制卧台贸易上兰 银行管理学 liabilities,how much the durations change in different interest rate environments,and what happens to the market value of equity across different rate environments. 7 Generally,if a bank is liability sensitive in the sense that net interest income falls when rates rise and vice versa,it will likely have a positive DGAP suggesting that assets are more price sensitive than liabilities,on average.If a bank is asset sensitive in the sense that net interest income rises when rates rise and vice versa,it will likely have a negative DGAP suggesting that liabilities are more price sensitive than assets,on average. 8.DGAP analysis has the advantage of focusing on all cash flows from the underlying assets and liabilities and not just cash flows that are expected to arise over short time intervals.Interest rate risk can be summarized in one measure for the entire portfolio. 9.MVE sensitivity analysis focuses on long-term interest rate effects because it incorporates the present values of all expected cash flows.However,it is a liquidation analysis.The value for MVE is measured as the market value of assets minus the market value of liabilities.As such,it ignores other factors that affect the value of the firm,such as franchise value,contingent liabilities,the value of off-balance sheet activities,etc. 10.It is difficult to consistently alter either GAP or DGAP on balance sheet and increase earnings or the market value of stockholders'equity.Whenever management chooses to change asset and liability maturities and/or durations in anticipation of rate changes,it is placing a bet against forward rates from the yield curve. 11.The general level of interest rates and the shape of the yield curve appear to follow the U.S.business cycle.In expansionary stages,rates rise until they reach a peak as the Federal Reserve tightens credit availability.In contractionary stages,rates fall until they reach a trough when the U.S.economy falls into recession.Portfolio managers should consider this information when making choices regarding the maturities and durations of assets and liabilities and how to price them. Teaching Suggestions 1.It is important to point out that both GAP/Earnings Sensitivity and duration gap/MVE Sensitivity models are two ways of looking at the same type of phenomena.GAP and Earnings Sensitivity analysis focus on rate sensitivity.Duration gap and MVE Sensitivity focus on price sensitivity.Carefully distinguish between the two.An asset or liability that is extremely rate sensitive is not very price sensitive.If the asset or liability is extremely price sensitive,it is not very rate sensitive.Earnings sensitivity analysis focuses on short-term income effects and is important to bankers in their budgeting as well as their risk assessment.MVE sensitivity analysis focuses on longer-term interest rate effects on aggregate firm value.It is closely tied to ensuring that the bank remain solvent. 2.An example of the relationship between GAP and duration gap is helpful.Consider a bank that borrows federal funds overnight to buy 30-year zero coupon Treasury bonds. The liability is extremely rate sensitive as it reprices every day.It is not price sensitive because it will always trade near par.The zero coupon T-bond,however,is extremely price sensitive because it has a 30-year Macaulay's duration,but is not rate sensitive because the rate will not change for 30 years.The bank will have a negative GAP with this transaction and a positive DGAP. 第12页共29页银行管理学 第 12 页 共 29 页 liabilities, how much the durations change in different interest rate environments, and what happens to the market value of equity across different rate environments. 7. Generally, if a bank is liability sensitive in the sense that net interest income falls when rates rise and vice versa, it will likely have a positive DGAP suggesting that assets are more price sensitive than liabilities, on average. If a bank is asset sensitive in the sense that net interest income rises when rates rise and vice versa, it will likely have a negative DGAP suggesting that liabilities are more price sensitive than assets, on average. 8. DGAP analysis has the advantage of focusing on all cash flows from the underlying assets and liabilities and not just cash flows that are expected to arise over short time intervals. Interest rate risk can be summarized in one measure for the entire portfolio. 9. MVE sensitivity analysis focuses on long-term interest rate effects because it incorporates the present values of all expected cash flows. However, it is a liquidation analysis. The value for MVE is measured as the market value of assets minus the market value of liabilities. As such, it ignores other factors that affect the value of the firm, such as franchise value, contingent liabilities, the value of off-balance sheet activities, etc. 10. It is difficult to consistently alter either GAP or DGAP on balance sheet and increase earnings or the market value of stockholders’ equity. Whenever management chooses to change asset and liability maturities and/or durations in anticipation of rate changes, it is placing a bet against forward rates from the yield curve. 11. The general level of interest rates and the shape of the yield curve appear to follow the U.S. business cycle. In expansionary stages, rates rise until they reach a peak as the Federal Reserve tightens credit availability. In contractionary stages, rates fall until they reach a trough when the U.S. economy falls into recession. Portfolio managers should consider this information when making choices regarding the maturities and durations of assets and liabilities and how to price them. Teaching Suggestions 1. It is important to point out that both GAP/Earnings Sensitivity and duration gap/MVE Sensitivity models are two ways of looking at the same type of phenomena. GAP and Earnings Sensitivity analysis focus on rate sensitivity. Duration gap and MVE Sensitivity focus on price sensitivity. Carefully distinguish between the two. An asset or liability that is extremely rate sensitive is not very price sensitive. If the asset or liability is extremely price sensitive, it is not very rate sensitive. Earnings sensitivity analysis focuses on short-term income effects and is important to bankers in their budgeting as well as their risk assessment. MVE sensitivity analysis focuses on longer-term interest rate effects on aggregate firm value. It is closely tied to ensuring that the bank remain solvent. 2. An example of the relationship between GAP and duration gap is helpful. Consider a bank that borrows federal funds overnight to buy 30-year zero coupon Treasury bonds. The liability is extremely rate sensitive as it reprices every day. It is not price sensitive because it will always trade near par. The zero coupon T-bond, however, is extremely price sensitive because it has a 30-year Macaulay’s duration, but is not rate sensitive because the rate will not change for 30 years. The bank will have a negative GAP with this transaction and a positive DGAP