Question

Which of the following statements concerning a bank's leverage-adjusted duration gap is true?

A. If it has a positive duration gap and interest rates rise, its net worth will decline.

B. If it has a positive duration gap and interest rates fall, its net worth will decline.

C. If it has a negative duration gap and interest rates rise, its net worth will decline.

D. If it has a negative duration gap and interest rates fall, its net worth will increase.

E. All of the options are correct.

Answer

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