TheRepricingGapModel：重新定价缺口模型.pdf

1 The Repricing Gap Model 1.1 INTRODUCTION Among the models for measuring and managing interest rate risk, the repricing gap is certainly the best known and most widely used. It is based on a relatively simple and intuitive consideration: a bank’s exposure to interest rate risk derives from the fact that interest-earning assets and interest-bearing liabilities show differing sensitivities to changes in market rates. The repricing gap model can be considered an income-based model, in the sense that the L target variable used to calculate the effect of possible changes in market rates is, in fact, A an income variable: the net interest income (NII – the difference between interest income I and interest expenses). For this reason this model falls into the category of “earnings R approaches” to measuring interest rate risk. Income-based models contrast with equity- E based methods, the most common of which is the duration gap model (discussed in the following chapter). These latter models adopt the market value of the bank’s equity as T the target variable of possible immunization policies against interest rate risk. A After analyzing the concept of gap, this chapter introduces maturity-adjusted gaps, and explores the distinction between marginal and cumulative gaps, highlighting the difference M in meaning and various applications of the two risk measurements. The dis