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410140980 · 2023年08月01日

Relative IS GAP

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 gapzero,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

Relative IS GAP 等于0,不是相当于资产和负债的敏感性相等吗?A为什么是对的

1 个答案

品职答疑小助手雍 · 2023年08月02日

同学你好,认真读题,A选项说的是Relative IS GAP大于0和小于0时候的情况,没说等于0时候的。