To measure duration gap one should first determine the duration of an FI's asset portfolio and the duration of its liability portfolio.
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Q46: The error from using duration to estimate
Q47: The cost in terms of both time
Q48: The leverage adjusted duration of a typical
Q49: The fact that the capital gain effect
Q50: Immunizing net worth from interest rate risk
Q52: Which of the following statements is true
Q53: Convexity is a desirable effect to a
Q54: The use of duration to predict changes
Q55: The economic interpretation of duration is
A)the percentage
Q56: All fixed-income assets exhibit convexity in their
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