Which of the Following Statements About Leverage Adjusted Duration Gap

question 56

Multiple Choice

Which of the following statements about leverage adjusted duration gap is true?

• A)It is equal to the duration of the assets minus the duration of the liabilities.
• B)The larger the gap in absolute terms, the more exposed the FI is to interest rate shocks.
• C)It reflects the degree of maturity mismatch in an FI's balance sheet.
• D)It indicates the dollar size of the potential net worth and its value is equal to duration divided by (1+R).

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Definitions:

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