Assume that a goal of the regulatory agencies of financial institutions is to im- munize the ratio
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Assume that a goal of the regulatory agencies of financial institutions is to im- munize the ratio of equity to total assets, that is, A(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 immunize the total equity? How would your answers to part (h) in problem 21 and part (g) in problem 23 change if immunizing equity to total assets was the goal?
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Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 9780077211332
6th Edition
Authors: Anthony Saunders, Marcia Cornett
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