What are the major sources of interest rate risk and analyse GAP as one of the main
Fantastic news! We've Found the answer you've been seeking!
Question:
What are the major sources of interest rate risk and analyse GAP as one of the main tools of measuring and managing interest rate risk.
Calculate the Net Interest Income, Net Interest Margin, and GAP based on the latest balance sheet data of ABC Bank and then comment on the profitability of the Bank if interest rates rise/fall.( The assumed time frame is 6 months )
Assets ($ millions) | Yield rates | Liabilities ($ millions) | Interest costs | |
Fixed-rate | 400 | 2% | 200 | 3% |
Rate-sensitive | 800 | 5% | 1,100 | 4% |
Non-earning/ Non-paying | 300 | 200 | ||
TOTAL | 1,500 | 1,500 |
Related Book For
Systems analysis and design
ISBN: ?978-1118808177
5th edition
Authors: Alan Dennis, Barbara Haley Wixom, Roberta m. Roth
Posted Date: