商业银行管理教案(CH5).pptVIP

5-32 Problems with Interest-Sensitive Gap Management Interest Paid on Liabilities Tend to Move Faster than Interest Rates Earned on Assets . Interest Rate Attached to Bank Assets and Liabilities Do Not Move at the Same Speed as Market Interest Rates. Point at Which Some Assets and Liabilities are Repriced is Not Easy to Identify Interest-Sensitive Gap Does Not Consider the Impact of Changing Interest Rates on Equity Position. Time horizon problems related to when assets and liabilities are repriced. Assumed correlation of 1.0 between market rates and rates on assets and liabilities. Focus on net interest income rather than shareholder wealth. Solution to correlation problem: Standardized gap 5-30 Assume GAP$ = RSA$ - RSL$ = $200 (com’l paper) - $500 (CDs) = -$300 Assume the CD rate is 105% as volatile as 90-day T-Bills, while the com’l paper rate is 30% as volatile. Now calculate the Standardized Gap = 0.30 ($200) - 1.05 ($500) = $60 - $525 = -$460 Much more negative! 5-33 The Concept of Duration Duration is the Weighted Average Maturity of a Promised Stream of Future Cash Flows. A measure of the maturity and value sensitivity of a financial asset that considers the size and the timing of all its expected cash flows. Average maturity of future cash flows (assets or liabilities) Average time needed to recover the funds committed to investment 5-34 To Calculate Duration 5-35 To Calculate Duration Period t E(CF) PV of E(CF) PV of E(CF) x t Expected interest income from loan 1 $100 $90.91 $90.91 2 $100 $82.64 $165.29 3 $100 $75.13 $225.39 4 $100 $68.30 $273.21 5 $100 $62.09 $310.46 Repayment of loan principal 5 $1,000 $620.92 $3,104.61 Price or value $1,000 $4,169.87 D = $4,169.87/$1,000 = 4.17 years Price Sensitivity of a Security 5-36 * 5-1 第五章 银行资产负债管理 Asset-Liability Management: Determining and Measuring Interest Rates ； Controlling Inter