Essay
Discuss the following proposition: While in theory duration matching allows an FI to immunise against interest rate risk, the reality is that it is too costly and too time consuming to be useful.
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Q13: Using the leverage adjusted duration gap, it
Q14: The duration of an asset or a
Q15: The FI's portfolio is immunised when the
Q16: Consider a security with a face value
Q17: Duration is a less accurate predictor for
Q19: Duration measures changes in an FI's net
Q20: Immunisation does not require constant portfolio rebalancing
Q21: The duration of a zero-coupon bond:<br>A)is smaller
Q22: The effect of interest rate changes on
Q23: In order to achieve a zero duration