Which of the following statements is true?
A)As opposed to the duration model, the repricing gap model is a market-value based approach.
B)As opposed to the maturity model, the repricing gap model is a market-value based approach.
C)The capital loss effect is captured by the repricing model.
D)None of the listed options are correct.

Question

Quizplus · Accepted Answer

The repricing gap model, unlike what is suggested in options A and B, is not a market-value based approach but rather an income-based approach focusing on the timing differences in interest rate adjustments for assets and liabilities. The capital loss effect is not captured by the repricing model; it is more accurately addressed by market-value based models such as the duration model.

Which of the Following Statements Is True