Weaknesses of the repricing model include the fact that
I. it ignores changes in present values caused by changes in interest rates.
II. it ignores different cash flow sensitivities within a maturity bucket.
III. it fails to account for runoffs and prepayments.

Question

Quizplus · Accepted Answer

The repricing model has several weaknesses, including ignoring changes in present values caused by changes in interest rates (I), not accounting for different cash flow sensitivities within a maturity bucket (II), and failing to account for runoffs and prepayments (III).

Weaknesses of the Repricing Model Include the Fact That