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Assume a bank with the duration gap of — A______in interest rates will______ ban
Assume a bank with the duration gap of — A______in interest rates will______ ban
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2025-06-20
17
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问题
Assume a bank with the duration gap of — A______in interest rates will______ bank’s net worth.
选项
A、fall...reduce
B、fall...increase
C、rise…reduce
D、change…have no effect on
答案
A
解析
答案为C项。duration“持续期,久期”,是指某项资产或负债以现值方式收回其价值的时间。一般而言,对于那些一次性支付的金融工具,持续期等于该工具的期限;对于那些多次支付的金融工具,持续期总是小于其期限。duration gap,DGAP“持续期缺口”,可用于衡量银行资产负债的利率风险。计算公式为:DGAP=资产持续期一总负债/总资产×负债持续期。本题中,DGAP=2一100/200×3=0.5,故选C项。
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