If the duration of all of a bank's assets with a maturity of greater than one year is similar to that of its liabilities with a maturity greater than one year, interest rate risk is nonexistent.

Question

Quizplus · Accepted Answer

Even if the duration of a bank's long-term assets and liabilities are similar, the bank can still face interest rate risk due to changes in interest rates affecting the value of those assets and liabilities differently, as well as potential mismatches in the duration of short-term assets and liabilities.

If the Duration of All of a Bank's Assets with a Maturity