Using the duration gap to measure the change in an FI's net worth in case of large interest rate shocks:
A) produces exact results
B) only produces exact results if interest rates change instantaneously
C) produces approximate results only due to concavity
D) produces approximate results only due to convexity
Correct Answer:
Verified
Q31: How can a negative duration gap of
Q32: The modified duration is defined as:
A)duration multiplied
Q33: For large interest rate shocks and large
Q34: Which of the following statements is true?
A)The
Q35: Which of the following statements is true?
A)All
Q37: Which of the following statements is true?
A)Convexity
Q38: Consider a security with a face value
Q39: Consider a security with a duration of
Q40: Immunisation of a portfolio implies that changes
Q41: Which of the following statements is incorrect?
A)Convexity
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