Question
Which of the following is a weakness of the repricing model to measure interest rate risk? Potential for over-aggregation of assets and liabilities within each
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Which of the following is a weakness of the repricing model to measure interest rate risk?
Potential for over-aggregation of assets and liabilities within each maturity bucket.
It ignores the reinvestment of loan interest and principal payments that are reinvested at current market rates and it fails to recognise off-balance-sheet activities that may be rate sensitive.
All of the listed options are correct.
It ignores how changes in interest rates affect the market value of assets and liabilities.
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The Practice Of Modern Internal Auditing
Authors: Lawrence B Sawyer
2nd Edition
0894130927, 978-0894130922
