1、第 1 页，共 6 页对外经济贸易大学银行管理学试卷库之三第一部分：必答题。合计 40 分。以下数据是三家银行 2003 年 12 月 31 日的资产负债表数据和 2003 年度的损益表数据，这三家银行分别是中国工商银行（ICBC） 、美国富国银行（WF） 、美国社区国民银行（CNB） 。根据这些数据回答下列全部问题。Part I. Required questions: You are required to answer all of the following questions. The following are the balance sheet data (on Dec. 31,
2、 2003) and income statement data (fore the year of 2003) for one Chinese Bank (Industrial and Commercial Bank of China, ICBC) and two American banks (Wells Fargo, WF, and Community National Bank, CNB). （1）请根据下表数据计算三家银行的资产利润率和资本利润率（请注明公式） 。4 分。Please calculate ROA and ROE for three banks using the ab
3、ove data.（2）请根据下表数据计算中国工商银行（ICBC）的如下比率（请注明公式） 。6 分。Please calculate the following ratios for ICBC using the above data.a) 股权乘数 Equity Multiplierb) 费用比率 Expense Ratioc) 资产利用比率 Asset Utilization Ratiod) 利差 Spreade) 负担比率 Burden Ratiof) 效率比率 Efficiency Ratio（3）以中国工商银行的上述数据为例，说明如下比率之间的关系，用上述结论加以验证，并说明运用这
4、种关系进行分析的作用。6 分。Using ICBC as an example, explain the relationship among the following ratios and use the above results to prove it. Then explain how we can use such relationship in analysis.a) 资产利润率 Return on Assets (ROA)b) 资本利润率 Return on Equity (ROE)c) 股权乘数 Equity Multiplierd) 费用比率 Expense Ratioe)
5、 资产利用比率 Asset Utilization Ratio（4）比较 ICBC 与 WF 的资产负债结构数据，找出三项主要差别，分析其影响、主要形成原因及 ICBC（或相关单位）可以采取的相应对策。8 分。Compare the balance sheet structure of ICBC and WF, and find three major differences. Explain their impact, reasons and counter measures ICBC and other related parties might take.（5）比较 ICBC 与 WF
6、的损益结构数据，找出一项主要差别，分析其影响、主要形成原因及 ICBC（或相关单位）可以采取的相应对策。6 分。Compare the income statement structure of ICBC and WF, and find one major difference. Explain its impact, reasons and counter measures ICBC and other related parties might take.（6）比较 WF 与 CNB 的资产负债结构数据，找出两项主要差别，分析其影响和主要形成原因。6 分。Compare the bala
7、nce sheet structure of WF and CNB, and find two major differences. Explain their impact and reasons.（7）比较 WF 与 CNB 的损益结构数据，找出一项主要差别，分析其影响和主要形成原因。4 分。Compare the income statement structure of WF and CNB, and find one major difference. Explain its impact and reasons.商业银行经营学共 6 页，其中其中第 4 页至 7 页为答题纸，第 8
8、 页为草稿纸（草稿纸不可撕下）第 2 页，共 6 页ICBC WF CNB总资产(人民币，亿) Total Assets (RMB, 100m) 52,791 32,071 12现金(假设均无利息收入) Cash (no interest) 10.3% 4.7% 5.4%贷款 Loans 64.3% 76.6% 66.2%贷款呆账准备 Loan Loss Allowance -0.4% -1.0% -0.5%证券投资 Security Investment 21.9% 8.5% 24.6%固定资产（假设无利息收入）Fixed Assets (no interest) 1.5% 0.9% 2.7
9、%其他资产（假设无利息收入）Other Assets (no interest) 2.5% 10.4% 1.7%存款 Deposits 91.3% 63.8% 92.1%借入款 Borrowings 1.5% 22.8% 0.9%其他负债（假设不支付利息 Other Liabilities (No interest) 3.9% 4.5% 0.0%股东权益 Owners Equity 3.3% 8.9% 7.0%利息收入 Interest Income 93.4% 61.1% 86.6%利息支出 Interest Expense -36.9% -10.7% -25.4%提取呆账准备 Provis
10、ions -19.7% -5.4% -3.2%非利息收入 Noninterest Income 6.5% 38.9% 13.4%非利息支出 Noninterest Expense -41.9% -54.1% -57.4%所得税 Income Tax 0.0% -10.3% 4.3%总营业收入 Total Operating Revenue (%) 100.0% 100.0% 100.0%总营业收入（亿元人民币）Total Operating Revenue (RMB, 100m) 1,760 2,631 0.94 第二部分：选答题。你需要从以下 15 个问题中任选 10 个作答。答题数量超过1
11、0 个的，按得分最高的 10 个计分。在回答时，请对所回答的内容进行适当解释。每题 6 分，共 60 分。Part II. Selective questions: You are required to select TEN questions from the following fifteen questions. If more than TEN questions are answered, the ones with the highest scores will be counted. In answering, please explain the main points. 1
12、. 影响银行业变化的五个基本因素是什么？What are the fundamental forces of changes in Banking?2. 评估商业贷款申请的四个步骤是什么？What is the four-part process in evaluating a commercial loan request?3. 在评估消费者贷款申请时，运用评分体系的优势和劣势主要是什么？In evaluating consumer loan requests, what are the major advantages and disadvantages of using credit s
