Which of the following is a measure of a bank's gross exposure to foreign exchange rate risk?
A) The maturity mismatch among assets and liabilities denominated in the home and reporting currencies.
B) The gap between variable and fixed rate assets and liabilities across all currencies.
C) The sum of all assets in one currency minus the sum of all liabilities in that same currency.
D) The sum of all off-balance sheet assets in one foreign currency minus the on-balance sheet equity in another currency.

Question

Quizplus · Accepted Answer

The measure of a bank's gross exposure to foreign exchange rate risk is the net open position, which is calculated as the sum of all assets in one currency minus the sum of all liabilities in that same currency.

Which of the Following Is a Measure of a Bank's