Exam 5: Interest Rate Risk Measurement: The Repricing Model

Because the repricing model ignores the market value effect of changing interest rates, the repricing gap is an incomplete measure of the true interest rate risk exposure of an FI.

(True/False)

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Question 41

The repricing model ignores information regarding the distribution of assets and liabilities within maturity buckets. This limitation of the model refers to:

(Multiple Choice)

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Question 42

The Reserve Bank of Australia's (RBA) undertook actions in regards to their open market operation in the post global financial crisis environment to move financial markets towards greater stability. This was achieved by:

(Multiple Choice)

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Question 43

Which of the following statements is true?

(Multiple Choice)

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Question 44

Which of the following statements is true?

(Multiple Choice)

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Question 45

Which of the following statements is true?

(Multiple Choice)

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Question 46

If the spread between rate sensitive assets and rate sensitive liabilities increases for a bank, future changes in interest rates will lead to an increase in net interest income.

(True/False)

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Question 47

Which of the following statements is true?

(Multiple Choice)

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Question 48

Which of the following statements is true?

(Multiple Choice)

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Question 49

Over-aggregation and runoffs are the major problems associated with the repricing gap.

(True/False)

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Question 50

Which of the following statements is true?

(Multiple Choice)

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Question 51

What is meant by the 'run-off' problem and how can bank managers deal with this problem?

(Essay)

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Question 52

An FI with a positive gap of $30 million suffers a $0.15 million decrease in its net interest income if interest rates increase by 0.5 per cent.

(True/False)

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Question 53

Which of the following statements is true?

(Multiple Choice)

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Question 54

Consider the following repricing buckets and gaps: What is the annualised change in the bank's future net interest income if the average rate change for assets and liabilities that can be repriced within one year is a decrease of 100 basis points?

(Multiple Choice)

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Question 55

Which of the following statements is true?

(Multiple Choice)

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Question 56

Consider the following information to answer the question: What is the repricing gap for the FI?

(Multiple Choice)

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Question 57

Which of the following are rate-sensitive liabilities?

(Multiple Choice)

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Question 58

Would you consider the repricing model to be a good and well-founded interest rate risk measurement and management tool? Why or why not?

(Essay)

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Question 59

How do you interpret the position of an FI with a positive on-balance-sheet gap and a negative off-balance sheet gap?

(Multiple Choice)

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Question 60

Showing 41 - 60 of 69

Because the repricing model ignores the market value effect of changing interest rates, the repricing gap is an incomplete measure of the true interest rate risk exposure of an FI.

The repricing model ignores information regarding the distribution of assets and liabilities within maturity buckets. This limitation of the model refers to:

The Reserve Bank of Australia's (RBA) undertook actions in regards to their open market operation in the post global financial crisis environment to move financial markets towards greater stability. This was achieved by:

Which of the following statements is true?

Which of the following statements is true?

Which of the following statements is true?

If the spread between rate sensitive assets and rate sensitive liabilities increases for a bank, future changes in interest rates will lead to an increase in net interest income.

Which of the following statements is true?

Which of the following statements is true?

Over-aggregation and runoffs are the major problems associated with the repricing gap.

Which of the following statements is true?

What is meant by the 'run-off' problem and how can bank managers deal with this problem?

An FI with a positive gap of $30 million suffers a $0.15 million decrease in its net interest income if interest rates increase by 0.5 per cent.

Which of the following statements is true?

Consider the following repricing buckets and gaps: What is the annualised change in the bank's future net interest income if the average rate change for assets and liabilities that can be repriced within one year is a decrease of 100 basis points?

Which of the following statements is true?

Consider the following information to answer the question: What is the repricing gap for the FI?

Which of the following are rate-sensitive liabilities?

Would you consider the repricing model to be a good and well-founded interest rate risk measurement and management tool? Why or why not?

How do you interpret the position of an FI with a positive on-balance-sheet gap and a negative off-balance sheet gap?

Why Are Financial Institutions Special

The Financial Services Industry: Depository Institutions

The Financial Services Industry: Other Financial Institutions

Risk of Financial Institutions

Interest Rate Risk Measurement: the Duration Model

Managing Interest Rate Risk Using Off Balance Sheet Instruments

Credit Risk I: Individual Loan Risk

Market Risk

Credit Risk I: Individual Loan Risk

Credit Risk II: Loan Portfolio and Concentration Risk

Sovereign Risk

Foreign Exchange Risk

Liquidity Risk

Liability and Liquidity Management

Off-Balance-Sheet Activities

Technology and Other Operational Risk

Capital Management and Adequacy

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