风险管理习题（Risk management exercises）.doc

风险管理习题（Risk management exercises） Job title: risk management intensive class 19 homework volume The details of 1. Single topic: 1, A bank with A two-year dollar deposits as A source of financing, two-year euro credit deposit according to the London interbank market interest rate pricing once A year, according to the American Treasury bonds and loans pricing once A year; The euro loan is a loan to be repaid in advance. The market risks faced by bank A do not include (d). A. exchange rate risk B. Base risk C. Option risk D, repricing risk 2. The risk of loss of business in and out of a bank account due to adverse changes in the market price is (a) risk. A, the market B, operating C, credit D, the price is 3. According to the implementation mode, the options can be divided into American and European options, and the following statements about them are not correct (c). A. In the same circumstances, the buyers right of the American option is greater than that of the European option B. In the same conditions as other conditions, the seller obligation of the American option is greater than the sellers obligation of the European option C. In the same conditions as other conditions, American options are generally less expensive than European options D, American options may not expire and be executed 4. If a banks foreign exchange exposure position is as follows, the yen bulls 150, mark bulls 200, sterling long 250, franc short 120, dollar short 280. The total foreign exchange exposure position calculated by the cumulative total exposure position is (d). A, 200, B, 400, C, 600 D, 1000 5. The longer the maturity of the financial instrument or the longer the next repricing date, and the smaller the amount paid before maturity, the greater the absolute value of the period (b). A, the same B, long C, short D. Cant judge 6, the Basel committee requirements when calculating the market risk capital, must be calculated risk value multiplied by a multiplier, the amount of capital to w