问题如下：
The following statements are about using
the duration to hedge against interest rate risk, which of the following is NOT
correct?
选项：
A. The larger the
leverage-adjusted duration gap, the more sensitive will be the net worth
(equity capital) to a change in interest rates.
If a positive (negative)
leverage-adjusted duration gap, a parallel change will result in the value of
liabilities changing by less (more) than the value of assets.
Duration gap = dollar-weighted duration of
asset portfolio – dollar weighted duration of liability portfolio
Leverage
adjusted duration gap = dollar-weighted duration of asset portfolio – dollar
weighted duration of liability portfolio × Total asset
/ equity
解释：
考点：对Risk Management for Changing Interest
Rates: ALM and Duration Techniques-The Concept of Duration as a Risk-Management
Tool的理解
答案：D
解析：
D选项Leverage
adjusted duration gap的公式错误，正确的公式为：
Leverage adjusted duration gap =
dollar-weighted duration of asset portfolio – dollar weighted duration of
liability portfolio × Total liabilities/ Total Assets
老师亲吻一下B是怎么判断的，只记得上课的时候老实说，D>0，利率上升，E 下降；这里说平行移动，如果D>0...后面资产变得比负债多，没说方向嘛，怎么弄呢这里
