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A bank has an average asset duration of 4.7 years and an average liability duration of 3.3 years. This bank has $750 million in total
A bank has an average asset duration of 4.7 years and an average liability duration of 3.3 years. This bank has $750 million in total assets and $500 million in total liabilities. This bank has a:
A. positive duration gap of 8.0 years.
B. negative duration gap of 2.5 years.
C. positive duration gap of 1.4 years.
D. positive duration gap of 2.5 years.
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