Because the repricing model ignores the market value effect of changing interest rates, the repricing gap is an incomplete measure of the true interest rate risk exposure of an FI.

Question

Quizplus · Accepted Answer

The repricing gap only considers the impact of interest rate changes on the FI's fixed rate assets and liabilities, and not on their market values, which can result in an incomplete understanding of the true interest rate risk exposure of the FI.

Because the Repricing Model Ignores the Market Value Effect of Changing