BDif

18、f: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.4 how a theoretical spot rate curve can be determined from the Treasury yield curve7) A Treasury bill is a zero-coupon instrument. Therefore, its annualized yield is equal to the spot rate. Similarly, for the one-year Treasury, its

19、cited yield is the one-year spot rate. Given these two spot rates, we can compute the spot rate for _.A) a theoretical 0.5-year zero-coupon Treasury.B) a theoretical 1.0-year zero-coupon Treasury.C) a theoretical 1.5-year zero-coupon Treasury.D) a theoretical 2.0-year zero-coupon Treasury.Answer: CD

20、iff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.3 what is meant by a spot rate and a spot rate curve2 Forward Rates1) Consider the following two investment alternatives for an investor who has a one-yearinvestment horizon. For Alternative 1, the investor buys a one-year instrum

21、ent. For alternative 2, the investor buys a six-month instrument and when it matures in six months the investor buys another six-month instrument. Which of the below statements is FALSE?A) Given the one-year spot rate, there is some rate on a six-month instrument one year from now that will make the

22、 investor indifferent between the two alternatives.B) With Alternative 1, the investor will realize the one-year spot rate and that rate is known with certainty.C) With Alternative 2, the investor will realize the six-month spot rate, but the six-month rate six months from now is unknown.D) For Alte

23、rnative 2, the rate that will be earned over one year is not known with certainty. Answer: AComment: Given the one-year spot rate, there is some rate on a six-month instrument six months from now that will make the investor indifferent between the two alternatives. Diff: 2Topic: 11.2 Forward RatesOb

24、jective: 11.5 what is meant by an implicit forward rate and how it can be calculated 2) Which of the below equations give the forward rate (f) for a six-month security if z1 is the six-month spot rate and z2 is the one-year spot rate? (1+z2)2 -1 A) f = (1+z1)B) f = (1+z2)2(1+z1)-1 (1+z1)2-1 C) f = (

25、1+z2)(1+z2)-1 D) f = 2(1+z1)Answer: ADiff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated3) What is the forward rate (f) for a six-month security if z1 is 2.00% and z2 is 3.50%?A) 5.00%B) 5.02%C) 5.04%D) 5.06%Answer: BComment: We have

26、: six-month spot rate = 4% given that z1 is 2.00% and one-year spot rate is 7.00% given that z2 =3.50%. Inserting in these value into the equation for the forward rate (f) on (1+z2)21.07123(1.035)2-1 = -1= 1.05022 1 a six month security, we have: f = -1= (1+z1)1.021.02= 0.05022 or about 5.02%.Diff:

27、2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated 4) What is the forward rate (f) for if the six-month spot rate is 5% and the one-year spot rate is 9%? A) 6.00%B) 6.12%C) 6.31%D) 6.54%Answer: DComment: We have: six-month spot rate = 5%

28、so that z1 is 2.50% and one-year spot rate is 9.00% so that z2 = 4.50%. Inserting in these value into the equation for the forward rate (f) on a (1+z2)21.09203(1.045)2-1= -1= 1.06539 - 1 = six month security, we have: f = -1= (1+z1)1.0251.0250.06539 or about 6.54%.Diff: 2Topic: 11.2 Forward RatesObj

29、ective: 11.5 what is meant by an implicit forward rate and how it can be calculated5) As quoted on a bond equivalent basis, what is the forward rate (f) for a six-month security if z1 is 2.00% and z2 is 4.50%?A) 7.06%B) 9.02%C) 14.12%D) 15.06%Answer: CComment: We have: six-month spot rate = 4% given

30、 that z1 is 2.00% and one-year spot rate is 9.00% given that z2 = 4.50%. Inserting in these value into the equation for the forward rate (f) on (1+z2)21.09203(1.045)2-1= -1= 1.07061 - 1 = -1 = a six month security, we have: f = (1+z1)1.021.020.07061 or about 7.061%. Thus, the bond equivalent basis =

