Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration

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Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration gap not lower than -1.5 years, assuming that the average duration of liabilities is 3 years, that assets are currently valued at $300 million, and that liabilities are $280 million.

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Financial Markets And Institutions

ISBN: 9781292215006

9th Global Edition

Authors: Stanley Eakins Frederic Mishkin

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