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六姑娘 · 2021年11月06日

能解释下d选项吗

NO.PZ2020042003000089

问题如下:

The following statements are about the net interest margin, which of the following statements is NOT correct?

选项:

A.

If interest-sensitive assets exceed the interest-sensitive liabilities subject to repricing, the financial firm has a positive gap and to be asset sensitive.

B.

An interest-sensitive bank’s liabilities are larger than its interest-sensitive assets. This bank then has a negative gap and is said to be liability sensitive.

C.

For positive gap, if interest rates rise, net interest margin will increase as the interest revenue generated will increase more than the cost of borrowed funds. A positive gap will lose net interest income if interest rates fall.

D.

For negative gap, rising interest rates will increase net interest margin.

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:D

解析:

选项D错误。对于Negative gap,当利率上升时,Net interest margin下降。

解释下d选项 我遇到这次利率变化的,不懂怎么去判定变化
1 个答案

品职答疑小助手雍 · 2021年11月06日

同学你好,Interest-sensitive gap = Interest-sensitive assets – Interest-sensitive liabilities

negative gap就是asset 小于liability的情况。

当利率上升的时候,asset增加的收益要小于liability,所以net interest margin会减少。

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