制卧台贸易上兰 银行管理学 5.A rate sensitivity report classifies a bank's assets and liabilities into time intervals according to the minimum number of days until each instrument can be repriced.It then reports GAP values on a periodic basis for each time interval,and on a cumulative basis through each time interval.The better reports incorporate a specific interest rate forecast and assign cash flows to time intervals based on when assets and liabilities are expected to reprice given the rate environment. 6.A positive GAP indicates that a bank has more rate sensitive assets than liabilities,and that net interest income will generally rise (fall)when interest rates rise (fall).A negative GAP indicates that a bank has more rate sensitive liabilities than rate sensitive assets,and that net interest income will generally fall(rise)when interest rates rise(fall). 7.A bank that is positioned to gain when rates rise and lose when rates fall is labeled asset sensitive.A bank that is positioned to gain when rates fall and lose when rates rise is labeled liability sensitive. 8.There is no general optimal value for a bank's GAP in all environments.GAP is a measure of interest rate risk.The best GAP for a bank can be determined only by evaluating a bank's overall risk and return profile and objectives.Generally,the farther a bank's GAP is from zero,the greater is the bank's risk.Many banks establish GAP policy targets to control interest rate risk by specifying that GAP as a fraction of earning assets should be plus or minus 15%,or the ratio of RSAs to RSLs should fall between 0.9 and 1.1.Generally,these static measures of risk are bad because they ignore the dynamic nature of rate sensitive assets and liabilities. 9.The primary advantage of GAP analysis is its simplicity.The primary weakness is that it ignores the time value of money.GAP analysis typically assumes that all rates change at the same time in the same direction and by the same amount,which never happens.GAP further ignores the impact of embedded options.For this reason,most banks conduct earnings sensitivity analysis,or pro forma analysis,to project earnings and the variation in earnings under different interest rate environments. 10.Earnings sensitivity analysis consists of six general steps:forecasting interest rates, identifying changes in the composition of assets and liabilities in different rate environments,forecasting when embedded options will be exercised,identifying when specific assets and liabilities will reprice given the rate environment,estimating net interest income and net income,and repeating the process to compare forecasts of net interest income and net income across rate environments. 11.The concept of earnings at risk indicates the potential variation in net interest income and/or net income across different interest rate environments,given different assumptions about balance sheet composition,when embedded options will be exercised and the timing of repricings.It demonstrates the potential volatility in earnings across these environments. 12.The greater is the potential variation in earnings(earnings at risk),the greater is the amount of risk assumed by a bank.Alternatively,some banks focus on the risk of loss.As such,the greater is the potential reduction in earnings from target,the greater is the amount of risk. 第9页共29页银行管理学 第 9 页 共 29 页 5. A rate sensitivity report classifies a bank’s assets and liabilities into time intervals according to the minimum number of days until each instrument can be repriced. It then reports GAP values on a periodic basis for each time interval, and on a cumulative basis through each time interval. The better reports incorporate a specific interest rate forecast and assign cash flows to time intervals based on when assets and liabilities are expected to reprice given the rate environment. 6. A positive GAP indicates that a bank has more rate sensitive assets than liabilities, and that net interest income will generally rise (fall) when interest rates rise (fall). A negative GAP indicates that a bank has more rate sensitive liabilities than rate sensitive assets, and that net interest income will generally fall (rise) when interest rates rise (fall). 7. A bank that is positioned to gain when rates rise and lose when rates fall is labeled asset sensitive. A bank that is positioned to gain when rates fall and lose when rates rise is labeled liability sensitive. 8. There is no general optimal value for a bank's GAP in all environments. GAP is a measure of interest rate risk. The best GAP for a bank can be determined only by evaluating a bank's overall risk and return profile and objectives. Generally, the farther a bank’s GAP is from zero, the greater is the bank’s risk. Many banks establish GAP policy targets to control interest rate risk by specifying that GAP as a fraction of earning assets should be plus or minus 15%, or the ratio of RSAs to RSLs should fall between 0.9 and 1.1. Generally, these static measures of risk are bad because they ignore the dynamic nature of rate sensitive assets and liabilities. 9. The primary advantage of GAP analysis is its simplicity. The primary weakness is that it ignores the time value of money. GAP analysis typically assumes that all rates change at the same time in the same direction and by the same amount, which never happens. GAP further ignores the impact of embedded options. For this reason, most banks conduct earnings sensitivity analysis, or pro forma analysis, to project earnings and the variation in earnings under different interest rate environments. 10. Earnings sensitivity analysis consists of six general steps: forecasting interest rates, identifying changes in the composition of assets and liabilities in different rate environments, forecasting when embedded options will be exercised, identifying when specific assets and liabilities will reprice given the rate environment, estimating net interest income and net income, and repeating the process to compare forecasts of net interest income and net income across rate environments. 11. The concept of earnings at risk indicates the potential variation in net interest income and/or net income across different interest rate environments, given different assumptions about balance sheet composition, when embedded options will be exercised and the timing of repricings. It demonstrates the potential volatility in earnings across these environments. 12. The greater is the potential variation in earnings (earnings at risk), the greater is the amount of risk assumed by a bank. Alternatively, some banks focus on the risk of loss. As such, the greater is the potential reduction in earnings from target, the greater is the amount of risk