Exam 5: Interest Rate Risk Measurement: The Repricing Model

Consider the following repricing buckets and gaps: What is the annualised change in the bank's future net interest income if the overnight interest rate increased by 100 basis points?

The cumulative repricing gap position of an FI for a given extended time period is the sum of the repricing gap values for the individual time periods that make up the extended time period.

Consider the following table: What is the one-year gap adjusted for runoffs?

Consider the following table: What is the one-year gap adjusted for runoffs?

The bank has a positive repricing gap. Is it exposed to interest rate increases or decreases and why?

The bank has a negative repricing gap. Is it exposed to interest rate increases or decreases and why?

Which of the following statements is true?

The repricing gap approach calculates the gaps in each maturity bucket by subtracting the:

Assume you are the manager of an FI. How would you structure your balance sheet using the repricing gap model if you expected interest rates to increase?