In Example 222, suppose the FI had the reverse duration gap; that is, the duration of its
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In Example 22–2, suppose the FI had the reverse duration gap; that is, the duration of its assets was shorter (DA 3) than the duration of its liabilities (DA 5). (This might be the case of a bank that borrows with long-term notes or time deposits to finance floating-rate loans.) How should it hedge using futures? LO.1
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Related Book For 
Financial Institutions Management A Risk Management Approach
ISBN: 9780073530758
7th Edition
Authors: Anthony Saunders, Marcia Cornett
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