第七章利率风险.pptxVIP

Interest Rate Risk;7.1 Management of Net Interest Income ;Two question: （1）What would happen if a bank posted the rates in Table 7.1? （2）How can the bank manage its risks? ;Assumption: market participants expect the one-year interest rate for future time periods to equal the one-year rates prevailing in the market today. Suppose you have money to deposit. Would you choose to deposit your money for one year at 3% per annum or for five year at 3% per annum? ;If deposit one year: (1+3%)(1+3%)(1+3%)(1+3%)(1+3%)=(1+3%)5 If deposit five year:(1+3%)5 So most customers would choose one year becau