NVB’s assets have duration 5.5 years and liabilities 2.1 years . Based on this information, NVB’s balance sheet is best described as having: ]]

Question

NVB’s assets have duration  5.5 years  and liabilities  2.1 years . Based on this information, NVB’s balance sheet is best described as having:  ]]>

Accepted Answer

Positive duration gap and exposure to rising rates.

Answer

Duration risk only on liabilities.

Answer

Negative duration gap and low interest-rate risk.

Answer

Zero duration gap and immunised equity.

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