9-55 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)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.
E)Its value is equal to duration divided by (1+R).

Question

Quizplus · Accepted Answer

Leverage adjusted duration gap measures the difference between the duration of an FI's assets and liabilities, adjusted for the degree of leverage. A larger gap in absolute terms indicates greater exposure to interest rate shocks.

9-55 Which of the Following Statements About Leverage Adjusted Duration