pzqa39 · 2025年02月06日
嗨，努力学习的PZer你好：
试题:Frank Bloomfield, a risk manager and asset-liability committee (ALCO) member at Bloomfield Bank, makes two statements to investors regarding the impact on the bank’s capital and profitability. The bank has a positive leverage-adjusted duration gap and negative interest-sensitive (IS) gap. Bloomfield states the following:Which of the following is most correct?
选项：
选项A :
Both statements made by Bloomfield are correct.
选项B :
Both statements made by Bloomfield are incorrect.
选项C :
Statement 1 is correct; Statement 2 is incorrect.
选项D :
Statement 1 is incorrect; Statement 2 is correct.
B 布鲁姆菲尔德提出的两个观点都是不正确的。如果银行的久期缺口为正，随着利率的上升，资本将会减少。资产价值的下降会超过负债价值的下降，从而减少了资本。如果银行的利率敏感性缺口（IS Gap）为负，在利率上升的环境下，资金成本的上升速度将超过生息资产收益率的上升速度，这将压缩银行的净利息边际（NIM）。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
