1.Assume that a goal of the regulatory agencies of financial institutions is to immunise the ratio of...
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1.Assume that a goal of the regulatory agencies of financial institutions is to immunise the ratio of equity to total assets, that is, Δ(E /A ) = 0. Explain how this goal changes the desired duration gap for the institution. Why does this differ from the duration gap necessary to immunise the total equity? How would your answers to part (h) in problem 23 and part (g) in problem 25 change if immunising equity to total assets was the goal? LO 6.5
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Financial Institutions Management A Risk Management
ISBN: 9781743073551
4th Edition
Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett
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