A given bank has the following interest sensitive assets and liabilities on its balance sheet ( in
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Question:
A given bank has the following interestsensitive assets and liabilities on its balance sheet in million Kwacha
Interest Rate Sensitive Assets Interest Rate Sensitive Liabilities
Government Securities Time Deposits
Loans Saving Deposits
If the interest rates rise by what is the change in net interest income assuming a parallel shift in the yield curve? Define the maturity bucket approach as an extension to the gap analysis, and how it can be used to manage interest rate risk.
b A bank has $ million in earning assets, a net interest margin of and a
year cumulative GAP of $ million. Interest rates are expected to increase by
If the bank does not want net interest income to fall by more than during the next year, how large can the cumulative GAP be to achieve the allowable change in net interest income?
Related Book For
Intermediate Accounting
ISBN: 978-0132162302
1st edition
Authors: Elizabeth A. Gordon, Jana S. Raedy, Alexander J. Sannella
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