Which of the following is NOT a problem in the use of duration gap management?
A) interest rates on assets and liabilities may be perfectly correlated with changes in the level of interest rates
B) interest rates on all maturities of assets normally shift up and down at different times
C) the relationship between interest rate changes and bond price changes is not linear
D) duration drift can occur

Question

Quizplus · Accepted Answer

Duration gap management inherently assumes that interest rates on assets and liabilities may not be perfectly correlated with changes in the level of interest rates. The other options (B, C, D) are recognized problems or limitations in using duration gap management.

Which of the Following Is NOT a Problem in the Use