Bài giảng Chương 4- Quản trị Tài sản – Nguồn vốn của Ngân hàng (ALM)

Tom tat Bai giang Chuong 4- Quan tri Tai san – Nguon von cua Ngan hang (ALM): ... for a given change in interest rates. Duration GAP considers the impact of changing rates on the market value of equity. Rate sensitive Asset/Liabilities (RSAs vs RSLs) and Non rate sensitive (NRS) RSAs/ RSLs are assets or liabilities whose interest return or cost vary with interest rate movements ...extended period Example on Interest sensitive GAP Example A bank makes a $10,000 four-year car loan to a customer at fixed rate of 8.5%. The bank initially funds the car loan with a one-year $10,000 CD at a cost of 4.5%. The bank’s initial spread is 4%. What is the bank’s one year gap? Example Tradi...d between assets yields and interest costs such that the rate on RSAs increases to 8.5% and the rate on RSLs increase to 5.5%? A proportionate doubling in size of the bank? 1% increase in short-term rates With a negative GAP, more liabilities than assets reprice higher; hence NII and NIM fall 1% dec...