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.
B. 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.
C. 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
D. 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
ISR的公式是什么？
