Giới hạn BKG

- Trắc nghiệm: 7 8 10 11 15 17 18
- Essay: 7 – 8 - 15
- Chương 7 8 : - phương pháp (method) nắm interest sensitive gap option
- Chương 8 học trọng tập future contract, vẽ đồ thị thể hiện lỗ và lãi của, process của future
contract, option contract. (8-2, 8-3)
bỏ swap.
- Trình bày short future process.
Chap 7:
Gapping methods used today vary greatly in complexity and form
All methods, however, require financial managers to make some important decisions:
1. Management must choose the time period during which the net interest margin
(NIM) is to be managed to achieve some desired value and the length of subperiods
(“maturity buckets”) into which the planning period is to be divided
2. Management must choose a target level for the net interest margin
3. If management wishes to increase the NIM, it must either develop a correct
interest rate forecast or find ways to reallocate earning assets and liabilities to
increase the spread between interest revenues and interest expenses
4. Management must determine the volume of interest-sensitive assets and interest-
sensitive liabilities it wants the financial firm to hold
Problems with Interest-Sensitive GAP Management
1. Interest paid on liabilities tend to move faster than interest rates earned on
assets
2. The interest rate attached to bank assets and liabilities do not move at the
same speed as market interest rates
3. The point at which some assets and liabilities are repriced is not easy to
identify
4. The interest-sensitive gap does not consider the impact of changing interest
rates on equity positions
• Chapter 8:
Short Futures Hedge Process
▫ Today – contract is sold through an exchange

▫ Sometime in the future – contract is purchased through the same exchange
▫ Results – the two contracts are cancelled out by the futures clearinghouse
▫ Gain or loss is the difference in the price purchased for (at the end) and the price sold
for (at the beginning)
▫ Long Futures Hedge Process
▫ Today – contract is purchased through an exchange
▫ Sometime in the future – contract is sold through the same exchange
▫ Results – the two contracts are cancelled by the clearinghouse
▫ Gain or loss is the difference in the purchase price (at the beginning) and the price sold
for (at the end)