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Suppose that a business line of a bank has a loan book of USD 100 million. The average interest rate is 10%. The book is funded at a cost of USD 5.5 million. The economic capital against these loans is USD 7.5 million (7.5% of the loan value) and is invested in low risk securities earning 5.5% per annum. Operating costs are USD 1.5 million per annum and the expected loss on this portfolio is assumed to be 1% per annum (i.e., USD 1 million). The firm's cost of capital is 15%. The RAROC for this business line is:

A) 26.7%

B) 37.1%

C) 21.2%

D) 32.2%

答案：D

解析：The RAROC for this business line is: Risk-adjusted return / Risk-adjusted

capital = (100*0.1-5.5-1.5-1 7.5*0.055)/7.5=2.4125 / 7.5 = 32.2%

The formation of large bank holding companies results in diseconomies of scope with respect to:

A) Risk management.

B) Technology.

C) Marketing.

D) Financial innovation.

答案：A

解析：Some argue that information technology, marketing, and financial innovation result in economies of scope for large bank holding companies. Conversely, the recent financial crisis raised the concern that the size of bank holding companies creates diseconomies of scope with respect to risk management.

Afirm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13%, the risk-free rate is 3%, the market return is 11%, and the firm’s equity beta is 1.3. Use adjusted risk-adjusted return on capital (ARAROC) to determine whether or not the project should be accepted. This firm should:

A) Reject the project because its expected ARAROC is higher than the risk-free rate.

B) Accept the project because its expectedARAROC is higher than the market’s risk-free rate

C) Accept the project because its expectedARAROC is lower than the market’s risk-free rate

D) Reject the project because its expected ARAROC is lower than the market’s risk-free rate

答案：D

解析：ARAROC = 0.13-1.3*(0.11-0.03)=2.6% The project should be rejected because theARAROC of 2.6% is less than the risk-free rate.

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