31、 2 7.061% = 14.122% or about 14.12%.Diff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated金融机构篇二金融机构的特点 金融机构的特征 -法硕21班 刘畅 2022212268金融是现代紧急的核心，而金融机构是现代金融活动最为重要的组织者和参加者，是金融体系最重要的组成部分，是金融市场的主导因素。从狭义的角度看，金融机构是指那些特地从事金融活动或为金融活动供应专业服务的营利性组织；

32、从广义角度看，金融机构还包括金融监管组织及国际金融机构。商业银行是最早出现的现代金融机构。随着社会经济发展的须要，以现代商业银行为起点形成了今日多种金融机构并存的现代金融机构体系。金融机构有如下特征：一、金融机构能够充当真正的信用中介，分散风险，降低交易成本，供应支付机制和流淌性。 银行等金融机构通过汲取存款和发行金融债券的形式，将社会上的闲散资金集中起来，用以向长期借款人供应任何单一投资者都无法供应的低成本长期资金。金融机构既是借者又是贷者，成为真正的信用中介。金融机构还能使单个投资者的资金投入银行后，有专家经营，并且风险联合担当，削减单个投资人的风险。尽管金融机构不能完全消退干脆融资中出现

33、的逆向选择和道德风险问题，但是引入的一些制度性措施可以极大地削减或缓解信息不对称所造成的交易费用与风险。金融机构供应的多种多样的支付手段有利于加速结算过程和货币资金的周转，促进再生产的顺当进行。二、金融机构是特别的企业。在现代市场经济中，金融机构作为一种特别的企业，与一般经济单位之间既有共性，又有特别性。共性主要表现为金融机构也须要具备一般企业的基本要素，如有肯定的自有资本、向社会供应特定的商品和服务、必需依法经营、独立核算、自负盈亏、照章纳税等。特别性主要表现以下方面：（1）特别的经营对象与经营内容。一般经济单位的经营对象是具有肯定运用价值的商品或一般劳务，经营内容主要从事商品生产与流通活动

34、；而金融机构的经营对象是货币资金这种特别的商品，经营内容则是货币的收付、借贷及各种与货币资金运动有关或与之相联系的各种金融业务。（2）特别的经营关系与经营原则。一般经济单位与客户之间是商品或劳务的买卖关系；而金融机构与客户之间主要是货币资金的借贷或投资关系。金融机构在经营中必需遵循平安性、流淌性和盈利性原则。（3）特 殊的经营方式。金融机构的经营方式不同于一般工商企业，它主要是通过货币资金的借贷和其他方式的融通活动取得利息差，形成其利润收入，因此，金融机构就必需遵循货币资金运动的特点和规律从事经营活动。（4）特别的经营风险影响。一般经济单位的经营风险主要来自于商品生产、流通过程，集中表现为商品

35、是否产销对路。单个企业破产造成的损失对整体经济的影响较小，一般属小范围、个体的。而金融机构因其业务大多是以还本付息为条件的货币信用业务，故风险主要表现为信用风险、挤兑风险、利率风险、汇率风险等。金融机构因经营不善而导致的危机，有可能对整个金融体系的稳健运行构成威逼，甚至会引发严峻的社会或政治危机。 三、浩大困难的金融机构体系。不同国家的金融机构体系有肯定的差别，统一国家金融机构体系也要经验不断发展演化的过程，并且还要随着社会经济的发展而发展改变。但概括起来说，当代大多数国家金融机构体系主要是由金融监管机构、银行和非银行金融机构组成。目前，我国就形成了以“一行三会”为核心，以商业性银行和政策性银

