Assume that a goal of the regulatory agencies of financial institutions is to immunize the ratio of
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Assume that a goal of the regulatory agencies of financial institutions is to immunize 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 immunize the total equity? How would your answers to part (h) in problem 24 and part (g) in problem 26 change if immunizing equity to total assets was the goal?
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In this case the duration of the assets and liabilit...View the full answer
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Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-1259717772
9th edition
Authors: Anthony Saunders, Marcia Millon Cornett
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