BFM Numericals Solved · Part 3: Treasury and ALM

Chapter 9: Gap analysis and earnings at risk

How a bank lines up what reprices when, and turns a change in rates into a change in this year’s net interest income.

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

• 9.1The repricing gapp. 193
• Bank B’s repricing tablep. 194
• 9.2Earnings at riskp. 195
• Weighting by timep. 196
• Four 30-second routesp. 197
• 9.3Managing the gapp. 198
• 9.4Basis riskp. 199
• 9.5NIM and limitsp. 200
• Which formula? A map of the chapterp. 201
• Exam traps and conventionsp. 202
• Practice: 30 questions in three roundsp. 203
• Answers, with every wrong option explainedp. 206
• Make it stickp. 209
• Chapter 9 on one pagep. 210

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.