A bond's price changes 2% when interest rates drop. The duration model would predict a price increase of more than 2%.
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Q1: The "runoff" of fixed-income contracts is itself
Q2: A bank has a positive repricing gap
Q2: Convexity arises because a fixed-income's price is
Q4: For a one-year maturity bucket, the repricing
Q4: A rate sensitive asset is one that
Q5: The duration gap model is a more
Q6: If a bank has a negative repricing
Q6: A bank is facing a forecast of
Q16: The repricing gap fails to consider how
Q19: If DA > kDL,then falling interest rates
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