货币银行学商业银行技术总结.ppt

* Factors affecting net interest income 1% increase in the level of all short-term rates 1% decrease in spread between assets yields and interest cost RSA increase to 8.5% RSL increase to 5.5% Proportionate doubling in size. Increase in RSA’s and decrease in RSL’s RSA = 540, fixed rate = 310 RSL = 560, fixed rate = 260. * 1% increase in short-term rates * Changes in NII are directly proportional to the size of the GAP ?NIIexp = (GAP) * (? iexp) The larger is the GAP, the greater is the dollar change in NII. *This applies only in the case of a parallel shift in the yield curve, which is rare. If rates do not change by the same amount, then the GAP may change by more or less. * 1% decrease in spread… non- parallel shift in the yield curve * Proportionate doubling in size Increase in RSAs and decrease in RSLsRSA increase to 540, fixed rate assets to 310; RSL decrease to 560, fixed rate liabilities to 260. * Strengths and weaknesses The principal attraction of static analysis is that it is easy to understand and to be calculated. Weakness There are serious ex post measurement errors. GAP analysis ignores the time value of money. The procedure essentially ignores the cumulative impact of interest rate changes on a bank’s risk position. Liabilities that pay no interest are often ignored in rate-sensitivity comparisons because many banks allocate demand deposits an non-rate-sensitive liabilities. Static GAP does not capture risk associated with options embedded in the loans, securities, and deposits that banks deals with. * GAP Ratio = RSAs / RSLs The GAP ratio is further deficient because it ignores size. * Earnings sensitivity analysis This framework extends static GAP analysis by making it dynamic. It does this by model simulation or “what if” analysis of all the factors that affect net interest income across a wide range of potential interest rate environments. * Exercise of embedded options in assets and liabilities Customers have different types of options, bot