Gamma Bank has $300 million in loans and $200 million in deposits. If the modified duration of the loans is
estimated to be 2, and the modified duration of the deposits is estimated to be 1, then the change in Gamma
Bank's equity value per 1% change in yield will be:

Present value of a basis point (PVBP) is one of the ways to quantify the risk of a bond, and it measures:

Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following
features EXCEPT:

A risk manager is analyzing a call option on the GBP with a vega of 0.02. When the perceived future volatility
increases by 1%, the call option

Which one of the following four mathematical option pricing models is used most widely for pricing European
options?