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早睡早起快乐学习 · 2022年10月24日

这道题答案有误吧

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000089

问题如下：

The following statements are about the net interest margin, which of the following statements is NOT correct?

选项：

A.

If interest-sensitive assets exceed the interest-sensitive liabilities subject to repricing, the financial firm has a positive gap and to be asset sensitive.

B.

An interest-sensitive bank’s liabilities are larger than its interest-sensitive assets. This bank then has a negative gap and is said to be liability sensitive.

C.

For positive gap, if interest rates rise, net interest margin will increase as the interest revenue generated will increase more than the cost of borrowed funds. A positive gap will lose net interest income if interest rates fall.

D.

For negative gap, rising interest rates will increase net interest margin.

解释：

考点：对Risk Management for Changing Interest Rates: ALM and Duration Techniques- Protect The Net Interest Margin的理解

答案：D

解析：

选项D错误。对于Negative gap，当利率上升时，Net interest margin下降。

gap是positive的时候，根据讲义，interest rate上升，NW是下降的呀？然后gap是negative的时候，interest rate 上升，NW上升的，为啥D错了？

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1 个答案

李坏_品职助教 · 2022年10月24日

嗨，从没放弃的小努力你好：


这里的gap指的是：

如果gap为负数，那么说明interest sensiive liabilitie超过了assets。利率上升，那么libilities的cost上升会超过assets带来的revenue，所以会lower interest margin

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努力的时光都是限量版，加油！

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