错题 改一下

问题如下：

The CRO of a regional bank wants to ensure that the modeling assumptions used in the bank’s economic capital models are sound. The CRO asks a member of the validation team to review the bank’s process of assessing the interest rate risk in its banking book and to validate the assumptions used in its interest rate models. Which of the following assumptions would be most appropriate for the bank to make?

选项：

A.The bank changes the interest rate it offers to depositors by the full amount of any change in market interest rates. B.The bank models its retail non-maturity deposits as floating-rate, putable bonds. C.The bank assumes that its residential mortgages exhibit positive convexity as interest rates decrease. D.The bank models its interest rate risk in the banking book independently from its credit risk.

解释：

B is correct. There are two embedded options in non-maturity deposits. The first is the bank’s option to change the interest rate and to determine what interest rate to charge its depositors. The second is the depositors’ option to put the deposits back to the institution by withdrawing them. Given these characteristics, non-maturity deposits can be viewed as floating rate, putable bonds. A is incorrect. In addition, while banking institutions may change the offered deposit rates when market interest rates change, they do so with a lagged response, and by less than the full amount of the change in market rates. C is incorrect. Mortgages will have negative convexity as their value increases less than an option-free bond because of the prepayment option. D is incorrect. Interest rate risk and credit risk can interact, especially in stress situations, so the bank should incorporate a rule that links credit spread to changes in macroeconomic variables and interest rates.