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  3. 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  0
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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