금융시장 Suppose you are manager of a bank whose 200 million of assets have an average duration of five years and whose 160 million liabilities have an average duration of seven years. Conduct a duration
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- 2021.05.30
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- 2021.03
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"금융시장 Suppose you are manager of a bank whose 200 million of assets have an average duration of five years and whose 160 million liabilities have an average duration of seven years. Conduct a duration"에 대한 내용입니다.
목차
1. Suppose you are manager of a bank whose $200 million of assets have an average duration of five years and whose $160 million liabilities have an average duration of seven years. Conduct a duration analysis for the bank and show what will happen to the net worth of the bank if interest rates fall by 1%.
2. Suppose you are the manager of a bank that has $15 million of fixed-rate assets, $30 million of rate-sensitive assets, $25 million of fixed-rate liabilities, and $20 million of rate-sensitive liabilities. Conduct a gap analysis for the bank, and show what will happen to bank profits if interest rates rise by 5 percentage points. What actions could you take to reduce the bank’s interest-rate risk?
본문내용
3. Suppose you are manager of a bank whose $200 million of assets have an average duration of five years and whose $160 million liabilities have an average duration of seven years. Conduct a duration analysis for the bank and show what will happen to the net worth of the bank if interest rates fall by 1%.
먼저, 은행에 대한 기간분석을 진행, 자산가치의 증가를 계산해본다.
자산가치는 ($200million x 1% x 5(년)) 으로 계산할 수 있고,
이는 200,000,000 x 0.01 x 5 = 10,000,000 라는 결과가 나온다.
부채는 ($160million x 1% x 7(년)) 으로 계산할 수 있고,
이는 160,000,000 x 0.01 x 7 = 12,000,000 라는 결과가 나온다.
참고 자료
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