13、coring system? 4. 银行持有现金资产的四个目标是什么？What are the four objectives of holding cash assets by banks?5. 银行流动性、盈利性与风险三者之间存在什么样的关系？What is the relationship among liquidity, profitability and risk in a bank?6. What are the major risks a bank face in its operation? Explain each risk briefly.银行经营中面临的主要风险有哪些？简
14、要解释每一种风险。7. 银行资本的主要功能是什么？资本是如何实现这一功能的？What is the function of bank capital? How does it achieve this function? 商业银行经营学共 6 页，其中其中第 4 页至 7 页为答题纸，第 8 页为草稿纸（草稿纸不可撕下）第 3 页，共 6 页8. 在评估消费者贷款时，什么是好贷款的 5 个 C？。In evaluating consumer loan requests, what are the five Cs? 9. 简要比较商业贷款申请的评估与消费者贷款申请的评估。Compare the
15、credit analysis of commercial loan requests and consumer loan requests. 10. 处置抵押品显然并不是获得贷款偿还的最佳方法。为什么？Liquidating collateral is clearly a second best source of repayment. Why?11. 试说明并比较中间业务与表外业务的概念，同时说明这两类业务主要都包括哪些业务。Explain and compare the concepts of Fee-based Business and Off-Balance-Sheet Items.
16、 And explain the specific types of business included in these two categories. 12. 从 2004 年 10 月 29 日起，金融机构（不含城乡信用社）的贷款利率原则上不再设定上限，这对我国商业银行有什么样的影响？Starting from October 29, 2004, the ceiling on the loans of financial institutions (excluding urban and rural credit unions) is eliminated in principle. W
17、hat is its impact on Chinese banks?13. 简要说明不良贷款定价的特殊性及其主要方法。Why is pricing non-performing loans (NPLs) special? What are the main ways to price NPLs? 14. 简要阐述银行风险管理过程的四个基本环节。What are the four steps banks employee in managing risks?15. 什么是利率敏感性缺口？商业银行在经营管理过程中如何运用利率敏感性缺口战略？What is an interest rate sen
18、sitive gap? How does a bank use interest rate sensitive gap strategy? 对外经济贸易大学银行管理学试卷库之三参考答案及评分标准第一部分：必答题 （1）ICBC WF CNBa) ROE 0.05% 1.60% 0.77%b) ROA 1.45% 17.98% 10.91%（2）ICBCa) 30.3 b) -3.3%c) 3.3%d) 2.3%e) -1.2%f) -66.5%（3） ROA=AUER = (TR / TA) (TE / TA)EMROATNIRE商业银行经营学共 6 页，其中其中第 4 页至 7 页为答题纸，
19、第 8 页为草稿纸（草稿纸不可撕下）第 4 页，共 6 页（4）现金资产；借入款；资本。（5）非利息收入与总收入。（6）资产中贷款与有价证券，负债中借入款。（7）非利息收入。第二部分：选答题。每题 6 分，共 60 分。1. 影响银行业变化的五个基本因素是什么？What are the fundamental forces of changes in Banking?a) Deregulation and reregulationb) Financial innovationc) Securitization d) Globalizatione) Advances in technology2
20、. 评估商业贷款申请的四个步骤是什么？What is the four-part process in evaluating a commercial loan request?a) Overview of management, operations, and the firms industryb) Common size and financial ratio analysisc) Analysis of cash flowd) Projections and analysis of the borrowers financial condition3. 在评估消费者贷款申请时，运用评分
21、体系的优势和劣势主要是什么？In evaluating consumer loan requests, what are the major advantages and disadvantages of using credit scoring system? a) The benefits include: Lower costs if scoring and decision making are done mechanically; Timely decisions; Avoidance of discriminationb) The primary difficulty is: Th
22、e credit scoring models must be statistically verified and continually updated, which can be expensive.4. 银行持有现金资产的四个目标是什么？What are the four objectives of holding cash assets by banks?a) Supply coin and currencyb) Mandated legal reserve requirementsc) Clearingd) Purchase services from correspondent
23、banks5. 银行流动性、盈利性与风险三者之间存在什么样的关系？What is the relationship among liquidity, profitability and risk in a bank?a) There is a short-run trade-off between liquidity and profitability. The more liquid a bank is, the lower are its ROE and ROA, all other things being equal. Both asset and liability liquidit
24、y contribute to this relationship.b) Long-term earnings will exceed peer banks earnings, as will bank capital and overall liquidity. c) Banks that experience liquidity problems: can often trace the source to either credit risks or interest rate risk.6. What are the major risks a bank face in its ope
