Earnings-at-risk:
a. considers only interest rate “shocks.”
b. is only an effective measure for 90 day intervals or less.
c. examines the change in asset composition, given a change in bank liabilities.
d. examines the variation in net interest income associated with various changes in
interest rates.
e. None of the above.
Answer:
For a bank that has a negative duration gap, a decrease in interest rates will cause a(n)
_______ in the economic value of assets that is _______ than the _______ in the
economic value of liabilities, and a(n) _______ in the economic value of equity.
a. increase, less, increase, decrease
b. increase, greater, increase, decrease
c. increase, less, decrease, increase
d. decrease, less, decrease, increase
e. decrease, greater, decrease, decrease