8-18 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 statement is true. The repricing gap only considers the volume of assets and liabilities that will be repriced within a certain time frame, but it does not account for the potential impact of changing interest rates on the market value of these instruments. Therefore, it is an incomplete measure of interest rate risk exposure.

8-18 Because the Repricing Model Ignores the Market Value Effect