If a Bank Has a Duration Gap of Two Years,a

Multiple Choice

If a bank has a duration gap of two years,a rise in interest rates from 5 to 8% per annum will lead to a/an:

A) increase of 5.71% in the market value of its net worth.
B) fall of 5.71% in the market value of its net worth.
C) increase of 5.71% in net interest income.
D) fall of 5.71% in net interest income.