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FIN20013 Banking Operations and Governance

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Question 5
Assume current market yield is flat at 8.0% p.a. What is the duration gap of the bank?                   (5 marks)

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  1. Question 6 Using the duration gap estimated from question 6, what will happen to the net worth of the bank if the market yield down up by 2.5%p.a.?.
  2. Question 7: What is the maturity gap of the bank?
  3. Question.4: What is your market positioning? How do you believe the customers in the market might perceive your offerings?
  4. Question 1: What is the cumulative repricing gap if the planning period is (a) 1 year (b) 3 year
  5. Question: 3 Due to the uncertainty in the economy, based on the bank’s estimate there is a potential of decrease in the demand deposits
  6. Question 4 Does the bank have sufficient liquid capital to cushion any unexpected losses as per the Basle III requirement?

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