If the Duration Gap Is Zero, How Will a Small

question 557

Multiple Choice

If the duration gap is zero, how will a small parallel shift in interest rates affect the market value of the bank's equity?

• A) If interest rates rise, the market value of equity will increase
• B) If interest rates rise, the market value of equity will decrease
• C) The bank is immunised from changes in interest rates.
• D) The market value of equity will decrease due to an increase in interest rates

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