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Question
City bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 10 percent.
What is the 10-day VAR assuming the daily returns are independently distributed?
A. -$714,009.31
B. -$778,270.16
C. -$389,135.09
D. -$428,405.58
E. -$471,246.16
Answer
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Related questions
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C. U.S. dollar rates on one year U.S. Treasury securities equal 1 year Japanese government bond rates, restated in dollars.
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The nominal interest rate is equal to the
A. real interest rate minus the inflation premium.
B. real interest rate minus the trailing inflation rate.
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D. real interest rate plus the expected inflation rate.
E. real interest rate plus the interest rate volatility.
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Deviations from the international currency parity relationships may occur because of
A. free capital movements across national boundaries.
B. barriers to cross-border financial flows.
C. perfect rationality of market participants.
D. differences in each country's productive capacity.
E. Basel capital regulations.
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E. hedging activities.
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The decrease in European FX volatility during the last decade has occurred because of
A. the stabilizing force of the euro.
B. reduction in inflation rates in European countries.
C. the reduced volatility in many emerging-market countries.
D. the greater volatilities of Asian currencies.
E. Answers A and B only.
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B. acts aggressively as a speculator.
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D. acts as an agent.
E. acts as a market maker.
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A. buys or sells currency to balance the FI's net exposure.
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E. advises customers on their international business.
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Q:
Which of the following is NOT included as high-quality liquid assets when computing a liquidity coverage ratio?
A. Sovereign debt.
B. Bank capital.
C. Government guaranteed mortgage-backed securities.
D. Central bank reserves.
E. Cash.
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What are the two major liquidity risk insulation devices available?
A. Deposit insurance and discount window.
B. Liquidity planning and maturity ladder.
C. Scenario analysis and liquidity index.
D. Financing gap and the financing requirement.
E. Secondary credit and seasonal credit.
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What information does the net liquidity statement provide?
A. A long-term focus on liquidity.
B. Sources and uses of liquidity.
C. Net asset value.
D. Liquidity index information.
E. Peer group ratio comparison.
Q:
Which of the following is NOT used as a method of measuring liquidity risk?
A. Liquidity coverage ratio.
B. Liquidity index.
C. Financing gap and financing requirement.
D. Peer group ratio comparison.
E. Current ratio.
Q:
In the event of financial distress, open-ended mutual fund investors
A. have an incentive to cash in their shares quickly since they are paid on a first come, first served basis.
B. have an incentive to avoid a run since that will deplete the fund net asset value.
C. have an incentive to cash in their shares quickly since that will increase the fund's net asset value.
D. will switch into low risk bank deposits.
E. have an incentive to avoid a run since the Federal Reserve guarantees mutual fund holdings.
Q:
What is the asset adjustment to a bank's balance sheet if the bank sold a five-year, 7 percent annual coupon $100,000 bond acquired at par, but now yielding 8 percent? The bond was not in the mark-to-market portfolio.
A. A $96,007 reduction in assets.
B. A $96,007 increase in assets.
C. A $100,000 reduction in assets.
D. A $100,000 increase in assets.
E. A $100,000 increase in liabilities.
Q:
If stored liquidity is used by a DI to fund an exercised loan commitment
A. the balance sheet will decrease by the amount of the new loan.
B. only the asset side of the balance sheet will increase.
C. the balance sheet will increase by the amount of the new loan.
D. only the liability side of the balance sheet will increase.
E. there will be no effect on the balance sheet.
Q:
Open-end mutual funds issue a fixed number of shares as liabilities.
Q:
Where are the contingent items disclosed in the financial statements?
A. On the assets side of the balance sheet.
B. On the liabilities side of the balance sheet.
C. As footnotes to financial statements.
D. In the income statement.
E. In the director's report.
Q:
Fees from derivative products are an increasing component of noninterest income for many FIs.
Q:
To be an affiliate of a holding company, the parent must own at least 50 percent of the shares of the affiliate company.