36、行为主体，非银行金融机构、外资银行为补充，分业经营、相互协作、分业监管的金融机构体系。基本上呈现银行业、证券业、保险业三足鼎立的局面。四、金融机构要接受金融监管。金融业、金融机构不同于一般的行业、企业，它的风险危害性可谓牵一发而动全身。同时，金融业是高负债行业。金融机构为了追逐高额利润，往往会导致资产负债状况恶化。为了防范金融风险，金融监管就必不行少。金融监管有狭义和广义之分。狭义的金融监管是指中心银行或其他金融监管当局依据国家法律规定对整个金融业（包括金融机构和金融业务）实施的监督管理。广义的金融监管在上述涵义之外，还包括了金融机构的内部限制和稽核、同业自律性组织的监管、社会中介组织的监管等

37、内容。我国的金融监管部门有：中国人民银行、银监会、证监会、保监会。金融监管的实施对象是金融机构和金融活动。五、金融机构在担当法律责任方面的特点，金融机构未依法帮助行政机关实施行政强制的，由金融业监督管理机构责令其改正，并对干脆负责主管人员和其他干脆责任人员依法赐予处分。这里的处分是指金融机构的内部纪律处分，即由该机构对责任人员依据内部规章制度进行惩戒，如扣除工资、奖金、调离核心岗位等。金融机构违法将执行款项划入国库或者财政专户以外的其他账户的，由金融业监督管理机构责令其改正，并处以违法划拨款项两倍的罚款；对干脆负责主管人员和其他干脆责任人员依法赐予处分。金融机构篇三金融体系练习及答案 其次三章

38、 金融体系概述 习题练习 （一）单项选择题1信用起源于（ ）。A商品交换 B货币流通 C生产社会化 D私有制2在信用关系的价值运动中，货币执行的职能是（ ）。A价值尺度 B流通手段 C支付手段 D贮存手段3美国同业拆借市场也称为（ ）。A贴现市场B承兑市场 C联邦基金市场 D外汇交易市场4资本市场是指（ ）。A短期市场 B一级市场 C发行市场 D长期市场5间接融资在于金融中介机构是否发行自己的（ ） 。A股票 B支票 C汇票 D债务凭证6（ ）是供应金融服务和产品的企业。A金融市场B金融体系 C金融工具 D金融中介7货币市场交易与资本市场交易相比较，具有（ ）的特点。A期限短B流淌性低 C收益

39、率高 D风险大8同业拆借市场是金融机构之间为（ ）而相互融通的市场。A削减风险B提高流淌性 C增加收入 D调剂短期资金余缺9政策性金融机构是（ ）的金融机构。A与商业银行没有区分 B不以营利为目的C由政府支持不完全以营利为目的 D代表国家财政10投资银行在英国称为商人银行，在日本称为（ ）。A商业银行B证券公司 C信托机构 D投资基金（二）多项选择题1信用是有条件的借贷行为，其条件是指（ ）。A到期偿还 B支付利息 C存在买卖关系 D出具担保 E信用托付2信用是（ ）。A一种特别的商品交换行为 B一种借贷行为C一种债权债务关系 D一种特别的价值运动形式E一种等价交换行为3信用的基本要素包括（

40、）。A债权债务关系 B时间间隔 C商品交易D信用工具4. 美国政府债券主要有（ ）。国家公司债券 联邦政府债券C金融债券 D地方政府债券 E政府机构债券5公司债券是由（ ）发行的。A政府机构 B证券交易所 C工商企业D商业银行 E中心银行金融机构.6货币市场的主要交易对象有（ ）。A大额可转让存单 B商业票据 C同业拆借 D长期政府债券 E银行承兑汇票7资本市场主要由下列市场构成（ ）。A政府债券市场 公司债券市场 C商业票据市场，D股票市场 E承兑汇票市场8下列机构有哪些是商业性金融机构？（ ） A保险公司B政策性银行 C投资银行 D养老基金 E邮政储蓄机构 9世界银行的主要贷款种类有（ ）

