NO.PZ2020042003000090
问题如下:
The following statements are measures of
interest-sensitive gap, which of the following is NOT correct?
选项:
A. A Relative IS GAP greater
than zero means the institution is asset sensitive, while a negative Relative
IS GAP describes a liability-sensitive financial firm.
For an ISR (interest sensitivity ratio) of
less than 1, it is a liability-sensitive institution, while an ISR greater than
unity points to an asset-sensitive institution.
An interest-sensitive gap zero eliminates all
interest rate risk because the interest rates to assets and liabilities are
perfectly correlated in the real world
If
interest-sensitive assets (ISA) are $150M and interest-sensitive liabilities
(ISL) are $200M, then the Dollar IS GAP = ISA - ISL = $150M- $200M = -$50M.
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:C
解析:
选项C描述错误,在实务中,即便Interest-sensitive
gap是zero,依然存在Interest rate risk,因为资产与负债的对应的利率并不是完全相关。关于C选项改为正确的表述为:
a zero gap does not eliminate all interest
rate risk because the interest rates to assets and liabilities are not
perfectly correlated in the real world
Relative IS GAP 等于0,不是相当于资产和负债的敏感性相等吗?A为什么是对的