Interest rate risk 目 Reinvestment rate risk ..the risk that a bank can not reinvest cash flows from assets or refinance rolled over or new liabilities at a certain rate in the future Cost of funds versus the return on assets ▣→Funding GAP,impact on NII ▣Price Risk changes in interest rates will also cause a change in the value (price)of assets and liabilities Longer maturity (duration) ▣→larger change in value for a given change in interest rates Duration GAP,impact on market value of equity 麓行贺影≠考Interest rate risk Interest rate risk † Reinvestment rate risk ... the risk that a bank can not reinvest cash flows from assets or refinance rolled over or new liabilities at a certain rate in the future „Cost of funds versus the return on assets † ⇒ Funding GAP, impact on NII † Price Risk … changes in interest rates will also cause a change in the value (price) of assets and liabilities „Longer maturity (duration) † ⇒ larger change in value for a given change in interest rates † ⇒ Duration GAP, impact on market value of equity