25、ration? Explain each risk briefly.银行经营中面临的主要风险有哪些？简要解释每一种风险。a) Credit risk商业银行经营学共 6 页，其中其中第 4 页至 7 页为答题纸，第 8 页为草稿纸（草稿纸不可撕下）第 5 页，共 6 页b) Liquidity riskc) Market riskd) Operational riske) Reputation riskf) Legal risk7. 银行资本的主要功能是什么？资本是如何实现这一功能的？What is the function of bank capital? How does it achie
26、ve this function? a) Reduce bank risk.b) A cushion to absorb losses and remain solventc) A ready access to financial markets and thus guards against liquidity problemsd) Constrains growth and limits risk taking8. 在评估消费者贷款时，什么是好贷款的 5 个 C？。In evaluating consumer loan requests, what are the five Cs? a)
27、 Character: honesty and trustworthiness. b) Capital: wealth position measured by financial soundness and market standing. c) Collateral: secondary source of repayment or security in the case of default. d) Customer relationships e) Competition 9. 简要比较商业贷款申请的评估与消费者贷款申请的评估。Compare the credit analysis
28、of commercial loan requests and consumer loan requests. a) Analysis of consumer loans differ from that of commercial loans: When evaluating measurable aspects of requests, banks are addressing the same issues. Banks have to deal with a large number of distinct borrowers with different personalities
29、and financial characteristics. b) Consumer loans differ so much in design that no comprehensive analytical format applies to all loans. For most consumer loans, there is no formal analysis of individual borrower characteristics unless a credit scoring model is used. Installment loans are treated muc
30、h like commercial loans. The quality of financial data is lower: Unaudited. The primary source of repayment is current income, which may be highly volatile. The net effect is that character is more difficult to assess, but extremely important.10. 处置抵押品显然并不是获得贷款偿还的最佳方法。为什么？Liquidating collateral is c
31、learly a second best source of repayment. Why?a) There are three reasons: b) There are significant transactions costs associated with foreclosure. Time, money. c) Bankruptcy laws allow borrowers to retain possession of the collateral long after they have defaulted. d) When the bank takes possession
32、of the collateral, it deprives the borrower of the opportunity to salvage the company.11. 试说明并比较中间业务与表外业务的概念，同时说明这两类业务主要都包括哪些业务。Explain and compare the concepts of Fee-based Business and Off-Balance-Sheet Items. And explain the specific types of business included in these two categories. a) “中间业务是指不
33、构成商业银行表内资产、表内负债，形成银行非利息收入的业务。 ”b) 表内业务：资产业务和负债业务；业务发生时直接进入资产负债表的业务。商业银行经营学共 6 页，其中其中第 4 页至 7 页为答题纸，第 8 页为草稿纸（草稿纸不可撕下）第 6 页，共 6 页c) 表外业务：业务发生时不进入资产负债表，但将来有可能进入资产负债表的业务。有风险的中间业务。d) 广义的中间业务 = 广义的表外业务 = 狭义的中间业务 + 狭义的表外业务e) 狭义的中间业务：支付结算类、银行卡、代理类、咨询顾问类、保管类f) 狭义的表外业务：担保类、承诺类、交易类（衍生产品交易的风险管理）12. 从 2004 年 10
34、 月 29 日起，金融机构（不含城乡信用社）的贷款利率原则上不再设定上限，这对我国商业银行有什么样的影响？Starting from October 29, 2004, the ceiling on the loans of financial institutions (excluding urban and rural credit unions) is eliminated in principle. What is its impact on Chinese banks?a) 利率管制与不良贷款的形成：用图表示b) 放开利率，实际上主要是放开信用风险补偿13. 简要说明不良贷款定价的特
35、殊性及其主要方法。Why is pricing non-performing loans (NPLs) special? What are the main ways to price NPLs? a) 天下没有卖不出去的东西，只有定价不对的东西。b) 理论价格：一笔贷款实质上是一系列未来现金流的承诺，其价值等于这些未来现金流的现值。 c) 评估（粗略估计）：担保资产评估、企业资信评估、贷款质量评估d) 市场发现：拍卖、招投标e) 延期定价：信托、债转股f) 二手车市场、信息不对称与不良贷款14. 简要阐述银行风险管理过程的四个基本环节。What are the four steps bank
36、s employee in managing risks?a) 识别：在质上把握风险因素b) 估计：在量上把握风险损的失程度（概率、损失率）c) 监督：尽可能提前发现问题d) 控制：风险预防、风险规避、风险分散、风险转嫁、风险抑制、风险补偿15. 什么是利率敏感性缺口？商业银行在经营管理过程中如何运用利率敏感性缺口战略？What is an interest rate sensitive gap? How does a bank use interest rate sensitive gap strategy? a) 缺口 = 利率敏感性资产 利率敏感性负债b) 缺口战略的类型：（1）零缺口战略。无论市场利率如何变化，银行都能维持预期的净收入。 （2）正缺口战略。银行的研究部门预测市场利率正在进入上升阶段时应采取这种战略。 （3）负缺口战略。如果预测市场利率会下降，银行就应选择负缺口战略。
