a. What is the repricing gap (cumulative GAP) if the planning period is 30 days? 6 months?
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Question:
a. What is the repricing gap (cumulative GAP) if the planning period is 30 days? 6 months? 1 year? 2 years? 5 years?
b. What is the interest rate risk exposure of the bank for each planning period?
c. What is the impact over the next six months on net interest income if interest rates on RSAs increase 60 basis points and on RSLs increase 40 basis points? What changes in portfolio composition would you recommend to management (if necessary)? Be specific.
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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