利率敏感资产（RSA）= 50 + 55 = 105
利率敏感性负债（RSL）= 180 + 225 + 200 + 520 = 1125
重新定价缺口= RSA RSL = 105-1125 = – 1020
利率敏感资产（RSA）= 80 + 50 + 100 = 230
重新定价缺口= rsa-rsl = 230 = + 30
三.如果银行的活期存款减少，那么负债将减少，但总体上不会影响银行的资产。这是因为负债将导致利率下降，意味着银行的资产将减少（G. Bekaert和G. Wu，2000）。
(a) Re-pricing gap for 1 year
Rate sensitive assets (RSA) =50+55 = 105
Rate sensitive liabilities (RSL) = 180+225+200+520 =1125
Re-pricing gap = RSA – RSL = 105-1125 = -1020
(b) Re-pricing gap for 3 years
Rate sensitive assets (RSA) =80+50+100 = 230
Rate sensitive liabilities (RSL) = 200
Re-pricing Gap = RSA-RSL = 230-200 = +30
2. Current market interest rate = 5.65%
Rate sensitive assets is forecasted to decrease = 60 basis points
Decrease in rate sensitive liabilities = -25
Duration = 6 months
The net interest income of the bank will decrease because of the decrease in the assets. Though the liabilities are decreased by -25 base points but this liability will not affect the net interest income. This will happen in 6 months duration.
3. If the demand deposits in the banks are decreased then liability will decrease but overall it will not impact the asset of the bank at all. This is because the liabilities will result in decrease in the interest that means the asset of the bank will decrease (G. Bekaert and G. Wu, 2000).
4. Strategies to reduce the volatility of the value of equity
Interest in low volume strategies has surged as the historical patterns between risk and returns have been broken down. The long term strategies must be applied so as to minimize the volatility of the value of equity. Banks can manage their own optimal portfolio in classical way. The quantitative strategies must be followed by the banks so that to reduce the volatility of the value of equity (LALL, Ranjit)
5.Tougher capital standards are established by Basel III by more constricting definitions of capital, greater requisite for minimum capital ratios and extra capital buffers. Basel III alterations would basically effect productivity and necessitate alterations banks’ business models. This Basel III would impact the capital business a lot. Base III will lead to lower available capital to protect higher requirements of RWA. This explains that Bank have sufficient capital to cushion any unexpected loses fairly.