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pinzhixiaoguo · 2022年11月06日

想问一下D选项

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000091

问题如下：

Net interest margin of a financial-service provider is influenced by multiple factors, which of the following statements is NOT correct?

选项：

A.

the spread between borrowing costs and interest revenues is constant, thus the net interest margin is influenced by the volume of assets and liabilities.

B.

Net interest margin is influenced by changes in the volume of interest-bearing assets a financial institution holds

C.

Net interest margin is influenced by changes in interest-bearing liabilities that are used to fund earning assets.

D.

Net interest margin is influenced by changes in the mix of assets and liabilities that management draws upon.

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：A

解析：

选项A错误，Spread不能保持恒定，A选项说的Constant错误。

这道题的D选项要如何理解？感觉看不太懂这句话

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1 个答案

DD仔_品职助教 · 2022年11月06日

嗨，努力学习的PZer你好：


net interest margin会受到管理层利用的资产和负债组合变化的影响，因为asset会产生int income，而负债会产生int expense，所以管理层对于asset和liab的管理会导致net int=int income-int exp发生变化，从而导致net int margin变化。

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