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Duration Analysis Is Sometimes Done to Understand the Sensitivity of a Bank's

Question 1

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Duration analysis is sometimes done to understand the sensitivity of a bank's position to changes in risk. This is most often done by calculating the duration gap, which is


A) Asset duration − Liability duration (Liability/Asset) .
B) Asset duration − Liability duration.
C) Asset duration − Liability duration (Asset/Liability)
D) Asset duration − Liability duration (Asset ×  Liability)

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