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.
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.
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.
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。
positive gap 就是interest sensitive liability大于asset,所以r下降的时候 liability下降的就更多,那net interest margin不就是上升嘛