Relative IS GAP

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