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A bank has an average asset duration of 5.3 years and an average liability duration of 2.5 years. This bank has $700 million in total assets and $500 million in total liabilities. This bank has:   A positive leverage adjusted duration gap of 2.8 years   A negative leverage adjusted duration gap of 2.8 years   A positive leverage adjusted duration gap of 7.8 years   A positive leverage adjusted duration gap of 3.5 years

A bank has an average asset duration of 5.3 years and an average liability duration of 2.5 years. This bank has $700 million in total assets and $500 million in total liabilities. This bank has:   A positive leverage adjusted duration gap of 2.8 years   A negative leverage adjusted duration gap of 2.8 years   A positive leverage adjusted duration gap of 7.8 years   A positive leverage adjusted duration gap of 3.5 years

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A bank has an average asset duration of 5.3 years and an average liability duration of 2.5 years. This bank has $700 million in total assets and $500 million in total liabilities. This bank has:

 

A positive leverage adjusted duration gap of 2.8 years
 

A negative leverage adjusted duration gap of 2.8 years
 

A positive leverage adjusted duration gap of 7.8 years
 

A positive leverage adjusted duration gap of 3.5 years
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