Complete the following sentence. If a bank has an asset repricing in 6 months funded by a liability repriced in 3 months:
A) the bank would benefit from higher interest rates
B) the bank could hedge this interest rate risk with a 3x6 derivative
C) the bank will make mark-to-market losses if rates decrease
D) the bank could hedge this interest rate risk by selling a 6x9 derivative

Question

Quizplus · Accepted Answer

The Answer of Complete the following sentence. If a bank has an asset repricing in 6 months funded by a liability repriced in 3 months:
A) the bank would benefit from higher interest rates
B) the bank could hedge this interest rate risk with a 3x6 derivative
C) the bank will make mark-to-market losses if rates decrease
D) the bank could hedge this interest rate risk by selling a 6x9 derivative

Complete the Following Sentence