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Exam 2016-FRR Topic 2 Question 117 Discussion

Actual exam question for GARP's 2016-FRR exam
Question #: 117
Topic #: 2
Banks duration match their assets and liabilities to manage their interest risk in their banking book. A bank has $100 million in interest rate sensitive assets and $100 million in interest rate sensitive liabilities. Currently the bank's assets have a duration of 5 and its liabilities have a duration of 2. The asset-liability management committee of the bank is in the process of duration-matching. Which of the following actions would best match the durations?

Suggested Answer: B Vote an answer

To match the durations of assets and liabilities, the bank needs to adjust the durations so that they are equal.
Currently, the assets have a duration of 5 and the liabilities have a duration of 2.
One way to match the durations is to increase the duration of liabilities by 2 (making it 4) and decrease the duration of assets by 1 (making it 4). This results in both the assets and liabilities having the same duration, thereby matching them.

by Lou at Jun 30, 2025, 07:43 PM

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Here are all the actual test exam dumps for IT exams. Most people prepare for the actual exams with our test dumps to pass their exams. So it's critical to choose and actual test pdf to succeed.

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