1. Estimate the two-quarter and four-quarter risk-sensitive assets (RSAs), risk-sensitive liabilities (RSLs), and the GAPs.
2. If average interest rates increase by 2% within the time bucket of two quarters, what is the impact on net interest income (ΔNII)?
3. If average interest rates increase by 2% within the time bucket of four quarters, what is the impact on net interest income (ΔNII)?
4. Estimate the GAP ratio (RSA/RSL) and the GAP/Assets ratio (in percent).
5. Explain the differences in the two-quarter and four-quarter GAPs of Assignments 3A and 3B.
