Multiple Choice
What is this bank's interest rate risk exposure, if any?
A) The bank is exposed to decreasing interest rates because it has a negative duration gap of -0.21 years.
B) The bank is exposed to increasing interest rates because it has a negative duration gap of -0.21 years.
C) The bank is exposed to increasing interest rates because it has a positive duration gap of +0.21 years.
D) The bank is exposed to decreasing interest rates because it has a positive duration gap of +0.21 years.
E) The bank is not exposed to interest rate changes since it is running a matched book.
[Refer to: 9-128]
Correct Answer:
Verified
Correct Answer:
Verified
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