Question
Calculate the repricing gap and impact on net interest income of a 1 percent increase in interest rates for the following positions: a. Rate Sensitive
Calculate the repricing gap and impact on net interest income of a 1 percent increase in interest rates for the following positions:
a. Rate Sensitive Assets = $100 Million; Rate Sensitive Liabilities = $50 Million
b. Rate Sensitive Assets = $50 Million; Rate Sensitive Liabilities = $150 Million
c. Rate Sensitive Assets = $75 Million; Rate Sensitive Liabilities = $70 Million
d. What conclusion you can draw about repricing gap model from above results?
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Financial Markets and Institutions
Authors: Anthony Saunders, Marcia Cornett
6th edition
9780077641849, 77861663, 77641841, 978-0077861667
