2. 外语
  3. Assume a bank has $200 million of assets with a duration of 2, and $100 million of liabilities with a duration of What is the du

Assume a bank has $200 million of assets with a duration of 2, and $100 million of liabilities with a duration of What is the du

admin2011-01-24  66
问题 Assume a bank has $200 million of assets with a duration of 2, and $100 million of liabilities with a duration of What is the duration gap for the bank?______.
选项 A、2
B、-1
C、0.5
D、-4
答案C
解析 答案为C项。gap analysis“缺口分析法”，是银行利率风险管理最经常使用的工具之一。该法通过揭示净利息收入变化与利率敏感性缺口的大小之间的关系，来确定利率风险的头寸，并采取措施化解风险。净利息收入变动情况=利率变动×利率敏感性缺口。本题中，净利息收入变动=5％×($20一$50)=一$5million，故选C项。
转载请注明原文地址:https://www.kaotiyun.com/show/diYd777K
本试题收录于： FECT综合（现代金融业务）题库金融英语（FECT）分类
0

FECT综合（现代金融业务）

金融英语（FECT）

相关试题推荐
随机试题
最新回复(0)