Consider the following statements: I. Duration remain unchanges as the bond approaches maturity II . While using

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Consider the following statements: I. Duration remain unchanges as the bond approaches maturity II

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While using the repricing gap model for balance sheet immunization, there is a trade

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off between being perfectly immunized and the transaction costs III. The model used by APRA and BIS to monitor bank interest rate risk

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taking is heavily based on the maturity model Which of the above statements is false?

Posted Date: May 18, 2024 08:00 PM

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Consider the following statements: I. Duration remain unchanges as the bond approaches maturity II . While using

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