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RyanR · 2023年04月07日

C选项怎么理解

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。

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

1 个答案

品职答疑小助手雍 · 2023年04月08日

同学你好,positive gap 指的是interest sensitive asset 大于 liability。

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