Which of the following statements is true?
A)As opposed to the duration gap model, the repricing gap model captures the capital loss and capital gain effect.
B)The repricing gap model is a market-value based approach, while the duration model is a book-value based approach.
C)The repricing gap model does not consider the size and timing of cash flows.
D)The duration gap model focuses on the impact interest rate changes have on an FI's net interest income.

Question

Quizplus · Accepted Answer

The repricing gap model does not consider the size and timing of cash flows; it focuses on the difference between the amounts of assets and liabilities that will reprice over a certain period.

Which of the Following Statements Is True