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计算
Termstructure
Expectationstheory:
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????eLiquiditypremiumtheory:
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Becauseofpeoplepreferredshort-termbonds,thereisalargerliquiditypremiumasthetermtomaturitylengthens.(上升图)Yieldcurvestendtohaveanespeciallysteepupwardslope.(下降图）Yieldcurveswillnottendtohaveasteepdownwardslope,andmaybewillslopeupward.
Stockpricingmodel
One-PeriodValuationModel：
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??????1=thedividendpaidattheendofyear1.
????=therequiredreturnoninvestmentsinequity.
??1=thepriceattheendofthefirstperiod .
GeneralizedDividendValuationModel：
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GordonGrowthModel：
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??0=themostrecetdividendpaid.
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Interest-RateRisk
Achangeinitsinterestrate:
percentchangeinmarketvalueofsecurity≈ persentage-pointchangeininterestrate×durationinyears
A1：Theassetsfallinvalueby$8million(=$100million×2% ×4years)whiletheliabilitiesfallinvalueby$10.8million(=$90million×2% ×6years).Becausetheliabilitiesfallinvalueby
$2.8millionmorethantheassetsdo,thenetworthofthebankrisesby$2.8million.Theinterest-rateriskcanbereducedbyshorteningthematurityoftheliabilitiestoadurationof4yearsorlengtheningthematurityoftheassetstoadurationof6years.Alternatively,youcouldengageinaninterest-rateswap,inwhichyouswaptheinterestearnedonyourassetswiththeinterestinanotherbank’sassetsthathaveadurationof6years.
A2:Thegapis$10million($30millionofrate-sensitiveassetsminus$20millionofrate-sensitiveliabilities).Thechangeinbankprofitsfromtheinterestrateriseis+$0.5million(5%×$10million);theinterestrateriskcanbereducedby
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