If the Duration Gap Is Zero, How Will a Small

Multiple Choice

If the duration gap is zero, how will a small parallel shift in interest rates affect the market value of the bank's equity?

A) If interest rates rise, the market value of equity will increase
B) If interest rates rise, the market value of equity will decrease
C) The bank is immunised from changes in interest rates.
D) The market value of equity will decrease due to an increase in interest rates