Question
4b. A bank has assets with a total value of $14.260 billion; $14.170 billion of which are rate sensitive. The banks liabilities total $13.905 billion;
4b. A bank has assets with a total value of $14.260 billion; $14.170 billion of which are rate sensitive. The banks liabilities total $13.905 billion; all are rate sensitive. If the average duration of its asset portfolio is 5.175 years and its liabilities have a 3.105-year average duration, what is the banks duration gap?
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Financial Management EMEA Theory And Practice
Authors: Michael Ehrhardt, Roland Fox, Eugene Brigham
2nd Edition
1473760216, 9781473760219
