一、測驗題(20%)

( )1.個人在金融機構總授信金額達500萬元1,000萬元1,500萬元2,000萬元 應徵提最近年度綜合所得稅結算申報書。

( )2.企業總授信金額達1,500萬元2,000萬元2,500萬元3,000萬元 應徵提會計師財務報表查核報告

( )3.銀行辦理徵信調查,主要有直接調查間接調查直接調查和間接調查實地調查。

( )4.下列何者非動產擔保交易動產抵押附條件買賣依託占有動產質權。

( )5.下列何者非使用成本法估價時其建物折舊額之估計方法定額法定率法年數合計法償還基金法。

(  )6.若銀行對工業貸款之損失不得大於資本的10%,若損失率為0.4,則其貸款最多占銀行資本的10%20%25%30%

( )7.假設貸款分為違約及不違約二種,於是違約機率呈常態分配卡方分配二項式分配不一定。

( )8.某種類的貸款其系統損失敏感係數β值低,表示利率較低風險較高風險較易分散風險較難分散。

( )9.巴賽爾協議Ⅱ之風險調整資產不包括信用風險市場風險營運風險利率風險。

( )10.下列何者不影響風險溢酬無風險利率償還機率違約時之贖回率匯率變動率。

二、簡答題(24%)

1.影響不動產價格之因素有那三種?            2.不動產估價方法有那三種?

3.影響本益比(市價/盈餘)之因素有那三種?          4.欲求貸款投資組合之預期報酬及風險,則須決定那三件事?

三、解釋名詞(20%)

1.不動產抵押權    2. 動產抵押權    3. 動產質權 4. 比較標的       5. 限定價格

四、問答及計算(36%)

1.設零息國庫債與B級公司債之殖利率如左:國庫債一年期3%,二年期6%B級公司債一年期6%,二年期10%

  請問B級公司債第一年償還的機率?一年後B級公司債之一年期殖利率?一年後國庫債之一年期殖利率?B級公司債第二年償還的機率?B級公司債在兩年內違約的機率?[10%]

2.假設銀行給甲公司貸款承諾1,000,000元,貸款利率12%,承諾的前期手續費1.25%,承諾的尾期手續費2.5%,補償存款餘額為借款之10%,法定準備率10%,承諾期間平均動支率為75%,請問該貸款的(1)前期手續費收入? (2)尾期手續費收入?(3)利息收入?(4)預期報酬率?[8%]

3.Third Fifth Bank has the following balance sheet (in millions) with the risk weights in parentheses. 

    Assets     Liabilities and Equity

    Cash (0%) $20     Deposits $130

    Mortgage loans   (50%) $50     Subordinated debt (> 5 years)      $5

    Consumer loans (100%) $70     Equity     $5

   Total Assets $140     Total Liabilities & Equity     $140

    In addition, the bank has $20 million (100 percent) in commercial standby letters of credit and $40 million in 10-year forward contracts that are in the money by $1 million.

    a. What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basle Accord?

    b. What is the total capital required for both off- and on-balance-sheet assets?

   c. Does the bank have sufficient capital to meet the Basle requirements?  How much excess? How much short?[9]

4.A bank is planning to make a loan of $5,000,000 to a firm in the steel industry.  It expects to charge a servicing fee of 50 basis points. The loan has a maturity of 8 years and a duration of 7.5 years. The cost of funds (the RAROC benchmark) for the bank is 10 percent. Assume the bank has estimated the maximum change in the risk premium on the steel manufacturing sector to be approximately 4.2 percent, based on two years of historical data. The current market interest rate for loans in this sector is 12 percent.

a. Using the RAROC model, estimate whether the bank should make the loan?

b. What should be the duration in order for this loan to be approved?

c. Assuming that duration cannot be changed, how much additional interest and fee income would be necessary to make the loan acceptable?[9]

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