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.
Correct Answer:
Verified
Correct Answer:
Verified
Q10: Duration increases with the maturity of a
Q23: Perfect matching of the maturities of the
Q26: The economic meaning of duration is the
Q28: Managers can achieve the results of duration
Q75: Larger coupon payments on a fixed-income asset
Q76: For a given maturity fixed-income asset, duration
Q86: What is the effect of a 100
Q90: <span class="ql-formula" data-value="D = \frac { \left[
Q93: <span class="ql-formula" data-value="\begin{array} { | l |
Q97: Setting the duration of the assets higher