Which of the following statements is correct regarding duration?

Answer(s): D

Using reprising gap analysis, a bank’s balance sheet is considered liability-sensitive to market interest rate changes, if:

Answer(s): A

Which of the following statements about the Liquidity Coverage Ratio is correct?

The LCR is a measure to ensure that the reserve of high quality liquid assets is sufficient to cover short term demand for liquidity in a stress situation.
the ratio (cash outflow in a 30-day stress period divided by high quality liquid assets) has to be greater than 100%.
Covered bonds are class 1 assets.
Obligations issued by central banks or government agencies are class 2 assets.

Answer(s): A

Which one of the following statements about mark-to-model valuation is correct?

Mark-to-model valuation is used for exchange-traded positions to ensure correct pricing.
Asset managers are not allowed to use mark-to-model valuation.
Mark-to-model valuation is used for complex financial instruments; it is always accurate and in line with potential tradable prices.
Mark-to-model valuation refers to prices determined by financial models, rather than actual market prices.

Answer(s): D

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