Chapter 7 p181
Risks of Financial Intermediation
Table 7-1
Interest rate risk The risk incurred by an FI when the maturities of its assets and
liabilities are mismatched.
Market risk The risk incurred from assets and liabilities in an FIs trading book
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CHAPTER 12
1. 9.01, from Appendix 3.4
3. Reject Ho if F > 10.5, where degrees of freedom in the
numerator are 7 and 5 in the denominator Computed
F = 2.04. found by:
2
F=1 =204
s3 (7)
Do not reject Ho. There is no difference in the variations of
the two p
59. 0. Answers will vary as the number of cottages available and
61.
b.
c. Ho:p$0
their prices change. At this time there are 14 cottages that
meet the criteria. The correlation between the number of
baths and rental price is 0.668.
H0: p S 0 H1: p > 0
Re
Ho: p s 0; H,:p > 0. Reject Hoitt > 1.714.
t _ -_a_942125
\r'I _ I 94)?
Reject Ho. There is a positive correlation between
passengers and weight of luggage.
H: p s. 0; 1: p > O. Reject Ho ift > 2.764.
4.7V! 12 2
_L4T)_2=1.684
Do not reject Ho. There Is no
5. a. Police is the independent variable. and crime In the
dependent variable.
b.
18.0
3
g 12 0
D
6.0
12.0 16.0 20.0 24.0 28.0
Police
1;. = 6. 2(x - )"txv V) = 231.75.
= 5. 6737, sy = 6.4462
r= $21k. = 0. 6744
(a 1)(5. 6737)(6. 4462)
d. 0.7646. found by (
ADM
8.4 Critical Values of the F Distribution at a
1 Percent Level of Significance (concluded)
0 F
Degrees of FreedEI-n for the 0111666767
6 9 10 15mm 30 '
1 4052 5000 5764 5659 5931 6022 I 6056 IEOB I 6157 I 6209 62355 I 6261M; 6267
2 9
27. The null hypothesis is rejected because the F statistic (8.26)
is greater than the critical value (5.61) at the .01 significance
level. The p-value (.0019) is also less than the significance
level. The mean gasoline mileages are not the same.
29. a. T
Individualism
Representative Democrat
Collectivism
Social Democrat
Communist
Totalitarian
1. Communist
Totalitarianism
2. Theocratic
Totalitarianism:
monopolized by a
party group or
individual or family
govern according to
RELIGIOUS
3. Tribal
totalitarian
d. >~2.09.1ound by 23. H.011," ~ 11 11; M , W
0115 p10 FljemHll Ii 1.17 :10 I 40 2.1 - 11.114001! W141.
=.\/[10 00 x 6. 921/4001: 1(0T60 >2 0 021/400] 4, (:15 1114 7101' 1 1411 111111111 171070
9. H0 is rejected. The proportion infested is not the
Anderson Graduate School of Management
Decisions, Operations, and
Technology Management
(University of California, Los Angeles)
Year
Paper SB
The Treasury Bill Auction and the
When-Issued Market: Some Evidence
S. Bikhchandani
P. Edsparr
C. Huang
This pap
THE JOURNAL OF FINANCE VOL. LXI, NO. 5 OCTOBER 2006
Automation versus Intermediation: Evidence
from Treasuries Going Off the Run
MICHAEL J. BARCLAY, TERRENCE HENDERSHOTT, and KENNETH KOTZ
ABSTRACT
This paper examines the choice of trading venue by dealers
Notes 9: Credit Risk Capital
MS 4226, Spring 2015
Guangwu Liu
1 / 29
Requirements of An Ideal CR Model
Instrument characteristics
Seniority
Collateral/guarantee
Company characteristics
Financial leverage
Balance liquidity
Type of the business: cyclical, g
Notes 8: Credit Risk Management (Part 2)
MS 4226, Spring 2015
Guangwu Liu
1 / 41
Outlines
This lecture will cover the following
Credit default swaps (CDS)
Estimating default probabilities from CDS
Estimating default probabilities from Mertons model
2 / 41
Notes 7: Credit Risk Management (Part 1)
MS 4226, Spring 2015
Guangwu Liu
1 / 44
Credit Risk
Denition of credit risk: Risk of economic loss from the failure of a
counterparty to fulll its contractual obligations.
Modes of credit risk
default mode; only if
Notes 6: Interest Rate Risk and Liquidity Risk
MS 4226, Spring 2015
Dr. Guangwu Liu
1 / 37
Interest Rate Risk
Interest rate risk is more dicult to manage than the risk
arising from market variables such as equity prices, exchange
rates, and commodity pric
Notes 4: Market Risk Management
MS 4226, Spring 2015
Guangwu Liu
Department of Management Sciences, City University of Hong Kong
1 / 44
Market Risk
Market risk: the risk of losses due to movements in nancial
market variables, such as
interest rates
foreig
Notes 5: Volatility
MS 4226, Spring 2015
Guangwu Liu
Department of Management Sciences, City University of Hong Kong
1 / 34
Measuring Volatility
A portfolio may depend on many market variables, e.g.,
interest rates, exchange rates, equity prices, commodit
Chapter 1
Why Are Financial Intermediaries (FIs)
Special?
Why did US have crisis in 2007?
Objectives:
Explain the special role of FIs in the financial
system and the functions they provide
Explain why the various FIs receive special
regulatory attentio
Chapter3. Audit planning
A. Audit planning procedures < 11 >
Appointment of independent auditor
o
Communication with predecessor auditor (4 )
. Reasons for the change in auditors
. Disagreement with management
. Communication to audit committee
. Integri