Q. 17 In order to achieve a zero leverage adjusted duration gap, a financial institution with negative leverage adjusted duration gap (DA-kDL<0) can increase the duration of the asset portfolio by MCQ- choose the correct option Issuing long term bonds Selling long term bonds in the asset portfolio, replace them with short term bonds Using securitisation to take high duration mortgage loans off the balance sheet Issuing short term bonds Selling short term bonds in the asset portfolio, replace them with long term bonds

Q. 17 In order to achieve a zero leverage adjusted duration gap, a financial institution with negative leverage adjusted duration gap (DA-kDL<0) can increase the duration of the asset portfolio by MCQ- choose the correct option Issuing long term bonds Selling long term bonds in the asset portfolio, replace them with short term bonds Using securitisation to take high duration mortgage loans off the balance sheet Issuing short term bonds Selling short term bonds in the asset portfolio, replace them with long term bonds

Financial Reporting, Financial Statement Analysis and Valuation

8th Edition

ISBN:9781285190907

Author:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Publisher:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw

Chapter12: Valuation: Cash-flow Based Approaches

Section: Chapter Questions

Problem 12PC

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In order to achieve a positive leverage adjusted duration gap (DA-kDL>0) , a financial institution with zero leverage adjusted duration gap can reduce the duration of liability portfolio by Selling long term bonds in the asset portfolio, replace them with short term bonds Issuing long term bonds, use the funds to buy short term assets Selling short term bonds in the asset portfolio, replace them with long term bonds Issuing short term bonds, use the funds to buyback its long term bonds
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