Statements about leverage adjusted duration gap

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1. Which of the following statements about leverage adjusted duration gap is true?

It is equal to the duration of the assets minus the duration of the liabilities.

Larger the gap in absolute terms, the more exposed the FI is to interest rate shocks.

It reflects the degree of maturity mismatch in an FI's balance sheet.

It indicates the dollar size of the potential net worth.

Its value is equal to duration divided by (1 + R).

2. Which of the following is a good strategy to adopt when interest rates are expected to rise?

Buying a call option on a bond.

Writing a call option on a bond.

Writing a put option on a bond.

Buying bond futures.

All of the above.

Reference no: EM131962372

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