HullRMFI2ndEdCh07金融风险管理.pptVIP

Management of Net Interest Income (Table 7.1, page 136) Suppose that the market’s best guess is that future short term rates will equal today’s rates What would happen if a bank posted the following rates? How can the bank manage its risks? Maturity (yrs) Deposit Rate Mortgage Rate 1 3% 6% 5 3% 6% Risk Management and Financial Institutions, 2e, Chapter 7, Copyright ? John C. Hull 2009 * Bad Interest Rate Risk Management Has Led to Bank Failures (Business Snapshot 7.1, page 137) Savings and Loans Continental Illinois Risk Management and Financial Institutions, 2e, Chapter 7, Copyright