NO.PZ2024062801000053
问题如下：
A bank has the major part of its assets in 30-year fixed-rate mortgages. The bank has a small amount of core deposits but is mostly funded with repurchase agreements and negotiable certificates of deposit (CDs). Assuming the bank’s assets are approximately 10% greater than its liabilities, the bank’s leverage-adjusted duration gap is most likely:
选项：
A.
positive.
B.
negative.
C.
zero.
D.
equal to its duration gap.
解释：
鉴于其资产和负债的平均期限之间存在较大差异，经杠杆调整后的久期缺口将是正数。这家银行的资产期限较长（久期较长），而其负债期限较短（久期较短）。这意味着银行的久期缺口将是正的，而其利率敏感性缺口（IS Gap）可能为负（在收益率曲线呈正斜率的情况下）。简而言之，银行的资产比负债对利率变化更为敏感，长期资产占比大，短期负债占比大，这在利率上升时可能对其盈利造成不利影响。
老师好，leverage adjusted duration gap是啥意思？是和课件里interest sensitive gap是一个意思吗？
