Question
Suppose, a bank has $200 million in rate sensitive assets and $150 million in rate sensitive liabilities for a 1-year time interval . Its estimated
Suppose, a bank has $200 million in rate sensitive assets and $150 million in rate sensitive liabilities for a 1-year time interval . Its estimated net interest income is $20 million. If the bank doubles in size without any change in interest rates and portfolio composition or mix, what will be its expected net interest income?
| a. | $20 million | |
| b. | $30 million | |
| c. | $40 million | |
| d. | $60 million |
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The Validation Of Risk Models
Authors: S. Scandizzo
1st Edition
1137436956, 978-1137436955
