duration of assets of 2.4 years and a duration of liabilities of 0.9 years. The bank has total equity of $82 million and total assets of $850 million. What is the bank's duration gap in years? Given the information from the previous question, what duration of liabilities would be necessary to achieve a duration gap to zero?
duration of assets of 2.4 years and a duration of liabilities of 0.9 years. The bank has total equity of $82 million and total assets of $850 million. What is the bank's duration gap in years? Given the information from the previous question, what duration of liabilities would be necessary to achieve a duration gap to zero?
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 a duration of assets of 2.4 years and a duration of liabilities of 0.9 years. The bank has total equity of $82 million and total assets of $850 million.
What is the bank's duration gap in years?
Given the information from the previous question, what duration of liabilities would be necessary to achieve a duration gap to zero?
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