What is convexity?
Answer to relevant QuestionsWhat is the difference between book value accounting and market value accounting? How do interest rate changes affect the value of bank assets and liabilities under the two methods?Calculate the repricing gap and impact on net interest income of a 1 percent increase in interest rates for the following positions: a. Rate-sensitive assets = $ 100 million; Rate-sensitive liabilities = $ 50 million. b. ...Consider the following. a. Calculate the leverage-adjusted duration gap of an FI that has assets of $ 1 million invested in 30-year, 10 percent semiannual coupon Treasury bonds selling at par and whose duration has been ...What are the differences between a microhedge and a macrohedge for an FI? Why is it generally more efficient for FIs to employ a macrohedge than a series of microhedges?Why is the credit risk on a swap lower than the credit risk on a loan?
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