Question: Consider the following statements: I. Duration changes as the bond approaches maturity II. While using the repricing gap model for balance sheet immunization, there is

Consider the following statements:

I. Duration changes as the bond approaches maturity

II. While using the repricing gap model for balance sheet immunization, there is a trade-off between being perfectly immunized and the transaction costs

III. The model used by APRA and BIS to monitor bank interest rate risk-taking is heavily based on the maturity model

Which of the above statements is false?

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