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A bank has assets of $349 million and equity of $37 million. The assets have an average duration of 6.4 years, and the liabilities have
A bank has assets of $349 million and equity of $37 million. The assets have an average duration of 6.4 years, and the liabilities have an average duration of 3.7 years. A T-bond with the same coupon ...
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
