Multiple Choice
Which of the following statements about leverage-adjusted duration gap is true?
A) It is equal to the duration of the assets minus the duration of the liabilities.
B) Larger the gap in absolute terms, the more exposed the FI is to interest rate shocks.
C) It reflects the degree of maturity mismatch in an FI's balance sheet.
D) It indicates the dollar size of the potential net worth.
E) Its value is equal to duration divided by (1 + R) .
Correct Answer:
Verified
Correct Answer:
Verified
Q94: Dollar duration is the dollar value change
Q95: For a given change in required yields,
Q96: To measure duration gap one should first
Q97: Setting the duration of the assets higher
Q98: The shortcomings of this strategy are the
Q100: Using present value bond valuation techniques, calculate
Q101: What is the duration of the bank's
Q102: All else equal, as compared to an
Q103: As interest rates rise, the duration of
Q104: What is the duration of the two-year