41、。A详细项目贷款 B部门贷款 C结构调整贷款 D技术救济贷款E紧急复兴贷款10节俭储蓄机构包括（ ）。A互助储蓄银行B商业银行 C养老基金 D储蓄与放款协会 E信用社（三）推断分析题1信用的本质是一种债权债务关系。2公司债券发行的价格一般高于其面值。3一般状况下银行承兑汇票的价格要高于商业汇票。4在美国短期国债的投标中，非竞争性投标者可以获得比竞争性投标者更低的国债购买价格。5干脆融资就是指以金融机构作为信用中介而进行的融资。（四）简答题1信用的三要素是什么 ？试比较干脆融资和间接融资的区分。3简述“一级市场”和“二级市场”的相互关系。4为什么要加强对金融体系的管理？5为什么说信用是价值运动的

42、特别形式？（五）论述题金融体系的主要功能有哪些？2如何理解政策性金融机构的作用？考答案要点（一）单项选择题1A 2C 3C 4D 5D 6D 7 A D 9C 10B（二）多项选择题AB 2BCD 3ABD 4BDE CD 6ABCE 7ABD8ACDE 9ABCDE 10ADE（三）推断分析题。正确。信用是一种借贷行为，是价值运动的特别形式。本质是一种权权债务关系。2错。公司债券是固定收益债券，其风险较国债和银行储蓄大。其价值是按将来每年固定收益贴现方式确定，与预期市场利率成反比。其发行一般采纳折价方式发行，故其价格一般低于其面值。3正确。银行承兑汇票是指经过银行承诺兑付的商业票据，由于银行

43、信用的介入，其风险较商业票据低，故其收益率也低，所以其价格高于商业票据。4错。非竞争性投标是指在国债购买投标中不给出价格只给出购买量的一种投标方式，其中标的购买价格是中标的竞争性投标的平均价。5错。干脆融资是指最终借款人和最终贷款人之间进行的融资。金融机构在干脆融资中仅仅是供应代理性质的中介服务而非信用中介，既不发行自己的负债（间接证券）购进资产，也不创建自己的债权来供应信用。（四）简答题1债券债务关系是信用的必备条件之一。价值相向转移上的时间间隔。没有时间 间隔不成其为信用。记载债权债务关系的凭证，即信用工具。 2干脆融资是指最终借款人和最终贷款人之间进行的融资。间接融资是由金融中介机构以自

44、己的债务换取最终贷款人的资产，再以自己的债权向最终借款人供应信用。区分这两种融资不在于是否有金融机构的介入，而在于金融机构是否发挥了信用中介作用。即金融机构是否通过发行间接证券同时担当了债权和债务，充当最终放款人的债务人和最终借款人的债权人。3一级市场是公司或政府向投资者出售新发行的股票和债券等证券的金融市场。二级市场则是投资者相互交易已发行证券的金融市场。一级市场可以为证券发行者获得新的资金，二级市场能提高证券的流淌性。一级市场的发展是二级市场发展的前提，但二级市场的发展又可以反过来促进一级市场的发展，扩大融资规模。4为了使投资者获得更多的信息。确保金融体系的健全牢靠。为了改善货币政策的调控

45、机制。5在信用关系中，价值运动表现为借贷、偿还等一系列价值单方面转移。这种价值转移是一种运用权而非全部权的转移。这种价值转移是一种有条件的转移，即以还本付息为条件的价值单方面转移。（五）论述题（答题要点）资金流淌功能。支付结算功能。聚集资源的功能。管理风险功能。激励功能。供应信息功能。2政策性金融机构是指由政府创立、参股、支持或担保的不完全以营利为目的的，特地为贯彻政府的社会经济政策或意图，在特定的业务领域内，干脆或间接地从事融资活动，帮助政府发展经济。促进社会进步。进行宏观经济管理的金融机构。政策性金融机构供应的贷款具有期限长、利率低的特点，其放款对象和产业也体现了政府的经济发展意图。政策性银行对重大的基础性设施的投资具有其他商业性金融机构不行替代的作用，对国家产业政策的贯彻有重要的作用。政策性金融机构对商业性金融机构不愿介入的收益低或者投资期限长但关系到国计民生的一些重要产业具