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Assume a bank has $200 million of assets with a duration of 2, and $100 million
Assume a bank has $200 million of assets with a duration of 2, and $100 million
游客
2025-06-20
35
管理
问题
Assume a bank has $200 million of assets with a duration of 2, and $100 million of liabilities with a duration of What is the duration gap for the bank?______.
选项
A、2
B、-1
C、0.5
D、-4
答案
C
解析
答案为C项。gap analysis“缺口分析法”,是银行利率风险管理最经常使用的工具之一。该法通过揭示净利息收入变化与利率敏感性缺口的大小之间的关系,来确定利率风险的头寸,并采取措施化解风险。净利息收入变动情况=利率变动×利率敏感性缺口。本题中,净利息收入变动=5%×($20一$50)=一$5million,故选C项。
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