What Does a Bank's Duration Gap Measure

question 6

Multiple Choice

What does a bank's duration gap measure?

• A) The duration of short-term buckets minus the duration of long-term buckets.
• B) The duration of the bank's assets minus the duration of its liabilities.
• C) The duration of all rate-sensitive assets minus the duration of rate-sensitive liabilities.
• D) The duration of the bank's liabilities minus the duration of its assets.
• E) The duration of all rate-sensitive liabilities minus the duration of rate-sensitive assets.

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