Multiple Choice
Consider an asset with a current market value of $250 000 and a duration of 3.3 years.Assume the asset is partially funded through zero-coupon bonds which currently sells for $225 000 and has a maturity of 4 years.The current discount rate is 15%.Which of the following statements is true?
A) The FI is benefiting from increasing interest rates as it has a negative duration gap of 0.3 years.
B) The FI is exposed to increasing interest rates as it has a negative duration gap of 0.3 years.
C) The FI is exposed to increasing interest rates as it has a positive duration gap of 0.3 years.
D) The FI is exposed to decreasing interest rates as it has a positive duration gap of 0.3 years
Correct Answer:
Verified
Correct Answer:
Verified
Q30: How can a negative duration gap of
Q31: The statement that a portfolio is immunised
Q32: Duration is defined as:<br>A)the weighted-average time to
Q33: Which of the following statements is incorrect?<br>A)Investing
Q34: The bank has a negative maturity gap.Is
Q37: It is not possible to measure the
Q38: Consider a security with a face value
Q39: Which of the following is indicated by
Q40: Immunising the balance sheet to protect equity
Q130: The greater is convexity, the more insurance