The repricing gap is the most comprehensive measure of interest rate risk used by financial intermediaries.

Question

Quizplus · Accepted Answer

The repricing gap is a measure of interest rate risk that focuses on the timing differences in when assets and liabilities are repriced; however, it does not account for all aspects of interest rate risk, such as the impact of changing interest rates on the market value of assets and liabilities. More comprehensive measures include duration gap analysis and value at risk (VaR).

The Repricing Gap Is the Most Comprehensive Measure of Interest