[资本市场和金融机构].9电子教案.pptVIP

Ch. 7 Risks faced by FIs (Saunders et al, 2006);7.1 Uncertainty vs. Risk; 7.2 Interest rate risk Interest rate risk is the potential impact on an FI’s earnings and market value of equity of changes in interest rates This risk is incurred by an FI when the maturities of its assets and liabilities are mismatched. a) Reinvestment risk. The risk that the returns on funds to be reinvested will fall below the originally anticipated returns Example: 1-year loans at 10% annual funded with 2-year deposits at 9% Profit spread 1st year = 10% - 9% = +1%. 2nd year: ?? - 9% [Other example o