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辽宁大学金融机构管理期末作业1.WhathavebeenthetrendinU.S.securitiesindustryfromthelate1980throughthe2010s?2.HowcanamanagerusethedurationmodeltoimmunizethebalancesheetofanF1againstinterestraterisk?3.WhatisRAROCmodel?howdoesthismodelusetoestimatetheloanrisk?RiskadjustedreturnoncapitalOneofthemostwidelyusedmodelsRAROC=(oneyearnetincomeonloan)/(loanrisk)Loanriskestimatedfromloandefaultrates,orusingdurationUsingDurationtoEstimateLoanRiskFordenominatorofRAROC,durationapproachusedtoestimateworstcaselossinvalueoftheloan:DLN/LN=-DLNx(DR/(1+R))whereDRisanestimateoftheworstchangeincreditriskpremiumsfortheloanclassoverthepastyearRAROC=one-yearincomeonloan/DLN2.Howdoesapolicyofmatchingthematuritiesofassetsandliabilitieswork(a)tominimizeinterestrateriskand(b)againsttheasset-transformationfunctionforFIs?Apolicyofmaturitymatchingwillallowchangesinmarketinterestratestohaveapproximatelythesameeffectonbothinterestincomeandinterestexpense.Anincreaseinrateswilltendtoincreasebothincomeandexpense,andadecreaseinrateswilltendtodecreasebothincomeandexpense.Thechangesinincomeandexpensemaynotbeequalbecauseofdifferentcashflowcharacteristicsoftheassetsandliabilities.Theasset-transformationfunctionofanFIinvolvesinvestingshort-termliabilitiesintolong-termassets.Maturitymatchingclearlyworksagainstsuccessfulimplementationofthisprocess.2.Whatisamaturitygap?HowcanthematuritymodelbeusedtoimmunizeanFI’sportfolio?WhatisthecriticalrequirementthatallowsmaturitymatchingtohavesomesuccessinimmunizingthebalancesheetofanFI?Maturitygapisthedifferencebetweentheaveragematurityofassetsandliabilities.Ifthematuritygapiszero,itispossibletoimmunizetheportfolio,sothatchangesininterestrateswillresultinequalbutoffsettingchangesinthevalueofassetsandliabilitiesandnetinterestincome.Thus,ifinterestratesincrease(decrease),thefall(rise)inthevalueoftheassetswillbeoffsetbyaperfectfall(rise)inthevalueoftheliabilities.Thecriticalassumptionisthatthetimingofthecashflowsontheassetsandliabilitiesmustbethesame.2.Identifyanddiscussthreecriticismsofusingthedurationmodeltoimmunizetheportfolioofafinancialinstitution.Thethreecriticismsare:a.Immunizationisadynamicproblembecausedurationchangesovertime.Thus,itisnecessarytorebalancetheportfolioasthedurationoftheassetsandliabilitieschangeovertime.b.Durationmatchingcanbecostlybecauseitisnoteasytorestructurethebalancesheetperiodically,especiallyforlargeFIs.c.Durationisnotanappropriatetoolforimmunizingportfolioswhentheexpectedinterestratechangesarelargebecauseoftheexistenceofconvexity.Convexityexistsbecausetherelationshipbetweenbondpricechangesandinterestratechangesisnotlinear,whichisassumedintheestimationofduration.Usingconvexitytoimmunizeaportfoliowillreducetheproblem.一个例题的一部分：g.Whatvariablesareavailabletothefinancialinstitutiontoimmunizethebalancesheet?HowmuchwouldeachvariableneedtochangetogetDGAPequalto0?Immunizationrequiresthebanktohavealeverage-adjusteddurationgapof0.0.Therefore,theFIcouldreducethedurationofitsassetsto0.6887yearsbyusingmoreT-billsandfloatingrateloans.OrtheFIcouldtrytoincreasethedurationofitsdepositspossiblybyusingfixed-rateCDswithamaturityof3or4years.Finally,theFIcoulduseacombinationofreducingassetdurationandincreasingliabilitydurationinsuchamannerthatLADGis0.0.Thisdurationgapof5.86yearsisquitelargeanditisnotlikelythattheFIwillbeabletoreduceittozerobyusingonlybalancesheetadjustments.Forexample,eveniftheFImovedallofitsloansintoT-bills,thedurationoftheassetsstillwouldexceedthedurationoftheliabilitiesafteradjustingforleverage.ThisadjustmentinassetmixwouldimplyforegoingalargeyieldadvantagefromtheloanportfoliorelativetotheT-billyieldsinmosteconomicenvironments.INTERPRETINGDURATIONAtoolofinterestratemanagementforfixedincomeportfolioMeasurethesensitivityofaportfoliotointerestratechangeItisasimplesummarystatisticoftheeffectiveaveragematurityoftheportfolioItisalsothefirstorderderivativeofthebondpricewithrespecttointerestrateDurationGapandIRriskimmunizationstrategy2.3.RAROCmethodisakindofintegratepricingmethodbasedonriskcapitalandprobabilitydefault.