The duration gap model is a more complete measure of interest rate risk than the repricing model.

Question

Quizplus · Accepted Answer

The duration gap model takes into account the timing of cash flows from assets and liabilities and measures their sensitivity to interest rate changes, while the repricing model only looks at the timing of interest rate reset on assets and liabilities. Therefore, the duration gap model is a more complete measure of interest rate risk.

The Duration Gap Model Is a More Complete Measure of Interest